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Recursive integral equations for random weights averages: Exponential functions and Cauchy distribution
Statistics & Probability Letters ( IF 0.9 ) Pub Date : 2022-07-12 , DOI: 10.1016/j.spl.2022.109606
A.R. Soltani

In this article, firstly, we prove that functions of the form ϕ(x)=ecxI(,0)(x)+ebxI[0,+)(x), c,b constants, are the only solutions to the integral equation ϕ(x)=01ϕ(ux)ϕ((1u)x)du. This indeed gives the result of Van Asshe (1987) who used the Schwartz distribution theory to prove that for i.i.d X and Y, UX+(1U)Y=dX if and only if X has a Cauchy distribution. Secondly, by looking into certain recursive integral equations involving characteristic functions, we prove that if for an n2, the random weight mean U(1)X1+(U(2)U(1))X2++(1U(n1))Xn has a Cauchy distribution, then X1 has a Cauchy distribution; random variables X1,,Xn are i.i.d, the random weights are the cuts of (0,1) by a uniform sample. The multivariate analogue of this result is also provided.



中文翻译:

随机权重平均值的递归积分方程:指数函数和柯西分布

在本文中,首先,我们证明了形式的函数φ(X)=eCX(-,0)(X)+ebX[0,+)(X),C,b常数,是积分方程的唯一解φ(X)=01φ(X)φ((1-)X)d. 这确实给出了 Van Asshe (1987) 的结果,他使用 Schwartz 分布理论证明对于 iidX,üX+(1-ü)=dX当且仅当X具有柯西分布。其次,通过研究某些涉及特征函数的递归积分方程,我们证明如果对于一个n2, 随机权重均值ü(1)X1+(ü(2)-ü(1))X2++(1-ü(n-1))Xn有一个柯西分布,那么X1具有柯西分布;随机变量X1,,Xn是 iid,随机权重是(0,1)通过一个统一的样本。还提供了该结果的多元类似物。

更新日期:2022-07-12
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