Independence by Random Scaling
Probability
2017-03-08 v1
Abstract
We give conditions under which a scalar random variable T can be coupled to a random scaling factor such that T and T are rendered stochastically independent. A similar result is obtained for random measures. One consequence is a generalization of a result by Pitman and Yor on the Poisson-Dirichlet distribution to its negative parameter range. Another application are diffusion excursions straddling an exponential random time.
Cite
@article{arxiv.1703.02054,
title = {Independence by Random Scaling},
author = {Lancelot F. James and Peter Orbanz},
journal= {arXiv preprint arXiv:1703.02054},
year = {2017}
}