English

Characterization of beta distribution on symmetric cones

Probability 2016-05-13 v2

Abstract

In the paper we generalize the following characterization of beta distribution to the symmetric cone setting: let XX and YY be independent, non-degenerate random variables with values in (0,1)(0,1), then U=1XYU=1-XY and V=1XUV=\frac{1-X}{U} are independent if and only if there exist positive numbers pip_i, i=1,2,3i=1,2,3, such that XX and YY follow beta distributions with parameters (p1+p3,p2)(p_1+p_3,p_2) and (p3,p1)(p_3,p_1), respectively.

Keywords

Cite

@article{arxiv.1501.02193,
  title  = {Characterization of beta distribution on symmetric cones},
  author = {Bartosz Kołodziejek},
  journal= {arXiv preprint arXiv:1501.02193},
  year   = {2016}
}

Comments

12 pages. arXiv admin note: text overlap with arXiv:1403.0236, arXiv:1501.02575, arXiv:1307.3988