Journal for Research| Volume 02| Issue 01 | March 2016

ISSN: 2395-7549

Probability Distribution of Sum of Two

Continuous Variables and Convolution
Rashmi R. Keshvani
Professor
Department of Mathematics
Sarvajanik College of Engineering & Technology, Surat (Guj.)
India

Yamini M. Parmar
Assistant Professor
Department of Mathematics
Government Engineering College, Gandhi nagar (Guj),
India

Abstract
All physical subjects, involving random phenomena, something depending upon chance, naturally find their own way to theory
of Statistics. Hence there arise relations between the results derived for hose random phenomena in different physical subjects
and the concepts of Statistics. Convolution theorem has a variety of applications in field of Fourier transforms and many other
situations, but it bears beautiful applications in field of statistics also .Here in this paper authors want to discuss some notions of
Electrical Engineering in terms of convolution of some probability distributions.
Keywords: A Probability Distribution, An Uniform Probability Distribution, Central Limit Theorem, Convolution, Mean
And Variance of a Probability Distribution, Triangular Function, Unit Rectangle Function
_______________________________________________________________________________________________________

I. INTRODUCTION
Occurrence of resistance of a resistor, with its tolerance can be expressed as a probability distribution. In those circumstances,
what would be the resultant distribution describing occurrence of resistances of resistors having different resistance and different
tolerances, when combined in series? How means and variances are interrelated with that resultant distribution, is main focus of
this paper. In other words, to obtain probability distribution of sum of two random variables is main objective of this paper.

II. SOME BASIC CONCEPTS OF STATISTICS

A Probability Distribution, Its Mean and Variance:
A real valued function () is said to be a probability distribution of a random variable , if (1) () 0, and

() = 1 where is a discrete random variable. or (2) () 0, and () = 1 where is a

continuous random variable. The mean of probability distribution (), denoted by , is defined as

(1) = (), if is discrete, or (2) = (), if is continuous.

(1)
The variance of probability distribution (), denoted by 2 , is defined as

(1) 2 = ( )2 (), if is discrete, or (2) 2 = ( )2 (), if is continuous. [1] (2)

The Uniform Probability Distribution:
The uniform probability distribution, with parameters and , has probability distribution () defined as
1
< <
() = {
0

(3)

III. THE CONCEPT OF CONVOLUTION

The convolution of two functions () and (), [2], denoted by () (), or ( )() is defined as

() () = ()( )
(4)
One can easily check that the operation of convolution is commutative, associative and also distributive over addition.
Convolution has additive property also. That is

(1 + 2 )() = () (1 + 2 )() = () (1 () + 2 ()) = () (1 ( ) + 2 ( )) =

()1 ( ) + ()2 ( ) = ( 1 )() + ( 2 )()

That is (1 + 2 ) = ( 1 ) + ( 2 )

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58

Probability Distribution of Sum of Two Continuous Variables and Convolution

(J4R/ Volume 02 / Issue 01 / 009)

IV. PROBABILITY DISTRIBUTION OF A SUM

Suppose two probability distributions 1 (1 ) and 2 (2 ) are given and it is required to determine probability distribution
() of random variable = 1 + 2 , sum of these two random variables. That is () shows probability that sum of 1 and 2
remains . That is () = ( = 1 + 2 ). As for example, suppose a large number of 100-ohm resisters , quoted as subject
to a 10 percent tolerance are drawn from an infinite supply containing equal numbers of resisters in any 1-ohm interval between
90 and 110 and none outside this range. Suppose that the stock of resisters has been drawn from a supply in which the frequency
of occurrence of resisters between 1 and 1 1 is 1 (1 )1 . [2]
So 1 (1 ) has to be probability distribution, more precisely, uniform probability distribution over interval 90 to 110, ensuring
that,
1
1
=
90 1 110

1 (1 ) 1 = 1, that is 1 (1 ) = {(11090) 20
0

1
100
Expressing 1 (1 ) in terms of rectangle function, 1 (1 ) = ( 1
), where the rectangle function, denoted by (),
20
20
is defined as
|| < 12
|| > 12

