An algorithm to compute the cdf of the product of two normal random variables

DOI10.1080/03610919408813168MaRDI QIDQ4844141zbMATH OpenOpenAlexFDO

Authors William Q. Meeker, Luis A. Escobar

Publication date 20 August 1995

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610919408813168

zbMATH Keywords

cumulative distribution functionnumerical integrationbivariate normal distributionfortran

Mathematics Subject Classification ID

Statistics (62-XX)

Recommendations

• An approach to distribution of the product of two normal variables
• Computing the distribution of the product of two continuous random variables
• On computing distributions of products of non-negative independent random variables
• A new algorithm for the normal distribution function
• On the distribution-tail behaviour of the product of normal random variables
• Computation of multivariate normal and \(t\) probabilities
• On the distribution of the product of correlated normal random variables
• On the Exact Distribution for the Product and Ratio of Normal and t Random Variables

Cites work

• Mathematical forms of the distribution of the product of two normal variables
• Numerical evaluation of the distribution of the product of two normal variables
• On the Frequency Function of $xy$
• The Probability Function of the Product of Two Normally Distributed Variables

Cited in

(3)

• Testing indirect effect with a complete or incomplete dichotomous mediator
• Computing the distribution of the product of two continuous random variables
• An approximation to the distribution of the product of two dependent correlation coefficients

Describes a project that uses

Uses Software

• QUADPACK

This page was built for publication: An algorithm to compute the cdf of the product of two normal random variables

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4844141)