Cameron--Martin theorems for sequences of Cauchy-distributed random variables

Please always quote using this URN: urn:nbn:de:0297-zib-60230
  • 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.

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Author:Han Cheng Lie, T. J. Sullivan
Document Type:ZIB-Report
MSC-Classification:60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX)
Date of first Publication:2016/08/23
Series (Serial Number):ZIB-Report (16-40)