Hi All :)(adsbygoogle = window.adsbygoogle || []).push({});

say Y = X1 + X2+ X3, where X1, X2 and X3 are each exponentially distributed RV. This makes Y also a RV. If X1 and X2 and X3 are independent, the pdf of Y can be found by the convolution of the individual pdfs.

What if X1, X2 and X3 are correlated? How do we go about finding the pdf of Y?

many thanks in advance

:tongue2:

**Physics Forums - The Fusion of Science and Community**

The friendliest, high quality science and math community on the planet! Everyone who loves science is here!

# Sum of Correlated Exponential RVs

Loading...

Similar Threads - Correlated Exponential | Date |
---|---|

I Probability density of an exponential probability function | Monday at 12:10 PM |

A Interpreting Chi Squared ... backward | Feb 11, 2018 |

I Interpreting the correlation | Feb 6, 2018 |

I Correlation coeff in conditional distribution | Oct 6, 2017 |

I R Value in Social Sciences | Sep 26, 2017 |

**Physics Forums - The Fusion of Science and Community**