Name
Abstract | ||
|---|---|---|
The paper is devoted to an extension of the multivariate Matsumoto–Yor (MY) independence property with respect to a tree with p vertices to the case where random variables corresponding to the vertices of the tree are replaced by random matrices. The converse of the p-variate MY property, which characterizes the product of one gamma and p−1 generalized inverse Gaussian distributions, is extended to characterize the product of the Wishart and p−1 matrix generalized inverse Gaussian distributions. |
Year | DOI | Venue |
|---|---|---|
2015 | 10.1016/j.jmva.2015.05.018 | Journal of Multivariate Analysis |
Keywords | Field | DocType |
62E10,60E05,62H05 | Discrete mathematics,Multivariate gamma function,Random variate,Combinatorics,Matrix (mathematics),Matrix gamma distribution,Inverse-Wishart distribution,Statistics,Wishart distribution,Mathematics,Random matrix,Matrix t-distribution | Journal |
Volume | Issue | ISSN |
141 | C | 0047-259X |
Citations | PageRank | References |
1 | 0.63 | 0 |
Authors | ||
1 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Konstancja Bobecka | 1 | 1 | 0.96 |