Certain Characterizations of Normal Distribution via Transformations

It is well known that i.i.d. (independent and identically distributed) normal random variables are transformed into i.i.d. normal random variables by any orthogonal transformation. Less well known are nonlinear transformations with the above-mentioned property. In this work we present nonlinear transformations preserving normality, which are more general than the existing ones in the literature.

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Year of publication:	2001
Authors:	Hamedani, G. G. ; Volkmer, Hans
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 77.2001, 2, p. 286-294
Publisher:	Elsevier
Keywords:	normal characterizations ergodic transformations measure preserving transformations

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005152805