Somma di 2 variabili Normali standard s-indipendenti.

W = X +Y
x2
1 −2
f X ( x) = e ; − ∞ < x < ∞.
2π
y2
1 −
fY ( y ) = e 2 ; − ∞ < x < ∞.
2π
⎛ x2 y 2 ⎞
−⎜ + ⎟
1 ⎜ 2 2 ⎟
f X ,Y ( x, y ) = e ⎝ ⎠;
− ∞ < x < ∞, −∞ < y < ∞.
2π
Per calcolare la fdp di W opero cambiamento di variabili da X ,Y a W,U e poi marginalizzo:
W = X +Y X = W −U
⇔
U =Y Y =U
∂X ∂X
∂W ∂U 1 −1
J = = = 1 =1
∂Y ∂Y 0 1
∂W ∂U
⎡ ( w −u ) 2 u 2 ⎤
−⎢ + ⎥
⎢ 2 2⎥
fW ,U ( w, u ) = f X ,Y ( x ( w, u ) , y ( w, u ) ) ⋅ J =
1 ⎣ ⎦
e ⋅1 =
2π
⎡ ( w −u ) 2 u 2 ⎤
−⎢ + ⎥
1 ⎢ 2 2⎥
= e ⎣ ⎦ =
2π
⎡ ( w −u ) 2 u 2 ⎤
−⎢ + ⎥
+∞ 1 +∞ ⎢ 2 2⎥
fW ( w ) = ∫ fW ,U ( w, u ) ⋅ du = ∫ ⋅ du e ⎣ ⎦
−∞ −∞ 2π
La variabile U ha supporto, ( −∞, +∞ ) , che non dipende da W.
−∞ < w − u < +∞, − ∞ < u < +∞ , −∞ < w < +∞, w − ∞ < u < w + ∞ ⇔ −∞ < u < +∞
Per effettuare la marginalizzazione riscriviamo come segue la fW ,U ( w, u ) :
⎡ ( w −u ) 2 u 2 ⎤ ⎡ w2 − 2 wu +u 2 u 2 ⎤ ⎡ w2 − 2 wu + 2u 2 ⎤
−⎢ + ⎥ −⎢ + ⎥ −⎢ ⎥
1 ⎢ 2 2⎥ 1 1
fW ,U ( w, u ) = ⎢⎣ 2 ⎥⎦
e ⎢⎣ ⎥⎦
⎣ ⎦ 2 2
e = e = =
2π 2π 2π
1 ⎡ w2 ⎤

=
2 1
e
− ⎢ ⎥
2 ⎣⎢ 2 ⎦⎥
⋅e
1
2⎣
( )
− ⎡⎢ w2 − w2 2 − 2 wu + 2u 2 ⎤⎥
⎦
=
2 2π ⋅ 2π
1 ⎡ u − wu +( w 2 ) ⎤
2
: 1 ⎡ w2 ⎤
2
− ⎢ ⎥ − ⎢ ⎥
1 2 ⎣⎢ 2 ⎦⎥ 1 2⎢ 12 ⎥
= ⋅e ⎣ ⎦ =
( )
e
2π ⋅ 2 ⋅ 2π 1 2

