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Definition: Convolution of two densitites:
Sums:For X and Y two random variables,
and Z their sum, the density of Z is
Now if the random variables are independent, the density
of their sum is the convolution of their densitites.
- Sum of two independent uniform random variables:
Now fY(y)=1 only in [0,1]
This is zero unless
otherwise it is zero:
For z smaller than 0 or bigger than 2 the density is zero.
This density is triangular.
- Density of two indendent exponentials with parameter .