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Publication Detail
Independence by Random Scaling
  • Publication Type:
    Journal article
  • Authors:
    James LF, Orbanz P
  • Publication date:
  • Keywords:
    math.PR, math.PR
We give conditions under which a scalar random variable T can be coupled to a random scaling factor $\xi$ such that T and $\xi$T are rendered stochastically independent. A similar result is obtained for random measures. One consequence is a generalization of a result by Pitman and Yor on the Poisson-Dirichlet distribution to its negative parameter range. Another application are diffusion excursions straddling an exponential random time.
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