On the product of generalized Pareto random variables

Saralees Nadarajah

Applied Economics Letters, 2008, vol. 15, issue 4, 253-259

Abstract: The distribution of products of random variables arises explicitly in many areas of the sciences, engineering and medicine. This has increased the need to have available the widest possible range of statistical results on products of random variables. In this note, the distribution of the product XY is derived when X and Y are independent generalized Pareto random variables. Extensive tabulations of the associated percentage points are also given.

Date: 2008
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DOI: 10.1080/13504850500425378

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