Characterization ofp-Generalized Normality

A. K. Gupta and D. Song

Journal of Multivariate Analysis, 1997, vol. 60, issue 1, 61-71

Abstract: In this paper some characterization results ofLp-norm spherical distributions are obtained. It is proved that ifX=(X1, ..., Xn)' has aLp-norm spherical distribution having certain independence properties, thenX1, X2, ..., Xnmust be i.i.d. with p.d.f.p(x)[is proportional to]e-xp/c. Also, the largest characterization ofLp-norm spherical distributions is given.

Keywords: p-generalized; normality; spherical; distribution; independence; characterization; invariance (search for similar items in EconPapers)
Date: 1997
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