How to set up NN symmetric random variables whose sum is always zero
Let AA be an N×NN \times N matrix:
A=[−(N−1) 1 1 ⋯ 1 −(N−1) 1 ⋯ ⋱ ⋯ 1 −(N−1) 1 ⋯ 1 1 −(N−1)]A=\begin{bmatrix}-(N-1)&1&1&\cdots&&&\\1&-(N-1)&1&\cdots&&&\\&&&\ddots&&&\\&&&\cdots&1&-(N-1)&1\\&&&\cdots&1&1&-(N-1)\end{bmatrix}
Let X iX_i be i.i.d. NN random variables.
Then the NN random variables defined by Y≡A⋅XY \equiv A \cdot X is the answer.