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arXiv · 1511.01930

On the Matsumoto-Yor property in free probability

Kamil Szpojankowski
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Abstract

We study the Matsumoto-Yor property in free probability. We prove that the limiting empirical eigenvalue distribution of the GIG matrices and the Marchenko-Pastur distribution have the free Matsumoto-Yor property. Finally we characterize these distributions by a regression properties in free probability.

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Kamil Szpojankowski. 2015-11-05. On the Matsumoto-Yor property in free probability. https://arxiv.org/abs/1511.01930

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