Size bias, sampling, the waiting time paradox, and infinite divisibility: when is the increment independent?

Details Size bias, sampling, the waiting time paradox, and infinite divisibility: when is the increment independent? Size bias, sampling, the waiting time paradox, and infinite divisibility: when is the increment independent?

2010-07-22

arxiv.org/abs/1007.3910v1

Mathematics

Probability

30 pages

Scientific paper

With $X^*$ denoting a random variable with the $X$-size bias distribution, what are all distributions for $X$ such that it is possible to have $X^*=X+Y$, $Y\geq 0$, with $X$ and $Y$ {\em independent}? We give the answer, due to Steutel \cite{steutel}, and also discuss the relations of size biasing to the waiting time paradox, renewal theory, sampling, tightness and uniform integrability, compound Poisson distributions, infinite divisibility, and the lognormal distributions.

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