About an extension of the Matsumoto-Yor property

Abstract

If $\alpha,\beta>0$ are distinct and if $A$ and $B$ are independent non-degenerate positive random variables such that $$S=\tfrac{1}{B}\,\tfrac{\beta A+B}{\alpha A+B}\quad \mbox{and}\quad T=\tfrac{1}{A}\,\tfrac{\beta A+B}{\alpha A+B} $$ are independent, we prove that this happens if and only if the $A$ and $B$ have generalized inverse Gaussian distributions with suitable parameters. Essentially, this has already been proved in Bao and Noack (2021) with supplementary hypothesis on existence of smooth densities. The sources of these questions are an observation about independence properties of the exponential Brownian motion due to Matsumoto and Yor (2001) and a recent work of Croydon and Sasada (2000) on random recursion models rooted in the discrete Korteweg - de Vries equation, where the above result was conjectured. We also extend the direct result to random matrices proving that a matrix variate analogue of the above independence property is satisfied by independent matrix-variate GIG variables. The question of characterization of GIG random matrices through this independence property remains open.