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Article Dans Une Revue Statistics and Probability Letters Année : 2006

A link between the Matsumoto-Yor property and an independence property on trees

Angelo Efoévi Koudou

Résumé

We prove that an independence property established by Matsumoto and Yor [2001. An analogue of Pitman's $2M - X$ theorem for exponential Wiener fucntional, Part II: the role of the generalied inverse Gaussian law. Nagoya Math. J. 162, 65-86] and by Letac and Wesolowski [2000. An independence property for the product of GIG and gamma laws. Ann. Probab. 28, 1371-1383] is, in particular case, a corollary of a result by Barndorff-Nielsen and Koudou [1988. Trees with random conductivities and the (reciprocal) inverse Gaussian distribution. Adv. Appl. Probab. 30, 409-424] where, for finite trees equipped with inverse Gaussian resistance, an exact distributional and independence result was established.

Dates et versions

hal-00101305 , version 1 (26-09-2006)

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Angelo Efoévi Koudou. A link between the Matsumoto-Yor property and an independence property on trees. Statistics and Probability Letters, 2006, 76, pp.1097-1101. ⟨10.1016/j.spl.2005.12.006⟩. ⟨hal-00101305⟩
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