A Characterization of the Exponential and Related Distributions by Linear Regression
Wang, Y. H. ; Srivastava, R. C.
Ann. Statist., Tome 8 (1980) no. 1, p. 217-220 / Harvested from Project Euclid
Let $X_1, \cdots, X_n (n \geqslant 2)$ be a random sample on a rv $X$, and $Y_1 < \cdots < Y_n$ be the corresponding order statistics. Define $Z_k = \frac{1}{n-k}\Sigma^n_{i=k+1}(Y_i - Y_k), 1 \leqslant k \leqslant n - 1, W_k = \frac{1}{k-1}\Sigma^{k-1}_{i=1}(Y_k - Y_i),$ $2 \leqslant k \leqslant n$. Using the properties $E(Z_k\mid Y_k = y) = \alpha y + \beta$ and $E(W_k\mid Y_k = y) = \alpha y + \beta$, a.e. $(dF)$, where $\alpha$ and $\beta$ are constants, we obtain characterizations of several distributions which include the exponential, the Pearson (type I) and the Pareto (of the second kind) distributions.
Publié le : 1980-01-14
Classification:  Characterization,  linear regression,  order statistics,  exponential distribution,  Pearson type I distribution,  Pareto distribution of second kind,  62E10
@article{1176344905,
     author = {Wang, Y. H. and Srivastava, R. C.},
     title = {A Characterization of the Exponential and Related Distributions by Linear Regression},
     journal = {Ann. Statist.},
     volume = {8},
     number = {1},
     year = {1980},
     pages = { 217-220},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176344905}
}
Wang, Y. H.; Srivastava, R. C. A Characterization of the Exponential and Related Distributions by Linear Regression. Ann. Statist., Tome 8 (1980) no. 1, pp.  217-220. http://gdmltest.u-ga.fr/item/1176344905/