The KLR-theorem revisited

DOI10.1007/S13171-019-00183-2MaRDI QIDQ2051007zbMATHOpenAlexFDO

Authors Abram M. Kagan

Publication date 1 September 2021

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

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)

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.

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Cites work

• scientific article; zbMATH DE number 3426633 (Why is no real title available?)
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• A Characterization of the Normal Distribution

Cited in

(3)

• , , AND REINHARDT’S PROGRAM
• scientific article; zbMATH DE number 3998962 (Why is no real title available?)
• scientific article; zbMATH DE number 4128227 (Why is no real title available?)

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