1
() = {
0

The mean of this distribution is 1 = 1 1 (1 )1 =

(1 100)2 (1 )1 =

110

(1 100)2 1 = 20 [
20 90

20

110

110

90 1 1 = 20 [ 21 ]

(1 100)3 110

90

90

= 100, and the variance 12 =

100
3

Similarly for a stock of 50-ohm resisters, with 5-ohm tolerance, another probability distribution2 (2 ), defined, as 2 (2 ) =
1
1
=
45 2 55
{(5545) 10
will describe the frequency of occurrence of resisters.
0

1
50
Expressing 2 (2 ) also, in terms of rectangle function, 2 (2 ) = ( 2 ) and the mean of 2 (2 ), will be 2 = 50
10

25

10

and variance 22 =
3
If an electronic circuit, combining two of these stock resistors in series[2], and suppose the resulting distribution describing the
probability of occurrence of resistances, is denoted by (), then here problem is to know, what mathematical relation, ()
bears with 1 (1 ) and 2 (2 ) when = 1 + 2 . It is clear that = 1 + 2 will vary from 90 + 45 = 135 to 110 +
55 = 165, with mean equal to 150. It is also clear that the probability that assumes a value less than or equal to135, that is
( 135) = 0 and the probability that assumes a value greater than or equal to 165 , that is ( 165) = 0.
Probability that assumes a particular value between 135 and 165, say, = 140, that is 1 + 2 = 140, denoted by (140)
will be that area where this sum assumes value 140.That is 2 should remain 140 1 . Required area will be
1 110
1 =50
1 =50 1
1
(140) = 90 2 (140 1 )1 = 2=30 2 (2 ) 2 = 2=45 2 =
,
20

20

20

10

40

As 1 is nonzero if 90 1 110 and 2 is nonzero, if 45 2 55.

One can understand that, this is nothing but convolution of 1 (1 ) and2 (2 ), that is

(140) = (1 2 )(140) = 1 (1 )2 (140 1 )1

This is an instance of the basic convolution relation between the probability distribution describing the sum of two quantities
and the probability distributions of the given quantities. Now taking in general, let resistor 1 have greater resistance 1 with
tolerance 1 , and resistor 2 have smaller resistance 2 with tolerance 2 . As 1 > 2 and, as 1 > 1 , 2 > 2 , there is
no loss of generality any, if we assume 1 > 2 > 1 > 2 > 0.
In terms of rectangle functions 1 =
It is quite obvious that 1 =

1
21

1 1
21

1 1 (1 )1

) and 2 =

1
22

1 +1
1

21 1 1 1
1

2 +2

2 2
22
41 1
41

)
= 1

1
42 2

=
= 2
22 22 2 2
42

1 1+1
1 (1 1 )3 1+1 12
(1 1 )2 1 =
12 = (1 1 )2 1 ()1 =

[
]11 =
21 11
21
3
3

2 +2
2
3
(
)
1
1

2
2
2
+
( 2 2 )2 =
22 = ( 2 2 )2 2 () =

[
]22 22 =
22 22
22
3
3

2 = 2 2 (2 )2 =

To determine (), following cases are to be considered separately,

If 1 + 2 1 2 or 1 + 2 + 1 + 2 , then () = 0
If (1 + 2 ) (1 + 2 ) < < (1 + 2 ) 1 + 2

1 + 1
(1 1 )
1
1
() = 1 (1 )2 ( 1 )1 =
2 ( 1 )1 =
( + ) 2 (2 )2 =
21

21

(1 1 )
1
2

41 2 2 2

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59

Probability Distribution of Sum of Two Continuous Variables and Convolution

(J4R/ Volume 02 / Issue 01 / 009)

(1 1 ) < 2 + 2
( (1 1 ) (2 2 )) as (1 > 2 < 1 + 2 1 + 2 ) {
(1 + 1 ) < 2 2
If (1 + 2 ) 1 + 2 ( 1 + 2 ) + 1 2

