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a property of remaining unchanged regardless of changes in the conditions of measurement

4 votes
1 answer
213 views

Transformations that preserve normality for all multivariate normal distributions

I am looking for measurable invertible functions $f:\mathbb{R}^n \rightarrow \mathbb{R}^n$ such that for all (non-degenerate) n-dimensional Gaussian random variables $X$, we have that $f(X)$ is still …
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