A Cramér-Wold theorem for elliptical distributions

Ricardo Fraiman, Leonardo Moreno, Thomas Ransford

Published 2022-06-27Version 1

According to a well-known theorem of Cram\'er and Wold, if $P$ and $Q$ are two Borel probability measures on $\mathbb{R}^d$ whose projections $P_L,Q_L$ onto each line $L$ in $\mathbb{R}^d$ satisfy $P_L=Q_L$, then $P=Q$. Our main result is that, if $P$ and $Q$ are both elliptical distributions, then, to show that $P=Q$, it suffices merely to check that $P_L=Q_L$ for a certain set of $(d^2+d)/2$ lines $L$. Moreover $(d^2+d)/2$ is optimal. The class of elliptical distributions contains the Gaussian distributions as well as many other multivariate distributions of interest. We use our results to derive a statistical test for equality of elliptical distributions, and we carry out a small simulation study of the test.