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Constraints on distributions imposed by properties of linear forms

Published online by Cambridge University Press:  15 May 2003

Denis Belomestny
Denis Belomestny*
Affiliation:
Institute fur Angewandte Mathematik, Universität Bonn, Interdisziplinares Zentrum für Komplexe Systeme, Meckenheimer Allee 176, 53115 Bonn, Germany; db@izks.uni-bonn.de.
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Abstract

Let (X1,Y1),...,(Xm,Ym) be m independent identically distributed bivariate vectors and L1 = β1X1 + ... + βmXm, L2 = β1X1 + ... + βmXm are two linear forms with positive coefficients. We study two problems: under what conditions does the equidistribution of L1 and L2 imply the same property for X1 and Y1, and under what conditions does the independence of L1 and L2 entail independence of X1 and Y1? Some analytical sufficient conditions are obtained and it is shown that in general they can not be weakened.

Keywords

Equidistributionindependencelinear formscharacteristic functions.
Type
Research Article
Information
ESAIM: Probability and Statistics , Volume 7 , March 2003 , pp. 313 - 328
Copyright
© EDP Sciences, SMAI, 2003

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