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Q54Section III (Statistics)54 of 84

X+YX+Y is 2X2X on ∣X∣≤α|X|\le\alpha and exactly 0 otherwise: an atom at the origin

Let X be a zero-mean unit variance Gaussian random variable. Define the random variable Y as Y=XY=X if ∣X∣≤α|X|\le\alpha and Y=−XY=-X if ∣X∣>α|X|>\alpha, α\alpha is some positive real number. What is the distribution of X+YX+Y?

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