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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