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arxiv: 1706.09718 · v4 · pith:XRUSBC4Rnew · submitted 2017-06-29 · 🧮 math.PR

Independence characterization for Wishart and Kummer random matrices

classification 🧮 math.PR
keywords characterizationkummermatricesconedefinitedistributiondistributionsfollows
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We generalize the following univariate characterization of the Kummer and Gamma distributions to the cone of symmetric positive definite matrices: let $X$ and $Y$ be independent, non-degenerate random variables valued in $(0, \infty)$, then $U= Y/(1+X)$ and $V = X(1+U)$ are independent if and only if $X$ follows the Kummer distribution and $Y$ follows the the Gamma distribution with appropriate parameters. We solve a related functional equation in the cone of symmetric positive definite matrices, which is our first main result and apply its solution to prove the characterization of Wishart and matrix-Kummer distributions, which is our second main result.

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