Exponential families of mixed Poisson distributions
Journal of Multivariate Analysis
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According to the celebrated Lukacs theorem, independence of quotient and sum of two independent positive random variables characterizes the gamma distribution. Rather unexpectedly, it appears that in the multivariate setting, the analogous independence condition does not characterize the multivariate gamma distribution in general, but is far more restrictive: it implies that the respective random vectors have independent or linearly dependent components. Our basic tool is a solution of a related functional equation of a quite general nature. As a side effect the form of the multivariate distribution with univariate Pareto conditionals is derived.