3 ms·
> the PDF of the sum of two random variables is the convolution of the original PDFs (Probably obvious to everyone reading, but the variables should be indepen
by creata 2y ago
> the PDF of the sum of two random variables is the convolution of the original PDFs
(Probably obvious to everyone reading, but the variables should be independent.)
- schmidtleonard 2y agoBut I'd rather assume the variables are independent and then blame statistics when I get the wrong answer!
- bokenator 2y agoThis is a good place to use cumulants. Instead of working with joint characteristic functions, which gets messy, it lets you isolate the effects of correlation into a separate term. The only limitation is that this doesn't work if the moment doesn't exist.