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Why Is The Sum of Independent Normal Random Variables Normal?
Why Is The Sum of Independent Normal Random Variables Normal?
ROSEMARY SULLIVAN
West Chester University
West Chester, PA 19383
rsullivan@wcupa.edu
The fact that the sum of independent normal random variables is normal is a widely
used result in probability. Two standard proofs are taught, one using convolutions and
the other moment generating functions, but neither gives much insight into why the
result is true. In this paper we give two additional arguments for why the sum of
independent normal random variables should be normal.
The first standard proof consists of the computation of the convolution of two normal
densities to find the density of the sum of the random variables. Throughout this article
we assume that our normal random variables have mean 0 since a general normal
random variable can be written in the form σ Z + μ, where Z is standard normal and
μ is a constant. One then finds the convolution of two normal densities to be
∞ exp − (y−x)2 2 exp − x 22 exp − y2
2σ1 2σ2 2(σ12 +σ22 )
√ √ dx = .
−∞ 2π σ1 2πσ2 2π(σ12 + σ22 )
The computation is messy and not very illuminating even for the case of mean zero
random variables.
exp(− 12 (z 12 + z 22 ))
f (z 1 , z 2 ) = ,
2π
which is rotation invariant (see F IGURE 1). That is, it has the same value for all points
equidistant from the origin. Thus, f (T (z 1 , z 2 )) = f (z 1 , z 2 ), where T is any rotation
of the plane about the origin.
2
z +z 2
exp − 1 2 2
Figure 1 f (z1 , z2 ) = 2π is rotation invariant.
It follows that for any set A in the plane P((Z 1 , Z 2 ) ∈ A) = P((Z 1 , Z 2 ) ∈ T A),
where T is a rotation of the plane. Now if X 1 is normal with mean 0 and variance σ12
and X 2 is normal with mean 0 and variance σ22 , then X 1 + X 2 has the same distribution
as σ1 Z 1 + σ2 Z 2 . Hence
(See F IGURE 2 for the case t > 0 and F IGURE 3 for the case t < 0.)
z2 z2
σ 1 z1 + σ 2 z2 = t
t t
d= z1 =
σ 12 + σ 22 σ 1 + σ 22
2
T
(0,0)
z1 −→ z1
Figure 2 The half plane σ1 z1 + σ2 z2 ≤ t , t > 0 is rotated into the half plane z1 ≤
t .
2 2
σ1 +σ2
z2 z2
|t|
d=
σ 1 + σ 22
2 t
z1 =
σ 1 + σ 22
2
T
(0,0)
z1 −→ z1
σ 1 z1 + σ 2 z2 = t
Figure 3 The half plane σ1 z1 + σ2 z2 ≤ t , t < 0 is rotated into the half plane z1 ≤
t .
2 2
σ1 +σ2
Thus P(X 1 + X 2 < t) = P( σ12 + σ22 Z 1 < t). It follows that X 1 + X 2 is normal
with mean 0 and variance σ12 + σ22 . This completes the proof.
In all the probability texts that we have surveyed, we have only found one [2, pp.
361–363] with an approach based on the rotation invariance of the joint normal density.
REFERENCES
1. W. Feller, An Introduction to Probability Theory and Its Applications, Vol. II, John Wiley Sons, New York,
1971.
2. J. Pitman, Probability, Springer-Verlag, New York, 1993.
A triangle can be dissected into two isosceles triangles if and only if one of its
angles is three times another or if the triangle is right angled:
x 2x
x 2x
REFERENCE
Angel Plaza, Proof without words: Every triangle can be subdivided into six isosceles triangles, this M AG -
AZINE 80 (2007).
D ES M AC H ALE
Department of Mathematics
University College, Cork, Ireland