1 ⎡ (u −w 2) ⎤
2
1 ⎡ w2 ⎤ − ⎢ ⎥
− ⎢ ⎥
1 1 2⎢ 1 2 ⎥
e ⎢⎣ ⎥⎦
2 2
= ⋅e ⎣ ⎦
2π ⋅ 2 ⋅ 2π 1 ( 2 )
Quindi marginalizziamo:
 1 ⎡ (u −w 2) ⎤
2
1 ⎡ w2 ⎤ − ⎢ ⎥
+∞ − ⎢ ⎥
1 1 2⎢ 1 2 ⎥
fW ( w ) =
2 ⎣⎢ 2 ⎦⎥
∫ e ⋅e ⎣ ⎦ ⋅ du =
−∞
2π ⋅ 2 ⋅ 2π 1( 2 )
1 ⎡ (u −w 2) ⎤
2
1 ⎡ w2 ⎤ − ⎢ ⎥
− ⎢ ⎥ +∞
1 1 2⎢ 1 2 ⎥
e ⎢⎣ ⎥⎦ ∫
2 2
= ⋅e ⎣ ⎦ ⋅ du =
2π ⋅ 2 −∞ 2π 1( 2 )
1 ⎡ w2 ⎤
− ⎢ ⎥
1 2 ⎣⎢ 2 ⎦⎥
= e
2π ⋅ 2
Risulta quindi W ∼ N ( 0, 2 ) [W=X+Y ha ovviamente supporto ( −∞, +∞ ) ]
Nota:
1 ⎡ (u −w 2) ⎤
2
+∞ − ⎢ ⎥
1 2⎢ 1 2 ⎥
∫ ⋅e ⎣ ⎦ ⋅ du =1 .
−∞ (
2π 1 2 )
w 1 ⎡ ⎛ w 1 ⎞⎤
La funzione integranda è la pdf di una Normale di media e varianza ⎢U ∼ N ⎜ , ⎟⎥ .
2 2 ⎣ ⎝ 2 2 ⎠⎦
Somma di 2 variabili Normali non-standard s-indipendenti.
W = X +Y
2
1 ⎛ x−μ X ⎞
− ⎜ ⎟
1 2 σ
f X ( x) = e ⎝ X ⎠ ; − ∞ < x < ∞.
2πσ X
2
1 ⎛ y − μY ⎞
− ⎜ ⎟
1 2 σ
fY ( y ) = e ⎝ Y ⎠ ; − ∞ < y < ∞.
2πσ Y
1 ⎡⎛ y − μY ⎞ ⎛ x − μ X ⎞ ⎤⎥
2 2
− ⎢⎜ ⎟ +⎜ ⎟
1 2 ⎢⎝ σ Y ⎠ ⎝ σ X ⎠ ⎥
f X ,Y ( x, y ) = e ⎣ ⎦; − ∞ < x < ∞, −∞ < y < ∞.
2πσ Y σ X
Per calcolare la fdp di W opero cambiamento di variabili da X ,Y a W,U e poi marginalizzo:
W = X +Y X =W − Z
⇔
Z =Y Y =Z
∂X ∂X
∂W ∂Z 1 −1
J = = = 1 =1
∂Y ∂Y 0 1
∂W ∂Z
⎧ 2 ⎫
⎪ 1 ⎡⎢⎛ w − z − μ X ⎞ ⎛ z − μY ⎞ ⎤⎥ ⎪
2
fW ,Z ( w, z ) = f X ,Y ( x ( w, z ) , y ( w, z ) ) ⋅ J =
1
exp ⎨− ⎜ ⎟ +⎜ ⎟ ⎬ ⋅1
2πσ Y σ X ⎪⎩ 2 ⎢⎣⎝ σX ⎠ ⎝ σ Y ⎠ ⎥⎦ ⎭⎪
⎧ 2 ⎫
⎪ 1 ⎢⎡⎛ w − z − μ X ⎞ ⎛ z − μY ⎞ ⎥⎤ ⎪
2
+∞ +∞ 1
fW ( w ) = ∫ fW ,Z ( w, z ) ⋅ dz = ∫ exp ⎨− ⎜ ⎟ +⎜ ⎟ ⎬ ⋅ dz
−∞ 2πσ σ σX
−∞
X Y ⎪⎩ 2 ⎢⎣⎝ ⎠ ⎝ σ Y ⎠ ⎥⎦ ⎪⎭
La variabile Z ha supporto, ( −∞, +∞ ) , che non dipende da W.
−∞ < w − z < +∞, − ∞ < z < +∞ , −∞ < w < +∞, w − ∞ < z < w + ∞ ⇔ −∞ < z < +∞
Per effettuare la marginalizzazione riscriviamo come segue la fW , Z ( w, z ) :
 +∞
fW ( w ) = ∫ f , ( w, z ) ⋅ dz =
−∞ W Z

