Beta-gamma characterization conjecture for sums of i.i.d. random variables

Let n2n\geqslant2 and Y=(Y1,Y2,,Yn)\textbf{Y}=(Y_1,Y_2,\ldots,Y_n) be a vector of i.i.d. random variables. Let GaG_a denote a gamma random variable with parameter aa, and let Ba,bB_{a,b} denote a beta random variable with parameters a,ba,b. For V=Ba,(n1)aV=B_{a,(n-1)a} independent of Y\textbf{Y}, the beta-gamma characterization conjecture. Y1Y_1 is equal in distribution to cGacG_a for some constant c>0c>0 if and only if

Y1=dV(Y1+Y2++Yn).Y_1\stackrel{d}{=}V(Y_1+Y_2+\ldots+Y_n).

The forward implication follows from beta-gamma algebra, and the converse is known when a=1/(n1)a=1/(n-1) and under the assumption that Y1Y_1 has all positive integer moments finite. The uniqueness of the relevant scale-family solution to the integral equation is open in general.

Sources & referencesView supporting material

Primary source

Jim Pitman and Nathan Ross, “Archimedes, Gauss, and Stein”, arXiv:1201.4422 (2012).

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