Sum of Random Variables

This section details the sum of random variables. In the example Simplified Probit Model, we can model \(Y = X + \epsilon\) where \(X\) is a random variable and \(\epsilon\) is a random error term that follows a certain distribution. This section formalizes what happens when we sum two or more distributions.

Further Readings

• Chan, Stanley H. “Chapter 5.5. Sum of Two Random Variables.” In Introduction to Probability for Data Science, 280-286. Ann Arbor, Michigan: Michigan Publishing Services, 2021.