+∞ σ X2 + σ Y2 1
=∫ ⋅
−∞
σ X2 + σ Y2 2πσ X σ Y
⎧ ⎡ 2 2 ⎫
⎪ 1 ⎢ σ Y ( w − z − μ X ) σ X ( z − μY ) ⎡⎣ w − ( μ X + μY ) ⎤⎦ ⎡⎣ w − ( μ X + μY ) ⎤⎦ ⎤ ⎪
2 2 2 2
exp ⎨− + − + ⎥ ⎬ dz =
⎪
⎩
2 ⎢
⎣
σ σ
2 2
X Y σ σ
2 2
X Y σ 2
X + σ 2
Y (
σ 2
X + σ 2
Y ) ⎥⎪
⎦⎭ ( )
⎧ ⎡ w − (μ + μ )⎤ ⎫
2
1 ⎪ 1 Y ⎥ ⎪
= exp ⎨− ⎢ X
⎬⋅
2π σ X + σ Y ⎢ ⎥
⎣ σ X + σ Y ⎦ ⎪⎭
2 2
⎪ 2 2 2
⎩
⎧ ⎡ 2 ⎡⎣ w − ( μ X + μY ) ⎤⎦ ⎤ ⎫⎪
⎪ 1 ⎢ σ Y ( w − z − μ X ) σ X ( z − μY )
2 2 2
+∞ σ X2 + σ Y2
1
2
⎥ ⎬dz =
∫−∞ 2 2 2π exp ⎨− 2 ⎢ σ 2 σ 2 +
σ X σY
2 2
−
σ X + σY
2 2 ⎥
σ X σY ⎪⎩ ⎣ X Y ⎦ ⎪⎭
⎧ ⎡ ⎤
2⎫

=
1 ⎪ 1
exp ⎨− ⎢
w − ( X Y )⎥ ⎪⋅
μ + μ
⎬
2π σ X2 + σ Y2 ⎪ 2 ⎢⎣ σ X2 + σ Y2 ⎥⎦ ⎪
⎩ ⎭
⎧ ⎡ 2 2 ⎤⎫
⎪ 1 ⎢ σ Y ⎡⎣ z − ( w − μ X ) ⎤⎦ σ X2 ( z − μY ) σ X σ Y ⎡⎣ w − ( μ X + μY ) ⎤⎦ ⎥ ⎪
2 2
σ X2 + σ Y2
2 2
+∞ 1
∫−∞ 2 2 2π exp ⎨− 2 ⎢ + −
⎥ ⎬⎪
=
σ X σY ⎪
⎩ ⎣
σ X2 σ Y2 σ X2 σ Y2 σ X2 σ Y2 σ X2 + σ Y2
⎦⎭ ( )
⎧ ⎡ ⎤
2⎫
1 ⎪ 1
exp ⎨− ⎢
w − ( X Y ) ⎥ ⎪ ⋅ +∞ σ X2 + σ Y2 1 ⋅
μ + μ
= ⎬ ∫−∞
2π σ X2 + σ Y2 ⎪ 2 ⎢⎣ σ X2 + σ Y2 ⎥⎦ ⎪ σ X2 σ Y2 2π
⎩ ⎭
⎧ ⎡ 2 2 2 ⎤⎫
⎪ 1 ⎢ σ Y z + σ Y ( w − μ X ) − 2 zσ Y ( w − μ X ) σ X z + σ X μY − 2σ X z μY σ X σ Y ⎡⎣ w − ( μ X + μY ) ⎤⎦ ⎥ ⎪
2 2 2 2 2 2 2 2 2 2
exp ⎨− + − ⎬ dz =
⎪
⎩
2 ⎢
⎣
σ σ
2 2
X Y σ σ
2 2
X Y σ σ
2 2
X Y σ 2
X + σ 2
Y
⎥
⎦ ⎭⎪ ( )
⎡ ( w−u )2 u 2 ⎤ ⎡ w2 − 2 wu +u 2 u 2 ⎤ ⎡ w2 − 2 wu + 2u 2 ⎤
−⎢ + ⎥ −⎢ + ⎥ −⎢ ⎥
1 ⎢⎣ 2 2⎥ 1 1
fW ,U ( w, u ) = e ⎢⎣
2 ⎥⎦
e ⎢⎣ ⎥⎦
⎦ 2 2
e = = =
2π 2π 2π
1 ⎡ w2 ⎤

