Which distributions have the Matsumoto-Yor property? - Archive ouverte HAL
Article Dans Une Revue Electronic Communications in Probability Année : 2011

Which distributions have the Matsumoto-Yor property?

Résumé

For four types of functions ξ : ]0, ∞[→]0, ∞[, we characterize the law of two independent and positive r.v.'s X and Y such that U := ξ(X + Y) and V := ξ(X) − ξ(X + Y) are independent. The case ξ(x) = 1/x has been treated by Letac and Weso lowski (2000). As for the three other cases, under the weak assumption that X and Y have density functions whose logarithm is locally integrable, we prove that the distribution of (X, Y) is unique. This leads to Kummer, gamma and beta distributions. This improves the result obtained in [1] where more regularity was required from the densities.
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Dates et versions

hal-01283962 , version 1 (07-03-2016)

Identifiants

Citer

Angelo Efoévi Koudou, Pierre Vallois. Which distributions have the Matsumoto-Yor property?. Electronic Communications in Probability, 2011, 16, pp.49. ⟨10.1214/ECP.v16-1663⟩. ⟨hal-01283962⟩
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