Characterization of beta distribution on symmetric cones

preprint2016arXivOpen access

Abstract

In the paper we generalize the following characterization of beta distribution to the symmetric cone setting: let XX and YY be independent, non-degenerate random variables with values in (0,1)(0,1), then U=1−XYU=1-XY and V=1−XUV=\frac{1-X}{U} are independent if and only if there exist positive numbers pip_i, i=1,2,3i=1,2,3, such that XX and YY follow beta distributions with parameters (p1+p3,p2)(p_1+p_3,p_2) and (p3,p1)(p_3,p_1), respectively.

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