(i) Let X1, X2 be independent, each distributed according to the Cauchy distribution (2.24). Find the distribution...

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(i) Let X1, X2 be independent, each distributed according to the Cauchy distribution (2.24). Find the distribution of a1X1 + a2X2. (ii) Use (i) to prove (by induction) that if X1, . . . ,Xn are independent, each distributed according to (2.24), then Sn is also distributed according to (2.24).

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Optimal Statistical Inference In Financial Engineering

ISBN: 9781584885917

1st Edition

Authors: Masanobu Taniguchi, Junichi Hirukawa, Kenichiro Tamaki

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