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Joint probability distribution of random variablesLet X and Y be two independent exponential random variables with distinct parameters ? and ?. Find the density of X+Y. I know that for the single variable case the exponential random variable is usually given by f(x)=?e^(-?x) if x>0 and f(x)=0 for x<0. I'm unsure how to find the density (i know I need to integrate both for X and Y) but I don't know how to combine these to find the density X+Y. Any help is greatly appreciated. Thanks! |

Re: Joint probability distribution of random variablesQuote:
Let f(x) and g(x) be the density functions of X and Y. Let h(x) be the density function of X+Y. Then: h(x)= ?g(u)f(x-u)du. |

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