Sum of two random variables

  • PDF of the sum of two random variables (\(Z=X+Y\)) is given by the convolution:

\[ f_Z(z) = (f_X*f_Y)(z) = \int_{-\infty}^{\infty}f_X(z-y)f_Y(y)dt \]

see text for details.

Some common sums of distributions: