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2852概率中等derivationmedium

The Sample Mean of Cauchy Variables

题目

Let X1,,XnX_1,\dots,X_n be i.i.d. standard Cauchy variables, whose characteristic function is ϕ(u)=eu\phi(u)=e^{-|u|}. Use characteristic functions to show that the sample mean (X1++Xn)/n(X_1+\cdots+X_n)/n is again standard Cauchy.

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