I'm trying to prove that the Cauchy distribution is stable, i.e., if $X_{1}, X_{2}, …$ are i.i.d. Cauchy random variables then $\frac{1}{n}(X_{1}+…+X_{n})$ has the same distribution as $X_{1}$ for $n \geq 1$.
I suspect the proof has something to do with characteristic functions, but haven't been able to write it out. Anyone have any hints on how to approach this?
Thanks.
Best Answer
The characteristic function for a Cauchy r.v centered around zero and with scale $\gamma$ is $\exp(- \gamma |t|)$.
If $X_i$ are r.v. with characteristic function $\psi_i(t)$, then $aX_i$ has characteristic function $\psi_i(at)$ and characteristic function of $\sum X_i$ where $X_i$ are independent is $\prod \psi_i(t)$.
Use the above information to conclude what you want.