1 + 1
(1 1 )
1
1
() = 1 (1 )2 ( 1 )1 =
2 ( 1 )1 =
( + ) 2 (2 )2
=

41 2

1
41 2

2 +2
2
2 2

22

41 2

21
1

21

2 +2
1
2

41 2 (1 + 1 )

1
41 2

21

If 1 + 2 + 1 2 1 + 2 + 1 + 2 ,

1 + 1
1
() = 1 (1 )2 ( 1 )1 =
2 ( 1 )1 =

2
=

(1 1 )
1
(2 )2

21 (1 + 1 ) 2

(2 + 2 + 1 + 1 ),

(1 1 ) > 2 + 2
(1 + 1 ) > 2 2
Thus the resulting distribution (), describing the probability of resistances in the electronic circuit, combining two of these
stock resistors in series, = 1 + 2 will be obtained as
as (1 + 2 + 1 2 1 > 2 ) {

1 + 2 1 2

1
41 2

() =

41 2

(1 + 2 + 1 + 2 )

{ 0

()

41 2

{2

22

(5)

1 + 2 +1 2 1 + 2 + 1 + 2
1 + 2 +1 + 2

2 (1 + 2 1 + 2 )

( (1 1 + 2 2 ))
1
=
{ [
]
41 2
2
1

1 + 2 1 2 1 + 2 1 + 2

1 + 2 1 + 2 1 + 2 + 1 2

21
1

Now

((1 +2 1 2 ))

( + + + )

( + + )

+ 22 [ ](11+ 2211 + 22) + [

(1 + 2 1 2 )

+ 22 (21 22 ) +

222

}=

(1 + 2 + 1 + 2 )2 1 2 1 2
]
}
2
( + + )

41 2

{ 41 2 } = 1, Ensuring that () is a probability distribution.

This result shows that composite resistance can be readily found using convolution. The composite resistance is distributed
trapezoid ally as described in the expression (5).

V. CONSEQUENCES OF THE CONVOLUTION RELATION

Let , 1 , 2 be mean of probability distributions , 1 , 2 respectively.
As is convolution of 1 and 2 ,

= () = (1 2 )() = ( 1 (1 )2 ( 1 ) 1 )

= 1 (1 )( 2 ( 1 ) ) 1 = 1 (1 )( (1 + 1 )2 ( 1 ) ) 1

= 1 (1 ) ( (1 )2 ( 1 ) + 1 2 ( 1 ) ) 1

= 1 (1 ) ( (1 )2 ( 1 )( 1 ) + 1 2 ( 1 )( 1 )] 1

(as in the innermost integration 1 is constant, ( 1 ) = = 2 )

= 1 (1 ) {2 + 1 }1 = 2 1 (1 ) 1 + 1 1 (1 ) 1 = 2 + 1

(6)

2 = ( )2 () = 2 () 2 = { 2 (1 2 )() } 2

= { 2 ( 1 (1 )2 ( 1 )1 ) } 2

= {

1 (1 ) (

2 2 ( 1 )) 1 } 2

(( 1 ) + 1 ) 2 2 ( 1 )) 1 2

1 (1 ) (

1 (1 ) (

{( 1 ) 2 + 2 1 ( 1 ) + 12 } 2 ( 1 ) ) 1 2

1 (1 ) ( {

( 1 )2 2 ( 1 )( 1 )} + 21 2 + 12 ) 1 2

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60

Probability Distribution of Sum of Two Continuous Variables and Convolution

(J4R/ Volume 02 / Issue 01 / 009)

1 (1 )(22 + 22 + 21 2 + 12 ) 1 2

= (22 + 22 ) + 21 2 + (12 + 12 ) (1 + 2 )2 = 12 + 22

(7)

