On computing distributions of products of non-negative independent random variables
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Publication:6289380
DOI10.1016/J.ACHA.2018.01.002arXiv1707.07762MaRDI QIDQ6289380FDOQ6289380
Authors: Gregory Beylkin, Lucas Monzón, Ignas Satkauskas 
Publication date: 24 July 2017
Abstract: We introduce a new functional representation of probability density functions (PDFs) of non-negative random variables via a product of a monomial factor and linear combinations of decaying exponentials with complex exponents. This approximate representation of PDFs is obtained for any finite, user-selected accuracy. Using a fast algorithm involving Hankel matrices, we develop a general numerical method for computing the PDF of the sums, products, or quotients of any number of non-negative random variables yielding the result in the same type of functional representation. We present several examples to demonstrate the accuracy of the approach.
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