Convolution of Two Discrete Distributions
This function convolutes two discrete distribution, each given by strictly increasing support vectors and corresponding probability vectors.
conv(x1,p1,x2,p2)
x1 |
support vector of the first distribution, with strictly increasing elements. |
p1 |
vector of probabilities corresponding to |
x2 |
support vector of the second distribution, with strictly increasing elements. |
p2 |
vector of probabilities corresponding to |
The convolution is performed in C, looping through all paired sums, augmenting existing values or inserting them with an update of the corresponding probabilities.
A matrix with first column the new support vector and the second column the corresponding probability vector.
x1 <- c(1,2,3.5) p1 <- c(.2,.3,.5) x2 <- c(0,2.3,3,4) p2 <- c(.1,.3,.3,.3) conv(x1,p1,x2,p2)
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