Somewhere in the three volumes of Kendall and Stuart 'The Advanced Theory of Statistics' there is an example of a random variable $(X,Y)$ in $\mathbb{R}^2$ such that $X,$ $Y$ and $X+Y$ are gamma distributed with the same scale parameter, with respective shape parameters $a,$ $b$ and $a+b$ and such that $X$ and $Y$ are NOT independent. Can somebody help me for locating this? Thanks, Gérard Letac.
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