Some characterizations of the normal distribution (Q1962220): Difference between revisions
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Revision as of 07:48, 14 February 2024
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English | Some characterizations of the normal distribution |
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Some characterizations of the normal distribution (English)
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20 March 2001
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Based on the properties of two i.i.d. continuous random variables \(X\), \(Y\), three characterizations of the normal distribution are given. First it is shown that \(X\) is standard normal (\(N(0,1)\)) if \(2XY/(\sqrt{X^{2} +Y^{2}})\) is \(N(0,1)\). Assuming \[ E|X|^{2n+1} = 2nE|X|^{2n-1},\quad n \geq 1, \] and the pdf of \(X\) equals its MacLaurin series expansion around the origin, it is shown that if \(X/Y\) is standard Cauchy (\(C(0,1)\)), then \(X\) is \(N(0,1)\). Under similar conditions, it is shown that \(X\) must be normal if \((X+Y)/|X-Y|\) is \(C(0,1)\).
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Cauchy distribution
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moments
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characteristic function
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MacLaurin series
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