Electronic Communications in Probability

Cramér theorem for Gamma random variables

Solesne Bourguin and Ciprian Tudor

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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 Cramer'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 Cramer's theorem is true in the Gamma context for random variables living in a Wiener chaos of fixed order but the result is not true in general. We also give an asymptotic variant of our result.

Article information

Electron. Commun. Probab., Volume 16 (2011), paper no. 34, 365-378.

Accepted: 7 July 2011
First available in Project Euclid: 7 June 2016

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 60F05: Central limit and other weak theorems
Secondary: 60H05: Stochastic integrals 91G70: Statistical methods, econometrics

Cramér's theorem Gamma distribution multiple stochastic integrals limit theorems Malliavin calculus

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Bourguin, Solesne; Tudor, Ciprian. Cramér theorem for Gamma random variables. Electron. Commun. Probab. 16 (2011), paper no. 34, 365--378. doi:10.1214/ECP.v16-1639. https://projecteuclid.org/euclid.ecp/1465261990

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