Convolution of probability distributions

The convolution of probability distributions arises in and dene

probability theory and statistics as the operation in terms
of probability distributions that corresponds to the addition of independent random variables and, by extension,
2

to forming linear combinations of random variables. The Y =

Xi .
operation here is a special case of convolution in the coni=1
text of probability distributions.
Also, let Z denote a generic binomial random variable:

Introduction

Z Binomial(2, p).
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 2.1.1 Using probability mass functions
density function of a sum of random variables is the
convolution of their corresponding probability mass func- As X1 and X2 are independent,
tions or probability density functions respectively. Many
well known distributions have simple convolutions: see
]
[ 2
List of convolutions of probability distributions

Xi = n
P[Y = n] = P

i=1

Example derivation

P[X1 = m] P[X2 = n m]

mZ

] [(
)
[( 1 )
1
1m
1n+
pm (1 p)
pnm (1 p)
m
nm
mZ
( 1 )( 1 )
2n
= pn (1 p)
m nm
mZ
[( )( ) ( )(
)]
1
1
1
1
2n
= pn (1 p)
+
0 n
1 n1
( )
2 n
2n
=
p (1 p)
= P[Z = n].
n

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.

2.1

( )
Here, use was made of the fact that nk = 0 for k>n in the
last but three equality, and of Pascals rule in the second
last equality.

Convolution of Bernoulli distributions

The convolution of two i.i.d. Bernoulli random variables

is a Binomial random variable. That is, in a shorthand
notation,
2

2.1.2 Using characteristic functions

The characteristic function of each Xk and of Z is

Bernoulli(p) Binomial(2, p).

i=1

To show this let

Xi Bernoulli(p),

Xk (t) = 1 p + peit
0 < p < 1,

1i2

(
)2
Z (t) = 1 p + peit

where t is within some neighborhood of zero.

1

Y (t) = E e

it

k=1 Xk

(
=E

)
e

itXk

k=1

2
(
(
)
)
E eitXk =
1 p + peit

k=1

)
it 2

= 1 p + pe

k=1

= Z (t)

The expectation of the product is the product of the expectations since each Xk is independent. Since Y and Z
have the same characteristic function, they must have the
same distribution.

See also
List of convolutions of probability distributions

References
Hogg, Robert V.; McKean, Joseph W.; Craig, Allen
T. (2004). Introduction to mathematical statistics
(6th ed.). Upper Saddle River, New Jersey: Prentice Hall. p. 692. ISBN 978-0-13-008507-8. MR
467974.

REFERENCES

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