Andersen theorem

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A result in the theory of fluctuations in random walks (cf. Random walk). Let be independent random variables with the same distribution (cf. Random variable), and let , , . Define

Then (equivalence principle) for each the pairs , and have the same distribution; in particular, , and have the same distribution. As a consequence one has

These results were first proved by E. Sparre Andersen [a1], [a2], [a3]. They connect the arcsine law for random walks to the arcsine law in renewal theory.

Nowadays there are brief proofs based on combinatorial properties of non-random sequences [a6], [a7]. The results can be generalized to random vectors with symmetric distributions [a2]. A comprehensive account for integer-valued random variables can be found in [a8]; a concise overview is given in [a4]. Related combinatorial results are discussed in [a5].


[a1] E. Sparre Andersen, "On the number of positive sums of random variables" Skand. Aktuarietikskr., 32 (1949) pp. 27–36
[a2] E. Sparre Andersen, "On sums of symmetrically dependent random variables" Skand. Aktuarietikskr., 36 (1953) pp. 123–138
[a3] E. Sparre Andersen, "On the fluctuations of sums of random variables" Math. Scand., 1 (1953) pp. 263–285 (Also: 2 (1954), 195–223)
[a4] N.H. Bingham, C.M. Goldie, J.L. Teugels, "Regular variation", Encycl. Math. Appl., 27, Cambridge Univ. Press (1989) (Edition: Second)
[a5] N.G. de Bruijn, "Some algorithms for ordering a sequence of objects, with application to E. Sparre Andersen's principle of equivalence in mathematical statistics" Indagationes Mathematicae, 34 : 1 (1972) pp. 1–10
[a6] W. Feller, "An introduction to probability theory and its applications", 2, Springer (1976) (Edition: Second)
[a7] A.W. Joseph, "An elementary proof of the principle of equivalence" J. London Math. Soc. (2), 3 (1971) pp. 101–102
[a8] F. Spitzer, "Principles of random walk", Springer (1976) (Edition: Second)
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This article was adapted from an original article by F.W. Steutel (originator), which appeared in Encyclopedia of Mathematics - ISBN 1402006098. See original article