Convolution of Distribution Functions:

If F₁(·) and F₁(·) are distribution functions, then the function F(·)

 

F(x) = ó õ F1(x-y) dF2(y)

is called the convolution of distribution functions F₁ and F₂. This is often denoted as F = F₁ *F₂.

The convolution F₁ *F₂ provides the distribution function of the sum of two independent random variables with distribution functions F₁ and F₂.

 

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