Darmois-Skitovic theorem and its proof
Darmois-Skitovic theorem and its proof
Darmois-Skitovic theorem and its proof
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<strong>Darmois</strong>-<strong>Skitovic</strong> <strong>theorem</strong> <strong>and</strong> <strong>its</strong> <strong>proof</strong><br />
Massoud BABAIE-ZADEH<br />
January 18, 2002<br />
Lemma 1 Suppose that for the functions f 1 , f 2 , . . . , f N , which are differentiable<br />
at any order, we have:<br />
f 1 (a 1 x + b 1 y) + f 2 (a 2 x + b 2 y) · · · + f N (a N x + b N y) = A(x) + B(y) ∀x, y (1)<br />
where a 1 , . . . , a N , b 1 , . . . , b N are non-zero constants such that:<br />
a i b j − a j b i ≠ 0 ∀ i ≠ j (2)<br />
Then, all the functions f i are polynomials with the degree at most N.<br />
Proof: It is easy to seen that A(x) <strong>and</strong> B(y) will be differentiable at any<br />
order too. Now, suppose that there is small variations in x <strong>and</strong> y such that<br />
a N x + b N y remains constant, that is, let:<br />
x ← x + δ (1)<br />
1<br />
y ← y + δ (1)<br />
2<br />
a N δ (1)<br />
1 + b N δ (1)<br />
2 = 0<br />
(graphically, we are approaching the point (x, y) on the line a N x + b N y = 0).<br />
But the arguments of all the other f i ’s (i = 1, . . . , N −1) has changed by a small<br />
value ɛ (1)<br />
i which is not zero (because of assumption (2)). Hence by subtracting<br />
the new equation from (1) we will have:<br />
∆ ɛ<br />
(1)<br />
1<br />
f 1 (a 1 x + b 1 y) + ∆ (1) ɛ<br />
f 2 (a 2 x + b 2 y) · · · + ∆ (1)<br />
2<br />
ɛ<br />
f N−1 (a N−1 x + b N−1 y)<br />
N−1<br />
= A 1 (x) + B 1 (y) ∀x, y<br />
(4)<br />
where ∆ h f(x) is the first order difference (something like derivative) of the<br />
function f at the point x, defined by:<br />
(3)<br />
∆ h f(x) = f(x + h) − f(x) (5)<br />
Now, we note that (4) is something like (1) but f N is disappeared. By<br />
repeating this procedure, we obtain:<br />
∆ ɛ<br />
(N−1)<br />
1<br />
. . . ∆ ɛ<br />
(2)<br />
1<br />
∆ (1) ɛ<br />
f 1 (a 1 x + b 1 y) = A N−1 (x) + B N−1 (y) ∀x, y (6)<br />
1<br />
Repeating the procedure two more times, one for a small variation only in x<br />
<strong>and</strong> one for a small variation only in y, we will have:<br />
∆ ɛ<br />
(N+1)<br />
1<br />
. . . ∆ ɛ<br />
(2)<br />
1<br />
∆ (1) ɛ<br />
f 1 (a 1 x + b 1 y) = 0 ∀x, y (7)<br />
1<br />
In other words, the ‘N + 1’-th order difference of the function f 1 (<strong>and</strong> hence <strong>its</strong><br />
‘N + 1’-th order derivative) is zero, therefore it is a polynomial, <strong>and</strong> <strong>its</strong> degree<br />
is at most N. The <strong>proof</strong> is similar for all the other f i ’s.<br />
1
Theorem 1 (Lévy-Cramer) Let X 1 <strong>and</strong> X 2 be two independent r<strong>and</strong>om variables<br />
<strong>and</strong> Y = X 1 + X 2 . Then, if Y has a Gaussian distribution, then X 1 <strong>and</strong><br />
X 2 will be Gaussian, too.<br />
Recall: The characteristic function of the r<strong>and</strong>om variable X is defined as:<br />
<strong>and</strong> <strong>its</strong> second characteristic function is:<br />
Φ X (ω) = E { e jωX} (8)<br />
Ψ X (ω) = ln Φ X (ω) (9)<br />
Theorem 2 (Marcinkiewics-Dugué) The only r<strong>and</strong>om variables which have<br />
the characteristic functions of the form e p(ω) where p(ω) is a polynomial, are the<br />
constant r<strong>and</strong>om values <strong>and</strong> Gaussian r<strong>and</strong>om variables (<strong>and</strong> hence the degree<br />
of p is less than or equal to 2).<br />
Theorem 3 (<strong>Darmois</strong>-<strong>Skitovic</strong>) Let X 1 , . . . , X N be N independent r<strong>and</strong>om<br />
variables. Let: {<br />
Y1 = a 1 X 1 + · · · + a N X N<br />
Y 2 = b 1 X 1 + · · · + b N X N<br />
(10)<br />
<strong>and</strong> suppose that Y 1 <strong>and</strong> Y 2 are independent. Now, if for an i we have a i b i ≠ 0,<br />
then X i must be Gaussian.<br />
This <strong>theorem</strong>, which is the base of blind source separation (from it, the separability<br />
of linear instantaneous mixtures is obvious), states that a r<strong>and</strong>om variable<br />
which is not Gaussian cannot appears as a summation term in two independent<br />
r<strong>and</strong>om variables.<br />
Proof: Without losing the generality, we can assume a i b j − a j b i ≠ 0 for all<br />
i ≠ j (otherwise, we can combine two r<strong>and</strong>om variables to define another one,<br />
Guassianity of this r<strong>and</strong>om variable, proves the Gaussianity of both, because of<br />
Lévy-Cramer <strong>theorem</strong>). Now, we write:<br />
{e j(ω1Y1+ω2Y2)}<br />
Φ Y1Y 2<br />
(ω 1 , ω 2 ) = E<br />
= E<br />
{e j ∑ }<br />
i (aiω1+biω2)Xi<br />
= Φ X1 (a 1 ω 1 + b 1 ω 2 )Φ X2 (a 2 ω 1 + b 2 ω 2 ) · · · Φ XN (a N ω 1 + b N ω 2 )<br />
(11)<br />
The last equation arises from the independence of X i ’s. But, independence of<br />
Y 1 <strong>and</strong> Y 2 implies that:<br />
<strong>and</strong> hence:<br />
Φ Y1Y 2<br />
(ω 1 , ω 2 ) = Φ Y1 (ω 1 )Φ Y2 (ω 2 ) (12)<br />
Φ X1 (a 1 ω 1 + b 1 ω 2 )Φ X2 (a 2 ω 1 + b 2 ω 2 ) · · · Φ XN (a N ω 1 + b N ω 2 ) = Φ Y1 (ω 1 )Φ Y2 (ω 2 )<br />
(13)<br />
taking the logarithm of the both sides gives us:<br />
Ψ X1 (a 1 ω 1 +b 1 ω 2 )+Ψ X2 (a 2 ω 1 +b 2 ω 2 )+· · ·+Ψ XN (a N ω 1 +b N ω 2 ) = Ψ Y1 (ω 1 )+Ψ Y2 (ω 2 )<br />
(14)<br />
Now if we first move all the term of the left side for them a i b i = 0 to the right<br />
side, <strong>and</strong> then apply the Lemma 1, we conclude that if for an i, a i b i ≠ 0, then<br />
Ψ Xi must be a polynomial. Hence, from Marcinkiewics-Dugué <strong>theorem</strong>, it must<br />
be a Gaussian r<strong>and</strong>om variable.<br />
2