Linear Combinations of Independent Discrete and Normal Random Variables
Free SOA Exam P (Probability) lesson in Multivariate Random Variables. 16 min read, ~2,406 words.
Convolution: gives the PMF of independent discrete sums. Closure: Bernoulli sum = Binomial, Poisson sum = Poisson, Normal sum = Normal. Normal linear combination:. Variance ADDS for differences: under independence. With dependence: add to the variance, leaving the mean unchanged. Standardize for probabilities:, dividing by not. MGF method: MGFs of...
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What this lesson covers
- Content
- Example 1
- Example 2
- Example 3
- Common Mistakes
- Check Your Understanding
- Exam Shortcuts
Learning objectives
- 3g
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