Hi, I have two random variables X following distribution F with density f, and Y following distribution G with density g
random variable Z=X+Y, and I want to calculate the probability that Z belongs to interval [a,b].
I guess this could be done by first get the density of Z as the convolution of f and g, and then do numerical integration to this convolution density over [a,b]. How to do this in a fast and precise way? Thanks!