The KLR-theorem revisited

DOI10.1007/S13171-019-00183-2zbMATH Open1472.62027arXiv1902.06800OpenAlexW2986735182MaRDI QIDQ2051007FDOQ2051007

Abram M. Kagan

Publication date: 1 September 2021

Published in: Sankhyā. Series A (Search for Journal in Brave)

Abstract: For independent random variables $X_1,ldots,X_n;Y_1,ldots,Y_n$ with all $X_i$ identically distributed and same for $Y_j$, we study the relation [E{a�ar X + b�ar Y|X_1 -�ar X +Y_1 -�ar Y,ldots,X_n -�ar X +Y_n -�ar Y}={ m const}] with $a,b$ some constants. It is proved that for $ngeq3$ and $ab>0$ the relation holds iff $X_i$ and $Y_j$ are Gaussian.\ A new characterization arises in case of $a=1,b=-1$. In this case either $X_i$ or $Y_j$ or both have a Gaussian component. It is the first (at least known to the author) case when presence of a Gaussian component is a characteristic property.

Full work available at URL: https://arxiv.org/abs/1902.06800

zbMATH Keywords

constancy of regression-characterizationGaussian componentKagan-Linnik-Rao-theorem (KLR-theorem)

Mathematics Subject Classification ID

General nonlinear regression (62J02) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Central limit and other weak theorems (60F05) Characterization and structure theory of statistical distributions (62E10)

Cites Work

• A Characterization of the Normal Distribution
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Cited In (1)

• , , AND REINHARDT’S PROGRAM

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