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σ
Computing…
← Problem Bank
Sum of Random Variables
Calc
Medium
~15 min
· Probability
Problem
The Problem
Let
X
and
Y
be independent random variables with
X
∼
N
(
μ
X
,
σ
X
2
)
and
Y
∼
N
(
μ
Y
,
σ
Y
2
)
.
What is the distribution of
X
+
Y
?
What is the distribution of
max
(
X
,
Y
)
?
Convolution:
Let
X
∼
Exponential
(
λ
)
and
Y
∼
Exponential
(
μ
)
be independent. What is the density of
X
+
Y
? (Hint: not exponential unless
λ
=
μ
.)
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