Sum of signal and its probability density

Chriszz
Dear,

I assume that a signal S is expressed as S = a*S1 + b*S2,
where a, b are weight constant, and S1, S2 are the different signals.

In addition, S1, S2 have similar distribution such as Gaussian or Laplacian distribution,
and theirs pdf is p_S1 and p_S2.

In the above assumption, what is the pdf of signal S ?
How can I derive or reference of this pdf p_S ???

Thanks.

Homework Helper
Gold Member
Chriszz
In addition, I have additional question. In the special case, if these two signals are similar (almost same), is there other special relation or equation ?