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On an inequality and the related characterization of the gamma distribution

Maia Koicheva — 1993

Applications of Mathematics

In this paper we derive conditions upon the nonnegative random variable under which the inequality D g ( ξ ) c E g ' ξ 2 ξ holds for a fixed nonnegative constant c and for any absolutely continuous function g . Taking into account the characterization of a Gamma distribution we consider the functional U ξ = sup g D g ξ E g ' ξ 2 ξ and establishing some of its properties we show that U ξ 1 and that U ξ = 1 iff the random variable ξ has a Gamma distribution.

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