Abstract
Over the last 80 years there has been much interest in the problem of nding
an explicit formula for the probability density function of two zero mean correlated
normal random variables. Motivated by this historical interest, we use a recent
technique from the Stein's method literature to obtain a simple new proof, which
also serves as an exposition of a general method that may be useful in related
problems.
an explicit formula for the probability density function of two zero mean correlated
normal random variables. Motivated by this historical interest, we use a recent
technique from the Stein's method literature to obtain a simple new proof, which
also serves as an exposition of a general method that may be useful in related
problems.
| Original language | English |
|---|---|
| Journal | Communications in Statistics: Theory and Methods |
| Early online date | 19 Jul 2019 |
| DOIs | |
| Publication status | Published - 2019 |
Keywords
- Product of correlated normal random variables
- probability density function
- Stein's method