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December 18th, 2013, 05:04 AM   #1
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Distribution of the difference between 2 random variables ?

Hello,

I 'm trying to express the distribution of x-y in integral form. I m not sure about the integration bounds though.

I presume that the standard convolution PDF can be used: let z= x-y, then:
f[SUB]z[/SUB](z) =? f[SUB]x[/SUB](x)*f[SUB]y[/SUB](z+x) dx, but with what integration lower and upper bounds ??

Assume that x,y ? 0.

Any help would be useful
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December 18th, 2013, 01:10 PM   #2
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Re: Distribution of the difference between 2 random variable

The integral is over the entire real line. You omit those parts where the integrand = 0.
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