Beta-gamma characterization conjecture for sums of i.i.d. random variables
Beta-gamma characterization conjecture for sums of i.i.d. random variables
Let and be a vector of i.i.d. random variables. Let denote a gamma random variable with parameter , and let denote a beta random variable with parameters . For independent of , the beta-gamma characterization conjecture. is equal in distribution to for some constant if and only if
The forward implication follows from beta-gamma algebra, and the converse is known when and under the assumption that 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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