The skewness and kurtosis of the product of two normally distributed random variables

Antonio Seijas-Macias, Amílcar Oliveira and Teresa A. Oliveira

Communications in Statistics - Theory and Methods, 2023, vol. 52, issue 1, 80-93

Abstract: The analysis of the product of two normally distributed variables does not seem to follow any known distribution. Fortunately, the moment-generating function is available and we can calculate the statistics of the product distribution: mean, variance, the skewness and kurtosis (excess of kurtosis). In this work, we have considered the role played by the parameters of the two normal distributions’ factors (mean and variance) on the values of the skewness and kurtosis of the product. Ranges of variation are defined for kurtosis and the skewness. The determination of the evolution of the skewness and kurtosis values of the product can be used to establish the normality of the product and how to modelize its distribution. Finally, the Pearson Inequality is proved for the skewness and kurtosis of the product of two normal random variables.

Date: 2023
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DOI: 10.1080/03610926.2021.1909734

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