Given the fact that X and Y are independent Cauchy random variables, I want to show that Z = X+Y is also a Cauchy random variable.(adsbygoogle = window.adsbygoogle || []).push({});

I am given that X and Y are independent and identically distributed (both Cauchy), with density function

f(x) = 1/(∏(1+x^{2})) . I also use the fact the convolution integral for X and Y is ∫f(x)f(y-x)dx .

My book says to use the following hint:

f(x)f(y-x) = (f(x)+f(y-x))/(∏(4+y^{2})) + 2/(∏y(4+y^{2}))(xf(x)+(y-x)f(y-x)) .

Using this hint, I'm able to solve the rest of the problem, but I can't figure out how to prove that this hint is true.

Any help would be much appreciated : )

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# Statistics: Show that the sum of two independent Cauchy random variables is Cauchy.

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