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May 6, 2020 at 18:17 comment added kdbanman Ah, that’s what I get for not reading further! @gunes thanks for the additional case. In a way, it’s interesting that the limiting cases are at the extrema of of dispersion: minimal dispersion for constant RV (i.e. delta distribution) and maximal dispersion for Cauchy.
May 6, 2020 at 6:15 comment added gunes @kdbanman correct, it's also referred in other answer by javierozcoiti. Another trivial exception is constant RV.
May 6, 2020 at 1:19 comment added kdbanman If I recall, the exceptional case here is the Cauchy distribution. i.e. if $x_i$ are sampled from a Cauchy distribution, then $\bar x$ is distributed as the same Cauchy distribution.
Apr 30, 2020 at 13:04 vote accept Euler_Salter
Apr 30, 2020 at 10:50 comment added gunes It is a sample from $p$ only when $n=1$ btw.
Apr 30, 2020 at 10:49 history edited gunes CC BY-SA 4.0
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Apr 30, 2020 at 10:48 comment added Euler_Salter Good point! That's such a simple thing to check
Apr 30, 2020 at 10:48 history answered gunes CC BY-SA 4.0