Cramér's decomposition theorem
Cramér’s decomposition theorem for a normal distribution is a result in the mathematical theory of probability. It is well known that, given independent normally distributed random variables ξ1, ξ2, their sum is normally distributed as well. It turns out that the converse is also true. The latter result, initially announced by Paul Lévy, has been proved by Harald Cramér. This became a starting point for a new subfield in probability theory, decomposition theory for random variables as sums of independent variables.
The precise statement of the theorem
Let a random variable ξ be normally distributed and admit a decomposition as a sum ξ = ξ1 + ξ2 of two independent random variables. Then the summands ξ1 and ξ2 are normally distributed as well.One proof of Cramér's decomposition theorem uses the theory of entire functions.