If F1(·) and F1(·) are distribution functions, then the function F(·)
| F(x) = | ó õ | F1(x–y) dF2(y) |
is called the convolution of distribution functions F1 and F2. This is often denoted as F = F1 *F2.
The convolution F1 *F2 provides the distribution function of the sum of two independent random variables with distribution functions F1 and F2.
If the symbols do not display properly, try
the graphic version of this page