Convolution of probability distributions: Difference between revisions

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Introduction: define g and f as pdf and G and F as CDF and correct formula
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fix typo.
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:<math>P(Z=z) = \sum_{k=-\infty}^\infty P(X=k)P(Y=z-k)</math>
 
For independent, continuous random variables with pdf <math>f,g</math> and CDF <math>F,G</math> respectively, we have that the CDF otof hethe sum is:
:<math>H(z)=\int_{-\infty}^\infty F(z-t)g(t) dt = \int_{-\infty}^\infty G(t)f(z-t) dt</math>