# Proof that normalized vector of Gaussian variables is uniformly distributed on the sphere

I have seen in various places the following claim:

Let $X_1$, $X_2$, $\cdots$, $X_n \sim \mathcal{N}(0, 1)$ and be independent. Then, the vector $$X = \left(\frac{X_1}{Z}, \frac{X_2}{Z}, \cdots, \frac{X_n}{Z}\right)$$ is a uniform random vector on $S^{n-1}$, where $Z = \sqrt{X_1^2 + \cdots + X_n^2}$ is a normalization factor.

Many sources claimed this fact folllows easily from the "orthogonal-invariance" of the normal distribution, but somehow I couldn't construct a rigorous proof. (one such "sketch" can be found here).

So, my question is why is this true?

• Is there some papers which explain this? – Christo Feb 18 at 15:55

In more detail, let $f:S^{n-1}\to\Bbb R$ be a continuous function. Then \eqalign{ \Bbb E[f(X)] &=\int_{\Bbb R^n}f(x_1/z,\ldots,x_n/z)(2\pi)^{-n/2}e^{-z^2/2}\,dx_1\cdots dx_n\cr &=(2\pi)^{-n/2}\int_0^\infty\left[\int_{S^{n-1}} f(u)\,\sigma_{n-1}(du)\right]e^{-r^2/2}r^{n-1}\,dr\cr &=c_n\int_{S^{n-1}} f(u)\,\sigma_{n-1}(du).\cr } Here $\sigma_{n-1}$ is the "surface area" measure on the sphere $S^{n-1}$ and $$c_n=(2\pi)^{-n/2}\int_0^\infty e^{-r^2/2}r^{n-1}\,dr = \pi^{-n/2}2^{-1}\Gamma(n/2).$$ (Thus $2\pi^{n/2}/\Gamma(n/2)$ is the surface area of $S^{n-1}$.)
• Because $f$ is an arbitrary continuous function. By approximating the indicator of a closed set $F\subset S^{n-1}$ by continuous functions you can show that $\Bbb P[X\in F]$ coincides with the probability accorded $F$ by the uniform distribution on $S^{n-1}$. Once you have this for closed sets it follows automatically for Borel sets. – John Dawkins Jul 19 '16 at 18:15