For any positive integer $n$, there exists a unimodal distribution $\mu$ such that $\mu \ast \mu$ is $n$-modal. Furthermore, there is a unimodal distribution $\mu$ such that $\mu \ast \mu$ has infinitely many modes. Lattice analogues of the results are also given.
@article{1176989129,
author = {Sato, Ken-Iti},
title = {Convolution of Unimodal Distributions Can Produce any Number of Modes},
journal = {Ann. Probab.},
volume = {21},
number = {4},
year = {1993},
pages = { 1543-1549},
language = {en},
url = {http://dml.mathdoc.fr/item/1176989129}
}
Sato, Ken-Iti. Convolution of Unimodal Distributions Can Produce any Number of Modes. Ann. Probab., Tome 21 (1993) no. 4, pp. 1543-1549. http://gdmltest.u-ga.fr/item/1176989129/