1. The problem statement, all variables and given/known data Z = X - Y and I'm trying to find the PDF of Z. 2. Relevant equations Convolution 3. The attempt at a solution Started by finding the CDF: Fz(z) = P(Z ≤ z) P(X - Y ≤ z) So I drew a picture So then should Fz(z) be: since, from my graph, it looks as though Y can go from negative infinity to positive infinity, and X can go from negative infinity on the left but is bounded by z+y on the right then should the pdf be: Edit: sorry I forgot to include the fact that, because fx and fy are independent, f(x,y) = fxfy in the following derivation ?