=
2 1
− ⎢ ⎥
e ⎢⎣ ⎥⎦
2 2
⋅e
1
2⎣
( )
− ⎡ w2 − w2 2 − 2 wu + 2u 2 ⎤
⎦
=
2 2π ⋅ 2π
: 1 ⎡ u − wu +( w 2 ) ⎤
2 2
1 ⎡ w2 ⎤ − ⎢ ⎥
− ⎢ ⎥
1 2 ⎣⎢ 2 ⎦⎥ 1 2⎢ 12 ⎥⎦
= e ⋅e ⎣ =
2π ⋅ 2 ⋅ 2π 1 ( 2 )
1 ⎡ (u −w 2) ⎤
2
1 ⎡ w2 ⎤ − ⎢ ⎥
− ⎢ ⎥
1 1 2⎢ 1 2 ⎥
e ⎢⎣ ⎦⎥
2 2 ⎣ ⎦
= ⋅e
2π ⋅ 2 ⋅ 2π 1 ( 2 )
Quindi marginalizziamo:
 1 ⎡ (u −w 2) ⎤
2
1 ⎡ w2 ⎤ − ⎢ ⎥
+∞ − ⎢ ⎥
1 1 2⎢ 1 2 ⎥
fW ( w ) =
2 ⎣⎢ 2 ⎦⎥
∫ e ⋅e ⎣ ⎦ ⋅ du =
−∞
2π ⋅ 2 (
⋅ 2π 1 2 )
1 ⎡ (u −w 2) ⎤
2
1 ⎡ w2 ⎤ − ⎢ ⎥
− ⎢ ⎥ +∞
1 2 ⎣⎢ 2 ⎦⎥ 1 2⎢ 1 2 ⎥
= e ∫ ⋅e ⎣ ⎦ ⋅ du =
2π ⋅ 2 −∞ (
2π 1 2 )
1 ⎡ w2 ⎤
− ⎢ ⎥
1
e ⎢⎣ ⎥⎦
2 2
=
2π ⋅ 2
Risulta quindi W ∼ N ( 0, 2 ) [W=X+Y ha ovviamente supporto ( −∞, +∞ ) ]
Nota:
1 ⎡ (u −w 2) ⎤
2
+∞ − ⎢ ⎥
1 2⎢ 1 2 ⎥
∫ ⋅e ⎣ ⎦ ⋅ du =1 .
−∞ (
2π 1 2 )
w 1 ⎡ ⎛ w 1 ⎞⎤
La funzione integranda è la pdf di una Normale di media e varianza ⎢U ∼ N ⎜ , ⎟⎥ .
2 2 ⎣ ⎝ 2 2 ⎠⎦
Somma di 2 variabili Esponenziali (s-indipendenti) di uguale parametro λ
Z = X +Y
f X ( x ) = λ e− λ x ; 0 ≤ x < +∞
fY ( y ) = λ e − λ y ; 0 ≤ y < +∞

f Z ( z ) = ∫ fY ( z − x ) ⋅ f ( x ) ⋅ dx =
z

0
z −λ ( z − x)
= λ ⋅∫ e
2
⋅ e − λ x ⋅ dx =
0
z
= λ 2 ⋅ ∫ e − λ z ⋅ dx =
0
z
= λ 2 ⋅ e − λ z ∫ 1 ⋅ dx =
0
−λ z
= z ⋅λ ⋅e
2

La Z è una variabile aleatoria gamma di parametro di scala λ e parametro di forma 2, risulta infatti:
λ ⋅( z ⋅λ )
2 −1
⋅ e−λ z
fZ ( z ) = z ⋅ λ ⋅ e 2 −λ z
=
Γ ( 2)
Somma di 2 variabili Esponenziali (s-indipendenti) di parametri λx e λ y con
λx ≠ λ y .
Z = X +Y
f X ( x ) = λx e − λx x ; 0 ≤ x < +∞
fY ( y ) = λ y e
− λy y
; 0 ≤ y < +∞

f Z ( z ) = ∫ fY ( z − x ) ⋅ f ( x ) ⋅ dx =
z

0
z − λy ( z − x )
= λx ⋅ λ y ⋅ ∫ e ⋅ e − λx x ⋅ dx =
0

− λy z z (
− λx − λ y ⋅ x )
= λx ⋅ λ y ⋅ e ∫ 0
e ⋅ dx
la quale ultima espressione se λx ≠ λ y risulta uguale a
λ x ⋅ λ y − λ z ⎡ − ( λ − λ )⋅ x ⎤ z λ x ⋅ λ y − λ z ⎡ − ( λ − λ )⋅ z ⎤
⋅e −e y
= ⋅e x
1− e y
= y x y

