On some characterization of probability distributions in Hilbert spaces |
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Authors: | Ignacy Kotlarski |
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Affiliation: | (1) Politechnika Warszawa, Poland |
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Abstract: | Summary The aim of this paper is to prove the following theorem about characterization of probability distributions in Hilbert spaces:Theorem. — Let x1, x2, …, xn be n (n≥3) independent random variables in the Hilbert spaceH, having their characteristic functionals fk(t) = E[ei(t,x k)], (k=1, 2, …, n): let y1=x1 + xn, y2=x2 + xn, …, yn−1=xn−1 + xn. If the characteristic functional f(t1, t2, …, tn−1) of the random variables (y1, y2, …, yn−1) does not vanish, then the joint distribution of (y1, y2, …, yn−1) determines all the distributions of x1, x2, …, xn up to change of location. |
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