Probability Density Function of Convolution of Probability Distributions

Theorem
Let $X$ and $Y$ be continuous independent random variables.

Let $Z = X + Y$.

Let $f_X$ be the probability density function of $X$.

Let $f_Y$ be the probability density function of $Y$.

Then the probability density function of $Z$, $f_Z$, is given by:


 * $\displaystyle \map {f_Z} z = \int_{-\infty}^\infty \map {f_X} x \map {f_Y} {z - x} \rd x$