<t>Thanks for your reactions. In the meantime I have realized that the problem at hand is not trivial at all. I might have missexplained it: actually the resulting rv is not a multivariate one, but a scalar one. For expample: 1) given x1, x2, x3 iid, what is the distribution of X1+x2+x3?2) given x1,...

<t>A question I couldn't find a reference for. Any hint or (book)reference would be very appreciated.The problem reads:I have a few random variables, say, x_1, x_2, x_3, x_4, and a funcion that maps them into R i.e.: f: (x_1, x_2, x_3, x_4) --> R. The question is: is it possible to derive the densit...

<t>Hi there, I am kind of stuck around this problem: Let X_t be (strickly) stationary, not gaussian. Now take a transformation of it, say, Y_t = f(X_t). If Y_t is stationary, how can we calculate its autocovariances?Or, take this particular case I am particularly interested in:Let X_t stationary, no...