Solved – Joint distribution of sum of independent normals

joint distributionrandom variable

Suppose we have three independent normally distributed random variables
$$ X_0 \sim \mathcal{N}(\mu_0, \sigma_0^2), $$
$$ X_1 \sim \mathcal{N}(\mu_1, \sigma_1^2), $$
$$ X_2 \sim \mathcal{N}(\mu_2, \sigma_2^2).$$

Now, define two new random variables $Y_0 = X_0+X_1$ and $Y_1 = X_1+X_2$.

Let $\vec{Y} = [Y_0 \;\;\; Y_1]^T$

What can we say about the distribution of $\vec{Y}$? Obviously, $Y_0$ and $Y_1$ are not independent. If they were, then $\vec{Y}$ would have been a multivariate normal variable. Any ideas?

Best Answer

Not entirely clear to me from reading the comments if the OP has solved this but there is no answer so I will write one.

The distribution of each $Y_i$ will be normal with given means and variances:

$\mu_0+\mu_1$ and $\sigma_0^2+\sigma^2_1$ for $Y_0$ and

$\mu_1+\mu_2$ and $\sigma_1^2+\sigma^2_2$ for $Y_1$. Now finally we need to determine if there is a correlation between $Y_0$ and $Y_1$. To do this we can calculate

$$\mathbb{C}ov(Y_0,Y_1)=\mathbb{C}ov(X_0+X_1,X_1+X_2) =\mathbb{C}ov(X_1,X_1) =\mathbb{V}ar(X_1) =\sigma_1^2. $$ Now you can turn this into a correlation by dividing by the square roots of the variances

$$\rho = \frac{\sigma_1^2}{\sqrt{(\sigma_0^2+\sigma^2_1)(\sigma_1^2+\sigma^2_2)} }.$$

Now we know that the sum of two normal random variables is normally distributed so that both $Y_0$ and $Y_1$ have normal distributions with the stated means and variances and the correlation is given by $\rho$ above. So the joint density of $Y_0, Y_1$ is

$$ f(y_0,y_1) = N\left(\vec{\mu} = \begin{bmatrix} \mu_0+\mu_1 \\ \mu_1+\mu_2 \\ \end{bmatrix}, \Sigma = \begin{bmatrix} \sigma^2_0+\sigma^2_1 &\sigma_1^2 \\ \sigma_1^2 & \sigma^2_1+\sigma^2_2 \\ \end{bmatrix} \right). $$