On the distribution of the product of correlated normal random variables

DOI10.1016/J.CRMA.2015.10.019MaRDI QIDQ512352zbMATH OpenOpenAlexFDO

Authors 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

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

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Cites work

• scientific article; zbMATH DE number 3755733 (Why is no real title available?)
• scientific article; zbMATH DE number 1528193 (Why is no real title available?)
• MOMENTS OF THE DISTRIBUTIONS OF POWERS AND PRODUCTS OF NORMAL VARIATES
• Mathematical forms of the distribution of the product of two normal variables
• The Probability Function of the Product of Two Normally Distributed Variables

Cited in

(42)

• Products of independent, normally attracted random variables
• The product distribution of more-than-two correlated normal variables: A didactic review with some new findings
• The variance-gamma distribution: a review
• Percentage points of the product of two correlated t varlates
• Asymptotic expansions relating to the distribution of the product of correlated normal random variables
• Asymptotic properties for quadratic functionals of linear self-repelling diffusion process and applications
• Genome-wide search algorithms for identifying dynamic gene co-expression via Bayesian variable selection
• Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity
• A note on the distribution of the product of zero‐mean correlated normal random variables
• Law of multiplicative error and its generalization to the correlated observations represented by the q-product
• Asymptotic approximations for the distribution of the product of correlated normal random variables
• On bounds for the mode and median of the generalized hyperbolic and related distributions
• Supervised portfolios
• On a class of symmetric distributions associated with the product of two correlated \(t\) variables
• An algorithm to compute the cdf of the product of two normal random variables
• A Note on the Simulation of Overdispersed Random Variables With Specified Marginal Means and Product Correlations
• The quotient of two correlated normal variables with applications
• An approach to distribution of the product of two normal variables
• The skewness and kurtosis of the product of two normally distributed random variables
• Algorithm AS 251: Multivariate Normal Probability Integrals with Product Correlation Structure
• The distribution of the product of independent variance-gamma random variables
• Subset simulation for probabilistic computer models
• Deformed normal distributions
• Fast symmetric additive covariance smoothing
• A non-stationary non-Gaussian hedonic spatial model for house selling prices
• On the product of correlated normal random variables and the noncentral chi-square difference distribution
• Computing the covariance of two Brownian area integrals
• The variance-gamma ratio distribution
• Absolute moments of the variance-gamma distribution
• A Stein characterisation of the distribution of the product of correlated normal random variables
• The variance-gamma product distribution
• Nonlinear scenario-based model predictive control for quadrotors with bidirectional thrust
• An approximation to the distribution of the product of two dependent correlation coefficients
• Robust outlier bound condition to phase retrieval with adversarial sparse outliers
• Stein’s method and the distribution of the product of zero mean correlated normal random variables
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• Probability Density Function of the Product and Quotient of Two Correlated Exponential Random Variables
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