On products of Gaussian random variables

Authors Željka Stojanac, Daniel Suess, Martin Kliesch

Publication date 28 November 2017

Hypergeometric integrals and functions defined by them ((E), (G), (H) and (I) functions) (33C60) Distribution theory (60E99) Exact distribution theory in statistics (62E15) Approximations to statistical distributions (nonasymptotic) (62E17)

Abstract: Sums of independent random variables form the basis of many fundamental theorems in probability theory and statistics, and therefore, are well understood. The related problem of characterizing products of independent random variables seems to be much more challenging. In this work, we investigate such products of normal random variables, products of their absolute values, and products of their squares. We compute power-log series expansions of their cumulative distribution function (CDF) based on the theory of Fox H-functions. Numerically we show that for small arguments the CDFs are well approximated by the lowest orders of this expansion. For the two non-negative random variables, we also compute the moment generating functions in terms of Meijer G-functions, and consequently, obtain a Chernoff bound for sums of such random variables.

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