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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1957 Volume 2, Issue 1, Pages 34–59 (Mi tvp4957)

This article is cited in 10 papers

On the Decomposition of the Convolution of Gaussian and Poissonian Laws

Yu. V. Linnik

Leningrad

Abstract: The paper contains a detailed proof for the following theorem: the convolution of a Gaussian and a Poissonian law can be decomposed only into similar convolutions. More precisely, let $X=X_1+X_2$, where $X_1$ is a Gaussian component and $X_2$ a Poissonian component independent of $X_1$. If there is some other decomposition: $X=Y_1+Y_2,Y_1$ being independent of $Y_2$, then
$$Y_1=Y_{11}+Y_{12},\\Y_2=Y_{21}+Y_{22}.$$
where $Y_{11},Y_{21}$ are Gaussian and $Y_{12},Y_{22}$ Poissonian, all mutually independent, and
$$\mathbf D\left(Y_{11}\right)+\mathbf D\left(Y_{21}\right)=\mathbf D\left(X_1\right),\\\mathbf D\left(Y_{12}\right)+\mathbf D\left(Y_{22}\right)=\mathbf D\left(X_2\right).\\$$
Thus, H. Cramer's theorem on decomposing the normal law, and D. A. Raykov's theorem on decomposing the Poissonian law are special cases of this theorem.

Received: 19.11.1956


 English version:
Theory of Probability and its Applications, 1957, 2:1, 31–57


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