Two remarks on normality preserving Borel automorphisms of R^n

DOI10.1007/S12044-013-0113-ZMaRDI QIDQ1948992zbMATHOpenAlexFDO

Publication date 25 April 2013

Published in Proceedings of the Indian Academy of Sciences. Mathematical Sciences (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1111.4804

Borel automorphism Lebesgue partition normality preserving Borel automorphism

Probability distributions: general theory (60E05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probabilistic measure theory (60A10)

Abstract: Let

T

be a bijective map on

m a t h b b R^{n}

such that both

T

and

T^{- 1}

are Borel measurable. For any

and any real

n i m e s n

positive definite matrix

S i g m a,

let

denote the

n

-variate normal (gaussian) probability measure on

m a t h b b R^{n}

with mean vector

and covariance matrix

S i g m a .

Here we prove the following two results: (1) Suppose

is gaussian for

0 l e q j l e q n

where

I

is the identity matrix and

is a basis for

m a t h b b R^{n} .

Then

T

is an affine linear transformation; (2) Let

S i g m a_{j} = I + e p s i l o n_{j} m a t h b f u_{j} m a t h b f u_{j}^{p r i m e},

1 l e q j l e q n

where

e p s i l o n_{j} > - 1

for every

j

and

m a t h b f u_{j}, 1 l e q j l e q n

is a basis of unit vectors in

m a t h b b R^{n}

with

m a t h b f u_{j}^{p r i m e}

denoting the transpose of the column vector

m a t h b f u_{j} .

Suppose

N (m a t h b f 0, I) T^{- 1}

and

N (m a t h b f 0, S i g m a_{j}) T^{- 1},

1 l e q j l e q n

are gaussian. Then

T (m a t h b f x) = s u m l i m i t s_{m a t h b f s} 1_{E_{m a t h b f s}} V m a t h b f s U m a t h b f x

a.e.

m a t h b f x

where

m a t h b f s

runs over the set of

2^{n}

diagonal matrices of order

n

with diagonal entries

p m 1,

U,, V

are

n i m e s n

orthogonal matrices and

E_{m a t h b f s}

is a collection of

2^{n}

Borel subsets of

m a t h b b R^{n}

such that

E_{m a t h b f s}

and

V m a t h b f s U (E_{m a t h b f s})

are partitions of

m a t h b b R^{n}

modulo Lebesgue-null sets and for every

j,

V m a t h b f s U S i g m a_{j} (V m a t h b f s U)^{- 1}

is independent of all

m a t h b f s

for which the Lebesgue measure of

E_{m a t h b f s}

is positive. The converse of this result also holds. vskip0.1in Our results constitute a sharpening of the results of S. Nabeya and T. Kariya

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