Skip to main content
2 of 2
added 60 characters in body
Alexandre Eremenko
  • 91.8k
  • 9
  • 259
  • 429

This is a very special case of the Darmois-Skitovich theorem, which deals with two arbitrary linear forms of the independent random variables, without any a priori conditions about their distributions. See, for example

Kagan, A.M., Linnik, Yu.V.; Rao, C.Radhakrishna Characterization problems in mathematical statistics,

or perhaps more accessible

Theory Probab. Appl., 57(3), 368–374. I. A. Ibragimov, On the Skitovich--Darmois--Ramachandran Theorem Theory Probab. Appl., 57(3), 368–374.

Or just type "Darmois-Skitovich theorem" on Google.

Alexandre Eremenko
  • 91.8k
  • 9
  • 259
  • 429