Exact Distribution of the Product of N Student’s t RVs
Saralees Nadarajah ()
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Saralees Nadarajah: University of Manchester
Methodology and Computing in Applied Probability, 2012, vol. 14, issue 4, 997-1009
Abstract:
Abstract Exact expressions are derived for the probability density function, cumulative distribution function and moment properties of the product of N independent Student’s t random variables. A program is provided for computing the associated percentage points. Estimation issues by the methods of moments and maximum likelihood are discussed.
Keywords: Meijer G function; Product of random variables; Student’s t distribution; 33C90; 62E99 (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s11009-011-9216-0
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