English

Independence preserving property of Kummer laws

Probability 2024-01-23 v3 Statistics Theory Statistics Theory

Abstract

We prove that if X,YX,Y are positive, independent, non-Dirac random variables and if for α,β0\alpha,\beta\ge 0, αβ\alpha\neq \beta, ψα,β(x,y)=(y1+β(x+y)1+αx+βy,  x1+α(x+y)1+αx+βy), \psi_{\alpha,\beta}(x,y)=\left(y\,\tfrac{1+\beta(x+y)}{1+\alpha x+\beta y},\;x\,\tfrac{1+\alpha(x+y)}{1+\alpha x+\beta y}\right), then the random variables UU and VV defined by (U,V)=ψα,β(X,Y)(U,V)=\psi_{\alpha,\beta}(X,Y) are independent if and only if XX and YY follow Kummer distributions with suitably related parameters. In other words, any invariant measure for a lattice recursion model governed by ψα,β\psi_{\alpha,\beta} 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 U=Y1+X\mboxandV=X(1+Y1+X), U=\tfrac{Y}{1+X}\quad\mbox{and}\quad V= X\left(1+\tfrac{Y}{1+X}\right), which corresponds to the case of ψ1,0\psi_{1,0}. 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}
}