Let F 1 and F 2 be d.f.s, and let G be their convolution, G = F
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(i) If F1 is absolutely continuous with respect to Lebesgue measure with p.d.f. p1, it follows that G is absolutely continuous with respect to Lebesgue measure with p.d.f. p given by
(ii) Furthermore, if F2 is also absolutely continuous with respect to Lebesgue measure with p.d.f. p2, then
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Related Book For
An Introduction to Measure Theoretic Probability
ISBN: 978-0128000427
2nd edition
Authors: George G. Roussas
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