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Re: TransformedDistribution, for a sum of M iid variables


To clarify what I'm looking for, suppose I have the following
distribution:

TransformedDistribution[Z1+Sqrt[U/(n-1)]*Z2,{Z1\
[Distributed]NormalDistribution[0,1],Z2\
[Distributed]NormalDistribution[0,1],U\
[Distributed]ChiSquareDistribution[n-1]}]

I want to replace Z2 with the average of M independent variables that
are distributed like Z2.
Or I might want to replace U with the average of M independent
variables that are distributed like U.

Is there a convenient way to do this? Thanks!


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