On the distribution of the product of correlated normal random variables

DOI10.1016/j.crma.2015.10.019zbMath1412.60031OpenAlexW2302109912MaRDI QIDQ512352

Tibor K. Pogány, Saralees Nadarajah

Publication date: 24 February 2017

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2015.10.019

zbMATH Keywords

exact distributionproduct of two correlated normal random variables

Mathematics Subject Classification ID

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

Related Items (13)

Fast symmetric additive covariance smoothing ⋮ Stein’s method and the distribution of the product of zero mean correlated normal random variables ⋮ Asymptotic properties for quadratic functionals of linear self-repelling diffusion process and applications ⋮ 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 ⋮ Subset simulation for probabilistic computer models ⋮ The variance-gamma ratio distribution ⋮ Identifying the distribution of linear combinations of gamma random variables via Stein’s method ⋮ Supervised portfolios ⋮ A note on the distribution of the product of zero‐mean correlated normal random variables ⋮ On bounds for the mode and median of the generalized hyperbolic and related distributions ⋮ A non–stationary non–Gaussian hedonic spatial model for house selling prices ⋮ The skewness and kurtosis of the product of two normally distributed random variables

Cites Work

• Mathematical forms of the distribution of the product of two normal variables
• The Probability Function of the Product of Two Normally Distributed Variables
• MOMENTS OF THE DISTRIBUTIONS OF POWERS AND PRODUCTS OF NORMAL VARIATES
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