Distribution of Sum of Two Uniformly Distributed Variables
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1. Context
In this short video, we apply various concepts we learned from chapters in Quantitative Analysis section of FRM Part 1, to answer this question: What is the distribution of the sum of two random variables, each of which follows the uniform distribution? Based on this, we re-emphasize the ‘stable distribution’ property of normal distribution, and why this choice of distribution is so popular. The details of the reading in which this topic appears are given below:
| Area | Quantitative Analysis |
| Reading | Distributions |
| Reference | Michael Miller, Chapter 4. Distributions In Mathematics and Statistics for Financial Risk Management, 2nd Edition, (Hoboken, NJ: John Wiley & Sons, 2013). |