Ok, I figured out how to answer my own question. You just plug in all the numbers into the following equation.
Var(X1, X2, X3) = stdev1^2 + stdev2^2 + stdev3^2 + 2 * Correl(X1,X2) * (stdev1 * stdev2) + 2 * Correl(X1,X3) * (stdev1 * stdev3) + 2 * Correl (X2,X3) * (stdev2 * stdev3)
Anyways...
Sorry, I don't think I explained the question properly.
The problem is that there is a different correlation between each data set.
For example:
Set 1 and Set 2 have a correl of .71
Set 1 and Set 3 have a correl of .80
Set 2 and Set 3 have a correl of .70
So, if I simply solve it out...
I have three sets of data that I’ve used to create three Gaussian distributions which have different means and standard deviations. The data sets are also correlated as the data is dependent on time. I want to compare the sum of two distributions with the sum of three distributions to find which...