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If X and Y are two independent random variables with probability density functions f and g, respectively, then the probability density of the difference Y − X is given by the cross-correlation . In contrast, the convolution f * g gives the probability density function of the sum X + Y.

what i would like to have is the probability density functions of abs(y-x) or (y-x)^2. Is that possible ?

I would like to do the same as below but using PDF instead of Histogram

for (bin b1 in Histogram1)
  for (bin b2: Histogram2)
        prob = b1.probability * b2.probability
        distance += prob * abs(b1.value - b2.value)
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Cross-post (simultaneous): math.stackexchange.com/questions/48822/… – cardinal Jul 1 '11 at 4:37
Yup, answered on maths, so I close it here. – mbq♦ Jul 1 '11 at 7:24

closed as off topic by mbq♦ Jul 1 '11 at 7:24

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