Are Ratios of IID Exponential Variables Independent of Their Sample Average?

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SUMMARY

The discussion centers on the independence of the ratio of two independently, identically distributed (IID) exponential random variables, X_1 and X_2, from their sample average, calculated as 1/n * ∑_{i=1}^{n} X_i. It is established that the ratio X_1 / X_2 is independent of the sample average due to the properties of exponential distributions, specifically their scale invariance. The ratio follows a Pareto distribution, reinforcing the independence from the sample average, which is a key finding in the analysis of IID exponential variables.

PREREQUISITES
  • Understanding of IID (Independently and Identically Distributed) random variables
  • Knowledge of exponential distributions and their properties
  • Familiarity with the concept of sample averages in statistics
  • Basic comprehension of Pareto distributions
NEXT STEPS
  • Explore the properties of IID exponential random variables in depth
  • Study the implications of scale invariance in probability distributions
  • Investigate the relationship between ratios of random variables and their distributions
  • Learn about the derivation and applications of the Pareto distribution
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Statisticians, data scientists, and mathematicians interested in probability theory, particularly those analyzing the behavior of IID random variables and their distributions.

e12514
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Suppose I have a sample X_1, ..., X_n of independently, identically distributed exponential random variables.

One result I deducted was that the ratio of any two of them (eg. X_1 / X_2) is independent of the sample average 1/n * \sum_{i=1}^{n} X_i.
(Aside: that ratio, as a random variable, has a Pareto distribution)

What's the reasoning/ intuitive appeal behind that? I know that any datapoint from an independently, identically distributed sample is in general not independent of the sample average unless there is zero variance, so.. How do we interpret this result here? Why is the ratio independent of the sample average?
 
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My gut feeling is that this is a manifestation of some sort of scale invariance. Incidentally, we can simplify the situation by doing away with all of the other variables -- we're just looking at the independence of X/Y and X+Y.
 
Are X/Y and X+Y independent (given X and Y are)? I can't seem to show that in general...
 
e12514 said:
Are X/Y and X+Y independent (given X and Y are)? I can't seem to show that in general...

No. Just to pick a simple example, suppose that X and Y are IID taking the values 1,2 each with a 50% probability.

X/Y=1/2 or X/Y = 2/1 <=> X+Y = 3
X/Y = 1 <=> X+Y = 2 or 4

so they aren't independent.
 

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