A Simple Proof of a Classical Theorem which Characterizes the Gamma Distribution
Findeisen, Peter
Ann. Statist., Tome 6 (1978) no. 1, p. 1165-1167 / Harvested from Project Euclid
The following result of Lukacs is known: let $X_1, X_2$ be independent, positive random variables, having the nondegenerate distributions $P_1$ and $P_2$. Suppose that $X_1/X_2$ and $X_1 + X_2$ are independent. Then $P_1$ and $P_2$ are gamma distributions with the same scale parameter. Lukacs' original deduction requires details from complex analysis. Here a simpler proof is given. Instead of $P_1$ and $P_2$ two other probability measures $\mu_1$ and $\mu_2$ are shown to be determined by the independence properties of $X_1$ and $X_2$. It is possible to express $P_i$ and $\mu_i$ by each other, and $\mu_i$ is chosen such that all moments of $\mu_i$ are finite $(i = 1,2)$. Thus the proof reduces to a straight-forward calculation of moments.
Publié le : 1978-09-14
Classification:  Characteristic properties of distributions,  gamma distribution,  didactical revisions of known deductions,  62E10,  62H05
@article{1176344319,
     author = {Findeisen, Peter},
     title = {A Simple Proof of a Classical Theorem which Characterizes the Gamma Distribution},
     journal = {Ann. Statist.},
     volume = {6},
     number = {1},
     year = {1978},
     pages = { 1165-1167},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176344319}
}
Findeisen, Peter. A Simple Proof of a Classical Theorem which Characterizes the Gamma Distribution. Ann. Statist., Tome 6 (1978) no. 1, pp.  1165-1167. http://gdmltest.u-ga.fr/item/1176344319/