Cameron--Martin theorems for sequences of Cauchy-distributed random variables
- Given a sequence of Cauchy-distributed random variables defined by a sequence of location parameters and a sequence of scale parameters, we consider another sequence of random variables that is obtained by perturbing the location or scale parameter sequences. Using a result of Kakutani on equivalence of infinite product measures, we provide sufficient conditions for the equivalence of laws of the two sequences.
| Author: | Han Cheng Lie, T. J. Sullivan |
|---|---|
| Document Type: | Article |
| Parent Title (English): | arXiv |
| First Page: | 1608.03784 |
| Year of first publication: | 2016 |
| ArXiv Id: | http://arxiv.org/abs/1608.03784 |
