Characterization of a Family of Distributions by the Independence of Size and Shape Variables
James, Ian R.
Ann. Statist., Tome 7 (1979) no. 1, p. 869-881 / Harvested from Project Euclid
Let $X_1, \cdots, X_n$ be $n \geqslant 2$ positive random variables and $G(\mathbf{X})$ a positive variable satisfying $G(a\mathbf{X}) = aG(\mathbf{X})$ for all $a > 0$. Then $G$ is a size variable, and $\mathbf{X}/G$ is a shape vector. If $X_1, \cdots, X_n$ are independent, then the independence of shape and the size variable $G(\mathbf{X})$ characterizes (i) the lognormal distribution if $G(\mathbf{X}) = \Pi X^{1/n}_i$, (ii) the generalized gamma distribution if $G(\mathbf{X}) = (\sum X^b_i)^{1/b}$, (iii) the Pareto distribution or its discrete analogue if $G(\mathbf{X}) = \min(\mathbf{X})$, and (iv) the power-function distribution or its discrete analogue if $G(\mathbf{X}) = \max(\mathbf{X})$. It is shown here that if $X_1, \cdots, X_n$ have piecewise continuous density functions and $G$ is a continuous function then these four size variables are effectively the only ones for which such independence properties are attainable. A connection with the theory of sufficient statistics for a scale parameter is also considered.
Publié le : 1979-07-14
Classification:  Size and shape,  generalized gamma,  lognormal,  Pareto,  power-function,  sufficient statistics for scale parameters,  62E10,  62B05
@article{1176344736,
     author = {James, Ian R.},
     title = {Characterization of a Family of Distributions by the Independence of Size and Shape Variables},
     journal = {Ann. Statist.},
     volume = {7},
     number = {1},
     year = {1979},
     pages = { 869-881},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176344736}
}
James, Ian R. Characterization of a Family of Distributions by the Independence of Size and Shape Variables. Ann. Statist., Tome 7 (1979) no. 1, pp.  869-881. http://gdmltest.u-ga.fr/item/1176344736/