A characterization of the gamma distribution from a random difference equation

A characterization of the gamma distribution from a random difference equation

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Article ID: iaor1988710
Country: Israel
Volume: 25
Issue: 1
Start Page Number: 142
End Page Number: 149
Publication Date: Mar 1988
Journal: Journal of Applied Probability
Authors:
Abstract:

A characterization of the gamma distribution is considered which arises from a random difference equation. A proof without characteristic functions is given that if V and Y are independent random variables, then the independence of VëY and (1-VY results in a characterization of the gamma distribution (after excluding the trivial cases).

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