Three remarkable properties of the Normal distribution

Eric Benhamou; Beatrice Guez; Nicolas Paris

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arXiv · 1810.01768

Three remarkable properties of the Normal distribution

Eric Benhamou·Beatrice Guez·Nicolas Paris

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Abstract

In this paper, we present three remarkable properties of the normal distribution: first that if two independent variables's sum is normally distributed, then each random variable follows a normal distribution (which is referred to as the Levy Cramer theorem), second a variation of the Levy Cramer theorem that states that if two independent symmetric random variables with finite variance have their sum and their difference independent, then each random variable follows a standard normal distribution, and third that the normal distribution is characterized by the fact that it is the only distribution for which the sample mean and variance are independent (which is a central property for deriving the Student distribution and referred as the Geary theorem). The novelty of this paper is to provide new, quicker or self contained proofs of theses theorems.

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Eric Benhamou, Beatrice Guez, Nicolas Paris. 2018-10-02. Three remarkable properties of the Normal distribution. https://arxiv.org/abs/1810.01768

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