Let X 1 and X 2 be independent and identically distributed with density This is a Cauchy distribution with parameters λ = 1 and μ = 0 (section XXXXXXXXXXVerify that X 1 + X 2 has a Cauchy distribution...

Let X₁
and X₂
be independent and identically distributed with density

This is a Cauchy distribution with parameters λ = 1 and μ = 0 (section 1.2.3.2). Verify that X₁
+ X₂
has a Cauchy distribution with parameters λ = 2 and μ = 0.