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In this video, I am presenting what is the probability density function of the probability distribution of the sum of two independent random variables. A proof, using the characteristic function, is explained in detail.

In case of any doubt in understanding, please, refer to the article above 🙂

00:00 Introduction
00:28 Formula for the pdf of two independent random variables
00:50 Independence of two random variables
01:31 The Characteristic Function
02:15 Characteristic function of a sum of two independent random variables
03:45 Equivalency under Fourier transform
04:16 Final step of the proof
05:18 Extension to an arbitrary number of RVs

#probability #convolution

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