What is the solution to this week's POTW?

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  • Thread starter Euge
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In summary, the solution to this week's POTW (Problem of the Week) is the answer to the problem that was given at the beginning of the week. To determine if your solution is correct, you can compare it to the answer provided by the scientist or organization that presented the POTW or ask for feedback from a fellow scientist or teacher. The use of calculators or other tools may be allowed depending on the specific instructions given for the POTW. If you are unable to solve the POTW, you can try researching similar problems or asking for help. Some general tips for solving the POTW include breaking the problem down, visualizing it, trying different strategies, and checking for errors.
  • #1
Euge
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Here is this week's POTW:

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If $X$ and $Y$ are independent, standard Cauchy random variables, find the density of the sum $X + Y$.
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  • #2
This week's problem was solved correctly by Ackbach. You can read his solution below.

Because $X$ and $Y$ are both standard Cauchy distributions, they will have density functions
\begin{align*}
f(x;0,1)&=\frac{1}{\pi(1+x^2)} \quad\text{and}\\
f(y;0,1)&=\frac{1}{\pi(1+y^2)},
\end{align*}
respectively. To find the density function for $X+Y,$ we first find the characteristic function (Fourier Transform) $\varphi_{X+Y}(t),$ and then take its inverse. Because $X$ and $Y$ are independent, we may calculate
\begin{align*}
\varphi_{X+Y}(t)
:&=E\left[e^{it(X+Y)}\right] \\
&=E\left[e^{itX}\,e^{itY}\right] \\
&=E\left[e^{itX}\right]E\left[e^{itY}\right] \\
&=\varphi_X(t)\,\varphi_Y(t).
\end{align*}
So the characteristic function of the sum is the product of the characteristic functions (assuming independence). So we calculate as follows:
\begin{align*}
\varphi_X(t)\,\varphi_Y(t)&=\int_{\mathbb{R}}\frac{1}{\pi(1+x^2)}\,e^{ixt}\,dx \cdot \int_{\mathbb{R}}\frac{1}{\pi(1+y^2)}\,e^{iyt}\,dy \\
&=e^{-|t|}\,e^{-|t|} \\
&=e^{-2|t|} \\
&=\varphi_Z(t;0,2).
\end{align*}
In other words, we simply recognize this as the characteristic function of another Cauchy distribution, with $x_0=0$ and $\gamma=2$. That is, if $Z=X+Y,$ then the density function is
$$f(z;0,2)=\frac{1}{2\pi\left[1+z^2/4\right]}.$$
 

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