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I'm wondering whether there exists any good text on transformations of probability distribution functions.

I do know how to get the probability-function of a function of a random-variable. I am interested in some handy book, which provides direct results like: sum of two normal distributed random variables is normal, convolution of two poisson distributed random variables is poisson, convolution of of two chi square is not chi square, multiplication by a positive constant to the normal distribution result in the normal distribution, etc

Wikipedia has a nice relationships charts between different distributions, but that's enough to cover the algebra of probability distributions.

Any recommendations please.

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I like Allan Gut's "An Intermediate Course in Probability". You can probably find an older edition of Ross' "Introduction to Probability Models" at a relatively low price, also.

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  • $\begingroup$ thanks for letting me know ! But both of the above texts don't address my problem. $\endgroup$ – kaka Aug 10 '14 at 1:10

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