Originally Posted by

**Iskatel** The information on Y is in the form of a set of observation, say: Y = {24, 15, 78 ...}.

To be honest I am not entirely sure how to fit the data on M[Y]=M[X]M[Z]. And my main issue with this is if the convolution of two Normal distributions is also Normal then you would fit the data using MLE for f(y)-Normal(m[Y],Var[Y]). Since m[Y]=m[X]+m[Z] there is no way to deduce unique m[X] or m[Z], isn't it?! Same for the variance. Hence, for other distributions similar problem may hold true?!