Independence preserving property of Kummer laws
Abstract
We prove that if are positive, independent, non-Dirac random variables and if for , , then the random variables and defined by are independent if and only if and follow Kummer distributions with suitably related parameters. In other words, any invariant measure for a lattice recursion model governed by in the scheme introduced by Croydon and Sasada in \cite{CS2020} is necessarily a product measure with Kummer marginals. The result extends earlier characterizations of Kummer and gamma laws by independence of which corresponds to the case of . We also show that this independence property of Kummer laws covers, as limiting cases, several independence models known in the literature: the Lukacs, the Kummer-Gamma, the Matsumoto-Yor and the discrete Korteweg de Vries models.
Keywords
Cite
@article{arxiv.2212.03150,
title = {Independence preserving property of Kummer laws},
author = {Efoevi Angelo Koudou and Jacek Wesołowski},
journal= {arXiv preprint arXiv:2212.03150},
year = {2024}
}