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Suppose you have two random variables $X$ and $Y$. If $X \sim N(0,1)$, $Y \sim N(0,1)$ and you want to find k s.t. $\mathbb P(X+Y >k)=0.01$, how would you do this? I am having a hard time finding the limits of integration. How would you generalize $\mathbb P(X+Y+Z+\cdots > k) =0.01$? I always get confused when problems involve multiple integrals.

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1 Answer 1

up vote 4 down vote accepted

Hint: Are the random variables independent?

If so, you can avoid integration by using the facts

  • the sum of independent normally distributed random variables has a normal distribution

  • the mean of the sum of random variables is equal to the sum of the means

  • the variance of the sum of independent random variables is the sum of the variances

  • for a standard normal distribution $N(0,1)$: $\Phi^{-1}(0.99)\approx 2.326$

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And if they are not independent, then knowing the distribution of each of them is not enough anyway. –  Henning Makholm Nov 13 '11 at 5:37

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