Cramér theorem for Gamma random variables
Bourguin, Solesne · Tudor, Ciprian
Original · EN
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 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 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.
English translation
This paper has no Arabic translation yet. Be the first: it takes a few seconds, and the result is stored for every future reader.