Characterizations of the generalized inverse Gaussian, asymmetric Laplace, and shifted (truncated) exponential laws via independence properties

Abstract

We prove three new characterizations of the generalized inverse Gaussian (GIG), asymmetric Laplace (AL), shifted exponential (sExp) and shifted truncated exponential (stExp) distributions in terms of non-trivial independence preserving transformations, which were conjectured by Croydon and Sasada in \cite{CS1}. We do this under the assumptions of absolute continuity and mild regularity conditions on the densities. Croydon and Sasada \cite{CS2} use these independence preserving transformations to analyze statistical mechanical models which display KPZ behavior. Our characterizations show the integrability of these models only holds for these four specific distributions in the absolutely continuous setting.