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Concept
Indecomposable distribution
Résumé
In probability theory, an indecomposable distribution is a probability distribution that cannot be represented as the distribution of the sum of two or more non-constant independent random variables: Z ≠ X + Y. If it can be so expressed, it is decomposable: Z = X + Y. If, further, it can be expressed as the distribution of the sum of two or more independent identically distributed random variables, then it is divisible: Z = X1 + X2.
The simplest examples are Bernoulli-distributeds: if
then the probability distribution of X is indecomposable.
Proof: Given non-constant distributions U and V, so that U assumes at least two values a, b and V assumes two values c, d, with a < b and c < d, then U + V assumes at least three distinct values: a + c, a + d, b + d (b + c may be equal to a + d, for example if one uses 0, 1 and 0, 1). Thus the sum of non-constant distributions assumes at least three values, so the Bernoulli distribution is not the sum of non-constant distributions.
Suppose a + b + c = 1, a, b, c ≥ 0, and
This probability distribution is decomposable (as the distribution of the sum of two Bernoulli-distributed random variables) if
and otherwise indecomposable. To see, this, suppose U and V are independent random variables and U + V has this probability distribution. Then we must have
for some p, q ∈ [0, 1], by similar reasoning to the Bernoulli case (otherwise the sum U + V will assume more than three values). It follows that
This system of two quadratic equations in two variables p and q has a solution (p, q) ∈ [0, 1]2 if and only if
Thus, for example, the discrete uniform distribution on the set {0, 1, 2} is indecomposable, but the binomial distribution for two trials each having probabilities 1/2, thus giving respective probabilities a, b, c as 1/4, 1/2, 1/4, is decomposable.
An absolutely continuous indecomposable distribution. It can be shown that the distribution whose density function is
is indecomposable.
All infinitely divisible distributions are a fortiori decomposable; in particular, this includes the stable distributions, such as the normal distribution.
Source officielle
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