Independence properties of the Matsumoto-Yor type - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2010

Independence properties of the Matsumoto-Yor type

Résumé

We define Letac-Wesolowski-Matsumoto-Yor (LWMY) functions as decreasing functions from (0,\infty) onto (0,\infty) with the following property: there exist independent, positive random variables $X$ and $Y$ such that the variables $f(X + Y)$ and $f(X) − f(X + Y)$ are independent. We prove that, under additional assumptions, there are essentially four such functions. The first one is $f(x) = \frac{1}{x}$. In this case, referred to in the literature as the Matsumoto-Yor property, the law of $X$ is generalized inverse Gaussian while $Y$ is gamma-distributed. In the three other cases, the associated densities are provided. As a consequence, we obtain a new relation of convolution involving gamma distributions and Kummer distributions of type 2.
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Dates et versions

hal-00536648 , version 1 (16-11-2010)

Identifiants

  • HAL Id : hal-00536648 , version 1

Citer

Angelo Efoévi Koudou, Pierre Vallois. Independence properties of the Matsumoto-Yor type. 2010. ⟨hal-00536648⟩
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