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              <p>In probability theory and statistics, the probability distribution of the sum of two or more independent and identically distributed (i.i.d.) random variables is the convolution of their individual distributions. While convoluting random variables following a binomial, geometric or Poisson distribution is a straightforward procedure, convoluting hypergeometric-distributed random variables is not. The problem is that there is no closed form solution for the probability mass function (p.m.f.) and cumulative distribution function (c.d.f.) of the sum of i.i.d. hypergeometric random variables. To overcome this problem, we propose an approximation for the distribution of the sum of i.i.d. hypergeometric random variables. In addition, we compare this approximation with two classical numerical methods, i.e., convolution and the recursive algorithm by De Pril, by means of an application in Statistical Process Monitoring (SPM). We provide MATLAB codes to implement these three methods for computing the probability distribution of the sum of i.i.d. hypergeometric random variables in an efficient way. The obtained results show that the proposed approximation has remarkable properties and may be helpful in all fields, where the problem of convoluting hypergeometric-distributed random variables occurs. Therefore, the approximation considered in this paper is well suited to make a change over established practices.</p>
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