Explain p.d.f. of the sum of random variables

In summary, the conversation discusses finding the pdf of the sum of two random variables with a joint pdf, and mentions that it may not have a solution if the variables are dependent. The conversation also mentions the use of Google and the joint characteristic function to find the pdf, and provides a formula for calculating the probability that the sum is less than a given value.
  • #1
exoCHA
2
0
Hi,
I need your help,
Say we have two random variables with some joint pdf f(x,y). How would I go about finding the pdf of their sum?
 
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  • #2
If the two random variables are dependent there is no easy solution. (I tried Google!)
 
  • #3
I think I found the answer: google docs... page 10

another question, if I end up with an integral like that and a constant inside, then does the pdf of the two variables diverges and there's no answer?
 
  • #4
Hey exoCHA.

The PDF won't diverge if it's a valid PDF.

The PDF however may not give finite moments but that is a completely different story. Your PDF should be a valid PDF if you did everything right and it should contain a region that has finite realizations of Z if the domain of your X and Y in your joint PDF are also finite for something like Z = X + Y.

Remember that even a Normal distribution is valid for the entire real line just like the Z will also be valid across the entire real line.
 
  • #5
Another way to find the pdf would be to calculate the joint characteristic function

$$\Gamma(\mu_x,\mu_y) = \langle e^{i\mu_x x + i\mu_y y} \rangle = \int_{-\infty}^\infty dx \int_{-\infty}^\infty dy~\rho(x,y) e^{i\mu_x x + i\mu_y y}.$$

One can recover the joint pdf by inverse transforming in the two different mu's, but you can also find the pdf of their sum by setting both ##\mu_x=\mu_y = \mu## and inverse Fourier transforming in ##\mu##:

$$\rho_Z(z) = \int_{-\infty}^\infty \frac{d\mu}{2\pi} \Gamma(\mu,\mu)e^{-i\mu z},$$
where z = x + y. (Whether or not this integral is easy to do is of course a separate issue).
 
  • #6
If you have a density function f(x,y), then the probability that X+Y < z can be expressed as a double integral,
∫∫f(x,y)dxdy where the integral range is given by x+y < z. This can be evaluated by u=x+y replacing x, so du = dx. The double integral now has y range (-∞,∞) and u range (-∞,z) and g(u,y) = f(u-y,y) as the integrand.
 

1. What is a p.d.f. of the sum of random variables?

A p.d.f. (probability density function) of the sum of random variables is a mathematical function that describes the probability of obtaining a certain sum of values from a set of random variables. It is often used in statistics and probability theory to analyze and predict the behavior of random processes.

2. How is the p.d.f. of the sum of random variables calculated?

The p.d.f. of the sum of random variables can be calculated by convolving the individual p.d.f.s of the random variables. This means multiplying their Fourier transforms and taking the inverse Fourier transform of the result. Alternatively, it can also be derived using the characteristic function of the random variables.

3. What is the importance of the p.d.f. of the sum of random variables?

The p.d.f. of the sum of random variables is important because it helps us understand and predict the behavior of complex systems that involve multiple random variables. It allows us to calculate the probability of obtaining a certain sum of values, which is crucial in fields like finance, physics, and engineering.

4. Can the p.d.f. of the sum of random variables be used for continuous and discrete random variables?

Yes, the p.d.f. of the sum of random variables can be used for both continuous and discrete random variables. In the case of continuous random variables, the p.d.f. is a continuous function, while for discrete random variables, it is a discrete function. However, the same principles of convolution and characteristic function can be applied to both types of random variables.

5. Are there any limitations to the p.d.f. of the sum of random variables?

The p.d.f. of the sum of random variables assumes that the random variables are independent and identically distributed. This means that the behavior of one variable does not affect the behavior of the others, and they all follow the same probability distribution. In real-world scenarios, this may not always be the case, so the p.d.f. may not accurately reflect the behavior of the system.

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