# Thread: Sum of t distributed variables

1. ## Sum of t distributed variables

Hi, I am looking for a class of fat-tailed probability distributions $\mathcal{D}$ which would satisfy the following:
Let $X,Y\in\mathcal{D}.$ be two uncorrelated random variables (not necessarily independent). Then it is true that also $Z\in{\mathcal{D}}$ where
$Z=\sqrt{\beta}X + \sqrt{1-\beta}Y \ \ \ \forall\beta\in[0,1]$

In other words, I am trying to find a fat-tailed distribution that X,Y would be from for which no matter the value of beta, Z would always follow the same distribution. For example normal distribution satisfies this property.

I tried t-distribution. However, for t-distributed X and Y, distribution of Z depends on $\beta$.

I was thinking about multivariate t-distribution such that X,Y are not independent but only uncorrelated but I cannot seem to get it right. Any ideas? Links? Papers?

Thanks guys

2. ## Re: Sum of t distributed variables

Hey Naena.

You may have to introduce an extra transformation to get what you want. There is an area that is right up your alley called ancillary statistics:

Ancillary statistic - Wikipedia, the free encyclopedia

Take a look at this and see if you can adapt the knowledge and theory of this area to your needs.