VI. VERIFICATION OF THE RESULTS

For combined resistor in series,

The mean = () =
(1 + 2 1 + 2 )
(2
=

41 2 (1 + 2 1 2 )
1 + 2 ) 2 }
1

(1 + 2 1 + 2 )
1
(2

41 2 (1 + 2 1 2 )

(1 + 2 1 2 ) )

(1 + 2 1 2 ) ) +

(1 + 2 +1 2 )
1

21 (1 + 2 1 + 2 )

(1 + 2 + 1 + 2 )
1

41 2 (1 + 2 + 1 2 )

( + + )

{ (1 + 2 +

( + + )

1
2
1
2
1
3 2
2 1 2 1 2
(1 + 2 1 2 )]
{ [
+ 22 [ ]
}
41 2
3
2
2 ( + + )
( + )
1

( + + + )

1
2
1
2
1
2
3
+
{ [ (1 + 2 + 1 + 2 )
]
}
41 2
2
3 ( + + )
1

1
(1 + 2 1 + 2 )2 (1 + 52 1 2 ) (1 + 2 1 2 )3
=
{
+
+ 42 (1 + 2 )(1 2 )}
41 2
6
6
3
2
(1 + 2 + 1 + 2 )
1
(1 + 2 + 1 2 ) (1 + 2 + 1 + 52 )
+
{

}
41 2
6
6
2(1 + 2 )
{ (1 + 2 )2 + 3(1 + 2 )2 ) + 122 (1 2 ) 2(1 2 )(1 + 52 ) (1 + 2 )2 + (1 2 )2 }
=
241 2
2(1 +2 )
{3(1 + 2 )2 + 122 (1 2 ) 2(1 2 )(1 + 52 ) (1 2 )2 } = (1 + 2 ) = 1 + 2 . The variance
=
241 2

1 +2 1 +2

2 = ( (1 + 2 ))2 ()

1 +2 1 2

={

1 +2 +1 2
1
1
( (1 + 2 1 2 )) +
( (1 + 2 ))2

41 2
21
1 +2 1 +2
1 +2 + 1 +2
1
+
( (1 + 2 ))2
((1 + 2 + 1 + 2 ) )
41 2
1 +2 + 1 2

( (1 + 2 ))2

1 +2 1 +2
1
((

41 2 1 +2 1 2

( (1 + 2 )) + ( (1 + 2 )) (1 + 2 )) +

1 +2 + 1 +2
1

41 2 1 +2 + 1 2
4 1 +2 1 +2
((1 +2 ))
1
{[
]
+ (1 +
41 2
4
1 +2 1 2
3

1 +2 +1 2
(
1 +2 1 +2

(1 + 2 ))2 +

( ((1 + 2 ) )3 + ( (1 + 2 ))2 ( 1 + 2 )) }
2 ) [

((1 +2 ))
3

3 1 +2 1 +2

}+

1 +2 1 2

3 1 +2 +1 +2

((1 +2 ))

2 ) [

1
21

21

((1 +2 ))
3

3 1 +2 +1 2

1 +2 1 + 2

4 1 +2 +1 +2

((1 +2 ))

1 +2 + 1 2

1
41 2

{( 1 +

1 +2 + 1 2
(1 + 2 )3

(2 1 )4 (1 + 2 )4
(2 1 )3
1
1 2(1 2 )3
{

+ (1 + 2 ) (
+
)} +
{
}
41 2
4
4
3
3
21
3
(1 + 2 )3 (1 2 )3
1
(1 + 2 )4 (2 1 )4
+
{( 1 + 2 ) {

}
+
}
41 2
3
3
4
4
(2 1 )3
1
(1 + 2 )4
82 (2 1 )3
(1 + 72 )
=
{
+
}
41 2
6
6
6
(12 + 22 )
1
=
{(1 + 2 )4 (2 1 )4 } =
= 12 + 22
241 2
3
Thus the results (6) and (7) hold true.
What happens if both the resistors are having same resistance as well as same tolerance?
That is if 1 = 2 = and 1 = 2 = then () will be defined as follows:
=

