On the distribution of the product of correlated normal random variables

Saraleesan Nadarajah

doi:10.1016/j.crma.2015.10.019

On the distribution of the product of correlated normal random variables

Saraleesan Nadarajah

Statistics

Research output: Contribution to journal › Article › peer-review

Abstract

We solve a problem that has remained unsolved since 1936 – the exact distribution of the product of two correlated normal random variables. As a by-product, we derive the exact distribution of the mean of the product of correlated normal random variables.

Original language	English
Journal	Académie des Sciences. Comptes Rendus. Mathématique
Volume	354
DOIs	https://doi.org/10.1016/j.crma.2015.10.019
Publication status	Published - 1 Feb 2016

Access to Document

10.1016/j.crma.2015.10.019Licence: Other

Cite this

@article{816c26c6a365494ab9b4a915771f821e,

title = "On the distribution of the product of correlated normal random variables",

abstract = "We solve a problem that has remained unsolved since 1936 – the exact distribution of the product of two correlated normal random variables. As a by-product, we derive the exact distribution of the mean of the product of correlated normal random variables.",

author = "Saraleesan Nadarajah",

year = "2016",

month = feb,

day = "1",

doi = "10.1016/j.crma.2015.10.019",

language = "English",

volume = "354",

journal = "Acad{\'e}mie des Sciences. Comptes Rendus. Math{\'e}matique",

issn = "1631-073X",

publisher = "Elsevier BV",

}

TY - JOUR

T1 - On the distribution of the product of correlated normal random variables

AU - Nadarajah, Saraleesan

PY - 2016/2/1

Y1 - 2016/2/1

N2 - We solve a problem that has remained unsolved since 1936 – the exact distribution of the product of two correlated normal random variables. As a by-product, we derive the exact distribution of the mean of the product of correlated normal random variables.

AB - We solve a problem that has remained unsolved since 1936 – the exact distribution of the product of two correlated normal random variables. As a by-product, we derive the exact distribution of the mean of the product of correlated normal random variables.

U2 - 10.1016/j.crma.2015.10.019

DO - 10.1016/j.crma.2015.10.019

M3 - Article

SN - 1631-073X

VL - 354

JO - Académie des Sciences. Comptes Rendus. Mathématique

JF - Académie des Sciences. Comptes Rendus. Mathématique

ER -

On the distribution of the product of correlated normal random variables

Abstract

Access to Document

Fingerprint

Cite this