When I add two random variables that have a normal distribution, I get again a normal distribution. Is a normal distribution the only one with this property?
2026-04-01 04:42:50.1775018570
Is normal distribution the only class of distributions closed under addition?
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If a collection of random variables is jointly normal then any linear combination of them is normal. There are many other classes of distributions with this property. For example the class of stable distributions with a particular index has this property.