A Property of the Normal Distribution
Lukacs, Eugene ; King, Edgar P.
Ann. Math. Statist., Tome 25 (1954) no. 4, p. 389-394 / Harvested from Project Euclid
The following theorem is proved. Let $X_1, X_2, \cdots, X_n$ be $n$ independently (but not necessarily identically) distributed random variables, and assume that the $n$th moment of each $X_i(i = 1, 2, \cdots, n)$ exists. The necessary and sufficient conditions for the existence of two statistically independent linear forms $Y_1 = \sum^n_{s=1} a_sX_s$ and $Y_2 = \sum^n_{s=1}b_sX_s$ are: (A) Each random variable which has a nonzero coefficient in both forms is normally distributed. $(B) \sum^n_{s=1}a_sb_s\sigma^2_s = 0$. Here $\sigma^2_s$ denotes the variance of $X_s (s = 1, 2, \cdots, n)$. For $n = 2$ and $a_1 = b_1 = a_2 = 1, b_2 = -1$ this reduces to a theorem of S. Bernstein [1]. Bernstein's paper was not accessible to the authors, whose knowledge of his result was derived from a statement of S. Bernstein's theorem contained in a paper by M. Frechet [3]. A more general result, not assuming the existence of moments was obtained earlier by M. Kac [4]. A related theorem, assuming equidistribution of the $X_i (i = 1, 2, \cdots n)$ is stated without proof in a recent paper by Yu. V. Linnik [5].
Publié le : 1954-06-14
Classification: 
@article{1177728796,
     author = {Lukacs, Eugene and King, Edgar P.},
     title = {A Property of the Normal Distribution},
     journal = {Ann. Math. Statist.},
     volume = {25},
     number = {4},
     year = {1954},
     pages = { 389-394},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177728796}
}
Lukacs, Eugene; King, Edgar P. A Property of the Normal Distribution. Ann. Math. Statist., Tome 25 (1954) no. 4, pp.  389-394. http://gdmltest.u-ga.fr/item/1177728796/