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Center for Uncertainty Quantification New Results on the Sum of Two Generalized Gaussian Random Variables

unpublished

We propose in this paper a new method to compute the characteristic function (CF) of generalized Gaussian (GG) random variable in terms of the Fox H function. The CF of the sum of two independent GG random variables is then deduced. Based on this results, the probability density function (PDF) and the cumulative distribution function (CDF) of the sum distribution are obtained. These functions are expressed in terms of the bivariate Fox H function. Next, the statistics of the distribution of the

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