- #1
stukbv
- 118
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Hello, my question ;
Suppose X1 and X2 are independent random variables, each with the standard gaussian distribution. Compute, using convolutions the density of the distribution X1 + X2 and show that X1+ X2 has the same distribution as X * root2 where X has standard gaussian distribution.
Basically I have said
take fx+y (z) = integral fx(z-y)fy(y) dy.
I have said fx (z-y) = 1/root2pi * exp(-.5(z-y)^2) and that fy = 1/root2pi exp(-(y^2)/2)
I have then multiplied these together inside an integral from minus infinity to infinity
I end up getting
1/2pi *exp(-z^2 / 2) * integral exp(y(-y+z))
Now how do i go further, and am i even on the right lines!?
Any help would be very much appreciated
Thanks.
Suppose X1 and X2 are independent random variables, each with the standard gaussian distribution. Compute, using convolutions the density of the distribution X1 + X2 and show that X1+ X2 has the same distribution as X * root2 where X has standard gaussian distribution.
Basically I have said
take fx+y (z) = integral fx(z-y)fy(y) dy.
I have said fx (z-y) = 1/root2pi * exp(-.5(z-y)^2) and that fy = 1/root2pi exp(-(y^2)/2)
I have then multiplied these together inside an integral from minus infinity to infinity
I end up getting
1/2pi *exp(-z^2 / 2) * integral exp(y(-y+z))
Now how do i go further, and am i even on the right lines!?
Any help would be very much appreciated
Thanks.