Statistics of the Shepp $p$-product

Abstract

In 1962, Shepp famously discovered a product of normal random variables that preserves normality. The Shepp product, which takes the form $XY/\sqrt{X^2 + Y^2}$, has since been thoroughly studied and has found numerous connections to other areas of statistics. Among other things, it has an extension to $n$ normal variables, gives a multiplicative analogue of the central limit theorem, and applies rather unexpectedly to genomics as a test statistic for alignment-free sequence analysis. The Shepp product is evidently the $p =2$ special case of $XY/\sqrt[p]{X^p + Y^p}$ that we call the Shepp $p$-product. We will show that the Shepp $p$-product, particularly when $p = 1$ and $p = \infty$ (the latter in a limiting sense), is no less fascinating and applicable than the original $p = 2$ case. Just as the Shepp $2$-product preserves normal distributions, the Shepp $1$-product preserves Cauchy distributions, and the Shepp $\infty$-product preserves exponential distributions. In fact, the converse is also true in an appropriate sense, allowing us to characterize the Cauchy, normal, and exponential distributions as the unique distributions preserved by the Shepp $p$-product for $p =1,2,\infty$, respectively. We will study the multiplicative analogue of infinite divisibility with respect to the Shepp $p$-product, establish an asymptotic theory for the Shepp $p$-product of $n$ i.i.d.\ random variables, and estimate the rates of convergence in Kolmogorov distance. Some of our results are new even for the $p=2$ case. We will also discuss new applications of the Shepp $p$-product in statistics, computational biology, and statistical physics. In particular, our new test statistic for exponentiality based on the Shepp $\infty$-product is more powerful, both theoretically and empirically, than the rule-of-thumb Kolmogorov--Smirnov test based on the relative efficiency.