λx − λ y ⎢
⎣ ⎥
⎦ 0 λx − λ y ⎢
⎣ ⎥⎦
λx ⋅ λ y −λ z
= ⋅ ⎡⎣ e − e − λ z ⎤⎦
y x

λx − λ y
Si vede facilmente che risulta:
fZ ( z ) ≥ 0 ∀ z ≥ 0.
+∞
Si può inoltre verificare che ∫ f Z ( z ) ⋅ dz = 1 .
0

Verifica
+∞ λx ⋅ λ y z − λ z − λ z
∫ f Z ( z ) ⋅ dz =
λx − λ y ∫0
⋅ e − e ⋅ dz = y x

⎧⎡ 1 +∞
⎡ 1 − λx z ⎤ ⎫⎪
+∞
λx ⋅ λ y ⎪ − λy z ⎤
= ⎨⎢− e ⎥ − ⎢− e ⎥ ⎬ =
λx − λ y ⎪⎩ ⎣⎢ λ y ⎦⎥ 0 ⎣ λx ⎦ 0 ⎪⎭
λx ⋅ λ y ⎧⎪ ⎡ 1⎤ ⎡ 1 ⎤ ⎫⎪ λx ⋅ λ y ⎪⎧ 1 1 ⎪⎫
= ⎨ ⎢ −0 + ⎥ − ⎢ −0 + ⎥ ⎬ = ⎨ − ⎬=
λx − λ y ⎩⎪ ⎣ ⎢ λ y ⎥
⎦ ⎣ λ x ⎦ ⎭⎪ λ x − λ y ⎪⎩ λ y λx ⎪⎭
λx ⋅ λ y λx − λ y
= ⋅ =1
λx − λ y λx ⋅ λ y
Somma di 2 variabili Uniformi (0,1) s-indipendenti.
Z = X +Y
f X ( x ) = 1; 0 ≤ x ≤1
fY ( y ) = 1; 0 ≤ y ≤1

f X ,Y ( x, y ) = 1; 0 ≤ x ≤ 1, 0 ≤ y ≤1
per calcolare l’fdp di Z opero cambiamento di variabili da X ed Y a Z e U e poi
marginalizzo:
Z = X +Y X = Z −U
⇔
U =Y Y =U
∂X ∂X
∂Z ∂U 1 −1
J = = = 1 =1
∂Y ∂Y 0 1
∂Z ∂U
f Z ,U ( z , u ) = f X ,Y ( x ( z , u ) , y ( z , u ) ) ⋅ J = 1;
0 ≤ z − u ≤ 1, 0 ≤ u ≤ 1 ⇔ 0 ≤ z ≤ 2, Max ( 0, z − 1) ≤ u ≤ Min (1, z )
per 0 ≤ z ≤ 1 0 ≤ u ≤ z
⇔
per 1 ≤ z ≤ 2 1 − z ≤ u ≤ 1
la marginalizzazione deve pertanto essere fatta trattando separatamente i casi
0 ≤ z ≤1 e 1< z ≤ 2 :
f Z ,U ( z , u ) ⋅ du = ∫ 1 ⋅ du = z
z z
per 0 ≤ z ≤ 1 si ottiene: ∫
0 0
mentre per 1 < z ≤ 2 si ottiene
f Z ,U ( z , u ) ⋅ du = ∫ 1 ⋅ du = 1 − ( z − 1) = 2 − z
1 1
∫1− z z −1
ne risulta:
⎧z per 0 ≤ z ≤ 1
fZ ( z ) = ⎨
⎩ 2-z per 1 < z ≤ 2
Verifica:
1 2
1 2 ⎡ z2 ⎤ ⎡ z2 ⎤
∫0
z ⋅ dz + ∫
1
2 − z ⋅ dz = ⎢ ⎥ + ⎢ 2 z − ⎥ =
⎣ 2 ⎦0 ⎣ 2 ⎦1
⎡1 ⎤ ⎡ ⎛ 1 ⎞⎤ 1 3
= ⎢ − 0 ⎥ + ⎢( 4 − 2 ) − ⎜ 2 − ⎟ ⎥ = + 2 − = 1
⎣2 ⎦ ⎣ ⎝ 2 ⎠⎦ 2 2

