Sums of independent Poisson random variables are Poisson random variables.

Let X and
Y be independent Poisson random variables with parameters λ1 and λ2 , respectively.
Define λ = λ1 + λ2 and Z = X + Y . Claim that Z is a Poisson random variable with
parameter λ. Why?

pZ (z) = P (Z = z)
Xz
= P (X = j & Y = z − j) so X + Y = z
j=0
Xz
= P (X = j)P (Y = z − j) since X and Y are independent
j=0
z
X e−λ1 λj1 e−λ2 λz−j
2
=
j=0
j! (z − j)!
z
X 1
= e−λ1 λj1 e−λ2 λz−j
2
j=0
j!(z − j)!
z
X z! e−λ1 λj1 e−λ2 λz−j
2
= multiply and divide by z!
j=0
j!(z − j)! z!
z   −λ1 j −λ2 z−j
X z e λ1 e λ2
= using the form of binominal coefficients
j=0
j z!
z  
e−λ X z j z−j
= λλ factoring out z! and e−λ1 e−λ2 = e−λ1 −λ2 = e−λ
z! j=0 j 1 2
e−λ
= (λ1 + λ2 )z using binomial expansion (in reverse)
z!
e−λ λz
=
z!
−λ z
So altogether we showed that pZ (z) = e z!λ . So Z = X + Y is Poisson, and we just sum the
parameters.
What about a sum of more than two independent Poisson random variables? Say X1 ,
X2 , X3 are independent Poissons? Then (X1 + X2 ) is Poisson, and then we can add on X3
and still have a Poisson random variable. So X1 + X2 + X3 is a Poisson random variable.
Works in general. Once we know it for two, we can keep adding more and more of them. So
if X1 , X2 , . . . , Xn are independent Poisson random variables with parameters λ1 , λ2 , . . . , λn ,
then X1 + X2 + . . . + Xn is a Poisson random variable too, with parameter λ1 + λ2 + . . . + λn .