# Math Help - Show that X+Y is normal

1. ## Show that X+Y is normal

If X and Y have a bivariate normal distribution with correlation p, show that X +Y is normally distributed

This seems like a pretty standard proof but cant find it anywhere. Simply adding the marginal distributions, X+Y is what I tried but how is the correlation coefficient introduced?
I then looked at convolution but that didnt seem to go the right way either...

2. Originally Posted by Gekko
If X and Y have a bivariate normal distribution with correlation p, show that X +Y is normally distributed

This seems like a pretty standard proof but cant find it anywhere. Simply adding the marginal distributions, X+Y is what I tried but how is the correlation coefficient introduced?
I then looked at convolution but that didnt seem to go the right way either...
Use the change of variable theorem:

Make the transformation U = X + Y, V = X - Y. The inverse transformation is $X = \frac{1}{2} (U + V)$, $Y = \frac{1}{2} (U - V)$. Then $|J| = \frac{1}{2}$.

Get the joint pdf of U and V. Integrate wrt to v to get the marginal, which is the required pdf.

3. By definition of a multivariate normal distribution, if a random vector follows it, say (X,Y), any linear combination of its components follows a normal distribution, X+Y for example.