Académique Documents
Professionnel Documents
Culture Documents
Introduction
Z Binomial(2, p).
The probability distribution of the sum of two or more
independent random variables is the convolution of their
individual distributions. The term is motivated by the
fact that the probability mass function or probability 2.1.1 Using probability mass functions
density function of a sum of random variables is the
convolution of their corresponding probability mass func- As X1 and X2 are independent,
tions or probability density functions respectively. Many
well known distributions have simple convolutions: see
]
[ 2
List of convolutions of probability distributions
Xi = n
P[Y = n] = P
i=1
Example derivation
P[X1 = m] P[X2 = n m]
mZ
] [(
)
[( 1 )
1
1m
1n+
pm (1 p)
pnm (1 p)
m
nm
mZ
( 1 )( 1 )
2n
= pn (1 p)
m nm
mZ
[( )( ) ( )(
)]
1
1
1
1
2n
= pn (1 p)
+
0 n
1 n1
( )
2 n
2n
=
p (1 p)
= P[Z = n].
n
There are several ways of deriving formulae for the convolution of probability distributions. Often the manipulation of integrals can be avoided by use of some type of
generating function. Such methods can also be useful in
deriving properties of the resulting distribution, such as
moments, even if an explicit formula for the distribution
itself cannot be derived.
2.1
( )
Here, use was made of the fact that nk = 0 for k>n in the
last but three equality, and of Pascals rule in the second
last equality.
i=1
Xk (t) = 1 p + peit
0 < p < 1,
1i2
(
)2
Z (t) = 1 p + peit
Y (t) = E e
it
k=1 Xk
(
=E
)
e
itXk
k=1
2
(
(
)
)
E eitXk =
1 p + peit
k=1
)
it 2
= 1 p + pe
k=1
= Z (t)
The expectation of the product is the product of the expectations since each Xk is independent. Since Y and Z
have the same characteristic function, they must have the
same distribution.
See also
List of convolutions of probability distributions
References
Hogg, Robert V.; McKean, Joseph W.; Craig, Allen
T. (2004). Introduction to mathematical statistics
(6th ed.). Upper Saddle River, New Jersey: Prentice Hall. p. 692. ISBN 978-0-13-008507-8. MR
467974.
REFERENCES
5.1
Text
5.2
Images
5.3
Content license