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One approach for modeling systems with non‐Gaussian pdfs is the use of composite random variables expressed as a sum of Gaussian random variables. The generalized Gaussian sum can be expressed as

(36.31)

where w^[j] is a scalar weighting factor, y_j is a Gaussian random variable with mean , and covariance . These individually weighted Gaussian random variables can represent the overall distribution of the state vector. An example of a density function created using a sum of Gaussian random variables is shown in Figure 36.1.