My Math Forum Distribution of the difference between 2 random variables ?

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 December 18th, 2013, 05:04 AM #1 Newbie   Joined: Nov 2013 Posts: 8 Thanks: 0 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
 December 18th, 2013, 01:10 PM #2 Global Moderator   Joined: May 2007 Posts: 6,834 Thanks: 733 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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