An extension of the Darmois-Skitovitch theorem to a class of dependent random variables

Abram Kagan and Jacek Wesolowski

Statistics & Probability Letters, 2000, vol. 47, issue 1, 69-73

Abstract: Linear transformation of a factorizable distribution is a product measure iff it is Gaussian under some natural assumptions. The result extends the classical Darmois-Skitovitch theorem.

Keywords: Multivariate; Gaussian; distribution; Factorizable; distribution; Characteristic; function; Darmois-Skitovitch; theorem; Characterizations; of; probability; distributions (search for similar items in EconPapers)
Date: 2000
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