​​​This tiny post is about a basic characterization of Gaussian distributions.​

The theorem. A random vector of dimension two or more has independent components and is rotationally invariant if and only if its components are Gaussian, centered, with same variances.

In other words, for all $n\geq2$, a probability measure on $\mathbb{R}^n$ is in the same time product and rotationally invariant if and only if it is a Gaussian distribution $\mathcal{N}(0,\sigma^2I_n)$ for some $\sigma\geq0$.

Note that this does not work for $n=1$. In a sense it is a purely multivariate phenomenon.

A proof. For all $\sigma\geq0$, the Gaussian distribution $\mathcal{N}(0,\sigma^2I_n)$ is product and is rotationally invariant, and if $\sigma>0$, its density is, denoting $|x|:=\sqrt{x_1^2+\cdots+x_n^2}$, $$x\in\mathbb{R}^n\mapsto\mathrm{exp}\Bigr(-\frac{|x|^2}{2\sigma^2}-n\log\sqrt{2\pi\sigma^2}\Bigr).$$ Conversely, suppose that $\mu$ is a rotationally invariant product probability distribution on $\mathbb{R}^n$. We can assume without loss of generality that it has a smooth positive density $f:\mathbb{R}^n\to(0,\infty)$, since otherwise we can consider the probability measure $\mu*\mathcal{N}(0,\varepsilon I_n)$ for $\varepsilon>0$, which is also product and rotationally invariant. By rotational invariance, $\log f(x)=g(|x|^2)$, and thus $$\partial_i\log f(x)=2g'(|x|^2)x_i.$$ On the other hand, since $\mu$ is product, we have $\log f (x)=h(x_1)+\cdots+h(x_n)$ and thus $$\partial_i\log f (x)=h'(x_i).$$ Hence $\partial_i\log f(x)$, which depends on $|x|$ via $g'(|x|)$, depend only on $x_i$. Since $n\geq2$, it follows that $g’$ is constant. Therefore there exist $a,b\in\mathbb{R}$ such that $g(u)=au+b$ for all $u$, and thus $f(x)=\mathrm{e}^{a|x|^2+b}$ for all $x\in\mathbb{R}^n$. Since $f$ is a density, $a<0$ and $\mathrm{e}^b=(\pi/a)^{-n/2}$.

History. ​This was probably known before Maxwell, maybe by Carl Friedrich Gauss (1777 – 1855) himself. The proof above is roughly the reasoning followed by James Clerk Maxwell (1831 – 1879) to derive the distribution of velocities in an ideal gas at equilibrium. In his case $n=3$, and the distribution is known in statistical physics as the Maxwellian distribution. This was a source of inspiration for Ludwig Boltzmann (1844 – 1906) for the derivation of his kinetic evolution equation and his H-theorem about entropy.

Characterizations. This characterization of Gaussian laws among product distributions using invariance by the action of transformations (rotations) leads to the same characterization for the heat semi-group and for the Laplacian operator. There are of course other remarkable characterizations of the Gaussian, for instance as being an eigenvector of the Fourier transform, and also, following Boltzmann, as being the maximum entropy distribution at fixed variance.

Further reading. Robert Robson, Timon Mehrling, and Jens Osterhoff, Great moments in kinetic theory: 150 years of Maxwell’s (other) equations, European Journal of Physics 38(6) 2017 (PDF)

Maxwell characterization for unitary invariant random matrices. A random $n\times n$ Hermitian matrix has in the same time independent entries and a law invariant by conjugacy with respect to unitary matrices if and only if it has a Gaussian law with density of the form $$H\mapsto\exp(a\mathrm{Tr}(H^2)+b\mathrm{Tr}(H)+c).$$ Note that the unitary invariance implies that the density depends only of the spectrum and is actually a symmetric function of the eigenvalues. A complete solution can be found for instance in Madan Lal Mehta book on Random matrices (Theorem 2.6.3). It is based on the following lemma due to Hermann Weyl: all the invariants of an $n\times n$ matrix $H$ under non-singular similarity transformations $H\mapsto UHU^*$ can be expressed in terms of traces of the first $n$ powers of $H$. The assumption about the independence of entries kills all powers above $2$.

Complement. It is not difficult to show that if $X$ is a random vector of $\mathbb{R}^n$, $n\geq1$ with independent Gaussian and centered components of positive variance then $\mathbb{P}(X=0)=0$ and $X/|X|$ is uniformly distributed on the sphere. Conversely, it was shown by my former teacher and colleague Gérard Letac in The Annals of Statistics (1981) that if a random vector $X$ of $\mathbb{R}^n$, $n\geq3$, has independent components and is such that $\mathbb{P}(X=0)=0$ and $X/|X|$ is uniformly distributed on the sphere, then $X$ is Gaussian and in particular its components are Gaussian with zero mean and same positive variance. Moreover there are counter examples for $n=1$ and $n=2$. When $n\geq3$, this result of Letac implies the Maxwell theorem.

1. amic 2018-12-15

n⩾2…
En tout cas je viens d’apprendre un truc que je ne connaissais pas (ou que j’avais sciemment bien oublié…), merci.

2. Djalil Chafaï 2018-12-16

Merci Amic, c’est corrigé. Il y avait même un $n\geq0$ dans la première version 🙂

3. Gerard Letac 2018-12-20

On peut completer ainsi: si $X=(X_1,\ldots,X_n)$ est forme de va independantes et si $X/\|X\|$ est uniforme sur la sphere unite, alors les $X_i$ sont normaux et de meme loi, a condition que $n\geq 3$ C’est dans Annals of Statistics (1981) pages 408-417.

4. Djalil Chafaï 2018-12-28

Merci Gérard, j’ai mis à jour le billet pour mentionner ce résultat.

This site uses Akismet to reduce spam. Learn how your comment data is processed.

Syntax · Style · Tracking & Privacy.