Cauchy, normal and correlations versus heavy tails

Hui Xu, Joel Cohen, Richard Davis +1

A surprising result of Pillai and Meng (2016) showed that a transformation ${\sum }_{j=1}^n{w}_j{X}_j/Y_j$ of two iid centered normal random vectors, $(X_1,\dots ,X_n)$ and $(Y_1,\ldot…