Independence of linear forms with random coefficients

被引:4
作者
Chistyakov, G. P.
Goetze, F.
机构
[1] Natl Acad Sci Ukraine, Inst Low Temp Phys & Engn, UA-61103 Kharkov, Ukraine
[2] Univ Bielefeld, Fak Math, D-33501 Bielefeld, Germany
关键词
Gaussian random variable; independent random variables; entire characteristic functions; moments of random variables; DEPENDENT RANDOM-VARIABLES; DARMOIS-SKITOVITCH; THEOREM;
D O I
10.1007/s00440-006-0503-6
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We extend the classical Darmois-Skitovich theorem to the case where the linear forms L-r1 = U1X1 +center dot center dot center dot+ UnXn and L-r2 = Un+1X1+center dot center dot center dot+U2nXn have random coefficients U-1,...,U-2n. Under minimal restrictions on the random coefficients we completely describe the distributions of the independent random variables X-1,...,X-n and U-1,...,U-2n such that the linear forms L-r1 and L-r2 are independent.
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页码:1 / 24
页数:24
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