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I am trying to find out the distribution of $n$ i.i.d. random variables $X_1, ..., X_n$ so that their product $X_1 \cdot ... \cdot X_n$ follows a Gamma distribution.

Or in other words, assume that $X_1, ..., X_n$ are i.i.d. distributed random variables and that the product of the $n$ random variables $X_1\cdot ... \cdot X_n$ follows a Gamma distribution. What is the distribution of $X_i$?

I already know that the product of Gamma distributed random variables does not seem to follow a Gamma distribution, since the pdf of two Gamma distributed random variables has a complicated pdf that includes a BesselK function. PDF of the product of two independent Gamma random variables

I have the feeling that this is a difficult question, therefore, any help is highly appreciated.

Thank you.

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If a product of variables has pdf $f(x)$, the product's logarithm, which is a sum, has pdf $e^x f(e^x)$, in this case over the whole of $\mathbb{R}$. Can you get the characteristic function for that, in terms of the Gamma function? You can get the CF of $\ln X_1$ from that.

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  • $\begingroup$ Thank you very much for your help @J.G. I definitively need to think more about it to better understand your idea and to find the solution. $\endgroup$
    – Mathias
    Jul 25, 2018 at 20:10

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