Nota
Z ha una distribuzione detta triangolare
Somma di Normali standard s-dipendenti con congiunta Normale
W = X +Y
−
1
( x2 −2 ρ xy + y2 )
f X ,Y ( x, y ) =
1
e
(
2 1− ρ 2 ) ; − ∞ < x < ∞, −∞ < y < ∞.
2π 1 − ρ 2
x2
+∞ 1 −2
f X ( x) = ∫ f X ,Y ( x, y ) ⋅ dy = e ; − ∞ < x < ∞.
−∞ 2π
y2
+∞ 1 −2
fY ( y ) = ∫ f X ,Y ( x, y ) ⋅ dx = e ; − ∞ < y < ∞.
−∞ 2π

Per calcolare la fdp di W opero cambiamento di variabili da X ,Y a W,U e poi marginalizzo:

∂X ∂X
W = X +Y X = W −U ∂W ∂U 1 −1
⇔ ⇒ J = = = 1 =1
U =Y Y =U ∂Y ∂Y 0 1
∂W ∂U
1 ⎡( w−u )2 − 2 ρ ( w−u )u +u 2 ⎤
−
fW ,U ( w, u ) = f X ,Y ( x ( w, u ) , y ( w, u ) ) ⋅ J =
1
e
(
2 1− ρ 2 ⎣⎢) ⎦⎥
⋅1 =
2π 1 − ρ 2

1 ⎡ w2 − 2 wu (1+ ρ )+ 2u 2 (1+ ρ ) ⎤
−
=
1
e
(
2 1− ρ 2 ⎣ ) ⎦

2π 1 − ρ 2

1 ⎡ w2 − 2 wu (1+ ρ )+ 2u 2 (1+ ρ ) ⎤
−
fW ( w ) = ∫
+∞
f , ( w, u ) ⋅ du = ∫−∞
+∞ 1
e
(
2 1− ρ 2 ⎣ ) ⎦
⋅ du
−∞ W U
2π 1 − ρ 2

La variabile U ha supporto, ( −∞, +∞ ) , che non dipende da W.

−∞ < w − u < +∞, − ∞ < u < +∞ , −∞ < w < +∞, w − ∞ < u < w + ∞ ⇔ −∞ < u < +∞
Per effettuare la marginalizzazione riscriviamo come segue la fW ,U ( w, u ) :
1 ⎡ w2 − 2 wu (1+ ρ )+ 2u 2 (1+ ρ ) ⎤
−
fW ,U ( w, u ) =
2 1
e
(
2 1− ρ 2 ⎣ ) ⎦
=
2 2π 2π 1 + ρ 1 − ρ
⎡ 2 ⎤
1 ⎡ w2 ⎤ −
1 ⎡ w2 − 2 wu (1+ ρ )+ 2u 2 (1+ ρ ) ⎤ + 1 ⎢ w ⎥

=
1
− ⎢
e ⎢⎣
⎥
2 2(1+ ρ ) ⎥⎦ 1
e
(
2 1− ρ 2 ) ⎣ ⎦ 2 ⎢ 2(1+ ρ ) ⎥
⎣ ⎦
=
2π 2 (1 + ρ ) 1− ρ
2π
2
⎡ ⎤
1 ⎡ w2 ⎤ 1 w2 w2 2 wu (1+ ρ ) 2u 2 (1+ ρ ) ⎥
− ⎢ − − +
=
1
e
− ⎢ ⎥
2 ⎢⎣ 2(1+ ρ ) ⎥⎦
⋅
1
e ⎢⎣ (
2 ⎢ 1− ρ 2 2(1+ ρ ) )
1− ρ 2 1− ρ 2 ⎥⎥
⎦ ( ) ( ) =
2π 2 (1 + ρ ) 1− ρ
2π
2
 ⎡ 2 ⎤
1 ⎡ w2 ⎤ 1 w (1+ ρ ) 2 wu 2u 2 ⎥
− ⎢ − +

