(Received January 26, 1996; revised June 24, 1998)
Abstract. Let n > 3 and let X1,..., Xn be positive i.i.d. random variables whose common distribution function f has a continuous p.d.f. Using earlier work of the present authors and a method due to Anosov for solving certain integro-functional equations, it is shown that the independence of the sample mean and the sample coefficient of variation is equivalent to that f is a gamma function. While the proof is of methodological interest, this conclusion can also be arrived at without any assumptions by appealing to the Laplace-Stieltjes transform, as in the Concluding Remark (Section 3).
Key words and phrases: Characterization, gamma distribution, coefficient of variation.
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