Stein’s method and the distribution of the product of zero mean correlated normal random variables

DOI10.1080/03610926.2019.1634210OpenAlexW2953253958MaRDI QIDQ5079037

Robert E. Gaunt

Publication date: 25 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1906.04785

zbMATH Keywords

Stein's methodprobability density functionproduct of correlated normal random variables

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Statistics (62-XX) Probability distributions: general theory (60E05)

Related Items (5)

On the distribution-tail behaviour of the product of normal random variables ⋮ The basic distributional theory for the product of zero mean correlated normal random variables ⋮ Identifying the distribution of linear combinations of gamma random variables via Stein’s method ⋮ Unnamed Item ⋮ Optimal variance-Gamma approximation on the second Wiener chaos

Uses Software

• DLMF

Cites Work

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• An algebra of Stein operators
• Chi-square approximation by Stein's method with application to Pearson's statistic
• Measuring sample quality with diffusions
• On Stein's method for products of normal random variables and zero bias couplings
• Mathematical forms of the distribution of the product of two normal variables
• The Distribution of Products of Beta, Gamma and Gaussian Random Variables
• The Probability Function of the Product of Two Normally Distributed Variables
• MOMENTS OF THE DISTRIBUTIONS OF POWERS AND PRODUCTS OF NORMAL VARIATES
• A note on the distribution of the product of zero‐mean correlated normal random variables

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