() = {
That is, () =

1
2

1
(2( ))
42
1
(2(+)
)
42

0
2
2

2()

2() 2

(8)

2 2( +)
2( +)

), where (), known as triangular function, is defined as

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61

Probability Distribution of Sum of Two Continuous Variables and Convolution

(J4R/ Volume 02 / Issue 01 / 009)

() = {

2(+) 1

= 2() 2 ( 2( )) + 2
4

(2(+))2
2

|| > 1
|| 1

1 = 2 , 1 = 2 and

In this case,

()

0
1 ||

2(+)

}=

1
4 2

4 2

2 2(+)
2 2

2(+) 1

3 2(+)

[ ]

3 2

1
4 2

2 2

{[

(2())
2

+
2()

{ 2 2 + 2 2 } = 1.

= () = { 2() 2 ( 2( )) + 2
4
2( + ) [ ]

(2( + ) )

}=

1
42

163
3

8()3
3

42

(2( + ) ) } =

+ 4( )3 + 4( + )3

8(+)3
3

1
42

3 2

{[ ]

3 2()

2 2

2( ) [ ]

2 2()

83 }

1 8 3 4( )3 4( + )3
1
{
+
+
} = 2 {23 + 23 + 6 2 } = 2 = 21
4 2
3
3
3
3

2 = ( 2)2 ()

2(+)
1
1
2 (2(
( 2)
(
=
(

2(

))
+

+ ) )
2
2 2)
4
4
2()
2
2
2(+)
1
((2 )3 + 2(2 )2 ) }
=
{
(( 2)3 + 2( 2)2 ) +
2
4
2()
2
2

( 2)4
1
{ [
]
2
4
4
2()
=

+ 2 [

2(+)

( 2)3
(2 )4
]
[
]
3
4
2()
2

2(+)

2 [

1
4
4
8 2
{4 4 + 16 4 4 + 16 } =
= 2 12
2
4
3
3
3

(2 )3
]
3
2

By (5) and (8), it can be observed that the original distributions had been more rounded by convolution. If more elements were
connected in series then the tendency toward smoothness would be more advanced. If a large number of functions are convolved
together, the resultant may be very smooth and as the number increases indefinitely, the resultant may approach Gaussian
form.[2] In Statistics Gaussian distribution is referred to as normal distribution with zero mean and standard deviation one,
where the normal distribution is defined as

1 2
1
( ) =
2( ) ,
2
Where is a continuous random variable. The rigorous statement of the above stated tendency of protracted convolution is
nothing but the theorem known as the central-limit theorem.[1].

VII. CENTRAL LIMIT THEOREM

If is the mean of a sample of size taken from a population having the mean and the finite variance 2 , then =

is

a random variable whose distribution function approaches that of the standard normal distribution as . [1]
From the central limit theorem, it follows that if several, n functions are convolved together or a function is self-convolved n
times, the result approaches Gaussian distribution.[3] Therefore it follows that if several random quantities are added, then the
frequency distribution of the sum will approach a Gaussian distribution.

VIII. CONCLUSION

Distribution of sum of two random variables is convolution of distributions of those random variables. Composite
resistance of two resistors, combined in series, is obtained by convolution of distributions of those resistors.
Convolution has additive property of means of the components. The mean value of the composite resistance of two
resistors, combined in series, is the sum of the means of those two resistors.
Variances are also additive under convolution. Variance of composite resistance of two resistors, combined in series,
is addition of variances of those two resistors.

REFERENCES
[1]
[2]
[3]

Richard A. Johnson, Miller & Freunds Probability and Statistics for Engineers, Sixth edition
Ronald N. Bracewell, The Fourier transform and its applications, International edition 2000, McGrow-Hill Education.
Rashmi R. Keshvani, Yamini M Parmar, An approach to various Probability Distributions through Convolution., international journal of Physical,
Chemical & Mathematical Sciences. Vol-3, pp-1-8, July-Dec- 2014

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