Products of Random Variables

John H. Drew, Diane L. Evans, Andrew G. Glen and Lawrence M. Leemis
Additional contact information
John H. Drew: The College of William and Mary
Diane L. Evans: Rose-Hulman Institute of Technology
Andrew G. Glen: Colorado College
Lawrence M. Leemis: The College of William and Mary

Chapter 6 in Computational Probability, 2017, pp 73-86 from Springer

Abstract: Abstract This chapter describes an algorithm for computing the PDF of the product of two independent continuous random variables. This algorithm has been implemented in the Product procedure in APPL. The algorithms behind the Transform and BiTransform procedures from the two previous chapters differ fundamentally from the algorithm behind the Product procedure in that the transformation algorithms are more general whereas determining the distribution of the product of two random variables is more specific. Some examples given in the chapter demonstrate the algorithm’s application.

Keywords: Independent Random Variable; Discrete Random Variable; Continuous Random Variable; Joint Support; Positive Interval (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1007/978-3-319-43323-3_6

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