ⓘ Convolution of probability distributions. The convolution of probability distributions arises in probability theory and statistics as the operation in terms of ..


ⓘ Convolution of probability distributions

The convolution of probability distributions arises in probability theory and statistics as the operation in terms of probability distributions that corresponds to the addition of independent random variables and, by extension, to forming linear combinations of random variables. The operation here is a special case of convolution in the context of probability distributions.


1. Introduction

The probability distribution of the sum of two or more independent random variables is the convolution of their individual distributions. The term is motivated by the fact that the probability mass function or probability density function of a sum of random variables is the convolution of their corresponding probability mass functions or probability density functions respectively. Many well known distributions have simple convolutions: see List of convolutions of probability distributions

The general formula for the distribution of the sum Z = X + Y {\displaystyle Z=X+Y} of two independent integer-valued and hence discrete random variables is

P Z = z = ∑ k = − ∞ ∞ P X = k P Y = z − k {\displaystyle PZ=z=\sum _{k=-\infty }^{\infty }PX=kPY=z-k}

The counterpart for independent continuously distributed random variables with density functions f, g {\displaystyle f,g} is

h z = f ∗ g z = ∫ − ∞ ∞ f z − t g t d t = ∫ − ∞ ∞ f t g z − t d t {\displaystyle hz=f*gz=\int _{-\infty }^{\infty }fz-tgtdt=\int _{-\infty }^{\infty }ftgz-tdt}

If we start with random variables X and Y, related by Z=X+Y, and without knowledge of these random variables being independent, then:

f z = ∫ − ∞ ∞ f X Y x, z − x d x {\displaystyle f_{Z}z=\int \limits _{-\infty }^{\infty }f_{XY}x,z-x~dx}

However, if X and Y are independent, then:

f X Y x, y = f x f y {\displaystyle f_{XY}x,y=f_{X}xf_{Y}y}

and this formula becomes the convolution of probability distributions:

f z = ∫ − ∞ ∞ f x f Y z − x d x {\displaystyle f_{Z}z=\int \limits _{-\infty }^{\infty }f_{X}x~f_{Y}z-x~dx}

2. Example derivation

There are several ways of deriving formulae for the convolution of probability distributions. Often the manipulation of integrals can be avoided by use of some type of generating function. Such methods can also be useful in deriving properties of the resulting distribution, such as moments, even if an explicit formula for the distribution itself cannot be derived.

One of the straightforward techniques is to use characteristic functions, which always exists and are unique to a given distribution.

Convolution of Bernoulli distributions

The convolution of two independent identically distributed Bernoulli random variables is a Binomial random variable. That is, in a shorthand notation,

∑ i = 1 2 B e r n o u l i p ∼ B i n o m i a l 2, p {\displaystyle \sum _{i=1}^{2}\mathrm {Bernoulli} p\sim \mathrm {Binomial} 2,p}

To show this let

X i ∼ B e r n o u l i p, 0 < p < 1, 1 ≤ i ≤ 2 {\displaystyle X_{i}\sim \mathrm {Bernoulli} p,\quad 0
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