Convolution of Distribution Functions:
If F1(·) and F1(·) are distribution functions, then the function F(·)
F(x) = |
ó
õ |
F1(x–y) dF2(y) |
|
is called the convolution of distribution functions F1 and F2. This is often denoted as F = F1 *F2.
The convolution F1 *F2 provides the distribution function of the sum of two independent random variables with distribution functions F1 and F2.
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