Isye 2027

# for all r2 example 473 suppose x and y are

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Unformatted text preview: m variables is again Gaussian, and the variance of the sum, σ 2 , is equal to the sum of the variances. The result can be extended to the case that X1 and X2 have nonzero means µ1 and µ2 . In that case, the sum 2 2 is again Gaussian, with mean µ = µ1 + µ2 and variance σ 2 = σ1 + σ2 . The above derivation is somewhat tedious. There are two more elegant but more advanced ways to show that the convolution of two Gaussian pdfs is again a Gaussian pdf. (1) One way is to use Fourier transforms–convolution of signals is equivalent to multiplication of their Fourier transforms in the Fourier domain. The Fourier transform of the N (0, σ 2 ) pdf is exp(−σ 2 (2πf )2 /2), so the result is equivalent to the fact: 2 2 2 2 exp(−σ1 (2πf )2 /2) exp(−σ2 (2πf )2 /2) = exp(−(σ1 + σ2 )(2πf )2 /2). (2) The other way is to use the fact that the the sum of two independent binomial random variables with the same p parameter is again a binomial random variable, and then appeal to the DeMoivreLaplace limit theorem, stating Gaussian dist...
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## This note was uploaded on 02/09/2014 for the course ISYE 2027 taught by Professor Zahrn during the Spring '08 term at Georgia Tech.

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