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arXiv · 2212.03150

Independence preserving property of Kummer laws

Abstract

We prove that if $X,Y$ are positive, independent, non-Dirac random variables and if for $α,β\ge 0$, $α\neq β$, $$ ψ_{α,β}(x,y)=\left(y\,\tfrac{1+β(x+y)}{1+αx+βy},\;x\,\tfrac{1+α(x+y)}{1+αx+βy}\right), $$ then the random variables $U$ and $V$ defined by $(U,V)=ψ_{α,β}(X,Y)$ are independent if and only if $X$ and $Y$ follow Kummer distributions with suitably related parameters. In other words, any invariant measure for a lattice recursion model governed by $ψ_{α,β}$ in the scheme introduced by Croydon and Sasada in \cite{CS2020} is necessarily a product measure with Kummer marginals. The result extends earlier characterizations of Kummer and gamma laws by independence of $$ U=\tfrac{Y}{1+X}\quad\mbox{and}\quad V= X\left(1+\tfrac{Y}{1+X}\right), $$ which corresponds to the case of $ψ_{1,0}$. We also show that this independence property of Kummer laws covers, as limiting cases, several independence models known in the literature: the Lukacs, the Kummer-Gamma, the Matsumoto-Yor and the discrete Korteweg de Vries models.

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BibTeXRIS

Efoevi Angelo Koudou, Jacek Wesołowski. 2024-01-20. Independence preserving property of Kummer laws. https://arxiv.org/abs/2212.03150

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