Cantelli's conjecture on Gaussian mixtures
Cantelli's conjecture on Gaussian mixtures
Let be independent real random variables with standard Gaussian distribution, and let be a measurable non-negative function. The random variable is said to have a Gaussian distribution when its law is Gaussian.
Cantelli's conjecture. The random variable has a Gaussian distribution if and only if is constant.
This question asks whether a non-constant positive measurable function can preserve Gaussianity in this construction. The paper's abstract states that it constructs a counterexample, so the conjecture is refuted.
Sources & referencesView supporting material
Primary source
Victor Kleptsyn and Aline Kurtzmann, “A counterexample to the Cantelli conjecture through the Skorokhod embedding problem”, arXiv:1202.2250 (2015).
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