We present an interactive MATLAB-based demo program devoted to teaching undergraduate students the behavior of the sum of independent random variables. The user chooses the type of the variables, and the parameters of these variables. The sum is shown in the time domain followed by the estimation of the probability density of the sum using a histogram. It is subsequently shown that the probability density of the sum of random variables represents the convolution of the density functions of the corresponding variables. The Central Limit Theorem and the progression of the sum towards this limit are illustrated in terms of the number of summands. The software can be used as a complement to theoretical classes or alone as a self-study tool. Student evaluation of the program is also included. © 2010 Wiley Periodicals, Inc. Comput Appl Eng Educ 21: 372–385, 2013; View this article online at wileyonlinelibrary.com; DOI 10.1002/cae.20481