Suppose two random variables X and Y are dependent and normally distributed. Is there a way to determine the distribution of their sum using their characteristic functions alone?
Thanks in advance
2026-03-25 14:15:47.1774448147
Sum of dependent normally distributed random variables
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Nope, the distribution could be anything, it depends on their relationship. You can do it, of course, if you have the joint distribution function (or joint charachteristic function)