Independence preserving property of Kummer laws

arXiv2212.03150MaRDI QIDQ6507250FDOQ6507250

Authors: Efoevi Angelo Koudou, Jacek Wesołowski 

Abstract: We prove that if X, Y are positive, independent, non-Dirac random variables and if $alpha$, $$ $ge$ 0, $alpha$ = $$, then the random variables U and V defined by U = Y 1+$$(X+Y) 1+$alpha$X+$$Y and V = X 1+$alpha$(X+Y) 1+$alpha$X+$$Y are independent if and only if X and Y follow Kummer distributions with suitable parameters. In other words, the Kummer distributions are the only invariant measures for lattice recursion models introduced by Croydon and Sasada in [3]. The result extends earlier characterizations of Kummer and gamma laws by independence of U = Y 1+X and V = X 1 + Y 1+X , which is the case of ($alpha$, $$) = (1, 0).

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