=
1
e
− ⎢ ⎥
2 ⎣⎢ 2(1+ ρ ) ⎦⎥
⋅
1
e ⎣⎢ ( )
2 ⎢ 2 1− ρ 2 (1− ρ ) (1− ρ ) ⎥
⎦⎥ =
2π 2 (1 + ρ ) 1− ρ
2π
2
1 ⎡ ( w 2 ) − wu +u ⎤
2 2
1 ⎡ w2 ⎤ − ⎢ ⎥
− ⎢ ⎥
1 2 ⎢⎣ 2(1+ ρ ) ⎥⎦ 1 2⎢
⎣ (1− ρ ) 2 ⎥⎦
e ⋅ e =
2π 2 (1 + ρ ) 1− ρ
2π
2
⎡ 2⎤
1 ⎡ w2 ⎤ 1 ⎡u −( w 2 ) ⎤⎦ ⎥
− ⎢ ⎥ − ⎢⎣
1 2 ⎣⎢ 2(1+ ρ ) ⎦⎥ 1 2 ⎢ (1− ρ ) 2 ⎥
= e ⋅ e ⎣ ⎦
2π 2 (1 + ρ ) 1− ρ
2π
2
Quindi marginalizziamo:
⎡ 2⎤
1 ⎡ w2 ⎤ 1 ⎢ ⎡⎣u −( w 2 ) ⎤⎦ ⎥
+∞ − ⎢ ⎥ −
1 2 ⎢⎣ 2(1+ ρ ) ⎥⎦ 1 2 ⎢ (1− ρ ) 2 ⎥
fW ( w ) = ∫ e ⋅ e ⎣ ⎦ ⋅ du =
2π 2 (1 + ρ ) 1− ρ
−∞ 2π
2
⎡ 2⎤
1 ⎡ w2 ⎤ 1 ⎡u −( w 2 ) ⎤⎦ ⎥
− ⎢ ⎥ +∞ − ⎢⎣
1 2 ⎣⎢ 2(1+ ρ ) ⎦⎥ 1 2 ⎢ (1− ρ ) 2 ⎥
=
2π 2 (1 + ρ )
e ⋅ ∫ 1− ρ
e ⎣ ⎦ ⋅ du =
−∞ 2π
2
1 ⎡ w2 ⎤
− ⎢ ⎥
1 2 ⎣⎢ 2(1+ ρ ) ⎦⎥
= e
2π 2 (1 + ρ )
Risulta quindi W ∼ N ⎡⎣0, 2 (1 + ρ ) ⎤⎦ [W=X+Y ha ovviamente supporto ( −∞, +∞ ) ]
Nota 1:
A conferma del risultato ottenuto consideriamo che:
E (W ) = E ( X + Y ) = E ( X ) + E (Y ) = 0
Var (W ) = Var ( X + Y ) = Var ( X ) + Var (Y ) + 2Cov ( X , Y )
Da cui essendo:
Cov ( X , Y ) Cov ( X , Y )
Var ( X ) = Var (Y ) = 1 e ρ = = = Cov ( X , Y )
Var ( X ) ⋅Var (Y ) 1
si ottiene: Var (W ) = 1 + 1 + 2 ρ = 2 (1 + ρ )
Nota 2
⎡ 2⎤
1 ⎡u −( w 2 ) ⎤⎦ ⎥
+∞ − ⎢⎣
1 2 ⎢ (1− ρ ) 2 ⎥
∫ 1− ρ
e ⎣ ⎦ ⋅ du =1 .
−∞ 2π
2
w 1− ρ ⎡ ⎛ w 1 − ρ ⎞⎤
La funzione integranda è la pdf di una Normale di media e varianza ⎢U ∼ N⎜ , ⎟⎥ .
2 2 ⎣ ⎝ 2 2 ⎠⎦