Cramér theorem for Gamma random variables - Archive ouverte HAL
Article Dans Une Revue Electronic Communications in Probability Année : 2011

Cramér theorem for Gamma random variables

Résumé

In this paper we discuss the following problem: given a random variable $Z=X+Y$ with Gamma law such that $X$ and $Y$ are independent, we want to understand if then $X$ and $Y$ {\it each} follow a Gamma law. This is related to Cramér's theorem which states that if $X$ and $Y$ are independent then $Z=X+Y$ follows a Gaussian law if and only if $X$ {\it and} $Y$ follow a Gaussian law. We prove that Cramér's theorem is true in the Gamma context for random variables leaving in a Wiener chaos of fixed order but the result is not true in general. We also give an asymptotic variant of our result.
Fichier principal
Vignette du fichier
ECPFinalGamma.pdf (176.35 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-00605550 , version 1 (06-07-2011)

Identifiants

  • HAL Id : hal-00605550 , version 1

Citer

Solesne Bourguin, Ciprian A. Tudor. Cramér theorem for Gamma random variables. Electronic Communications in Probability, 2011, 16, pp.365-378. ⟨hal-00605550⟩
130 Consultations
163 Téléchargements

Partager

More