Comptes Rendus
no. 2
Probability theory/Statistics
On the distribution of the product of correlated normal random variables

Presented by: the Editorial Board

Saralees Nadarajah1 ; Tibor K. Pogány2
1 School of Mathematics, University of Manchester, Manchester M13 9PL, UK
2 Faculty of Maritime Studies, University of Rijeka, 51000 Rijeka, Croatia
Comptes Rendus. Mathématique, Volume 354 (2016) no. 2, pp. 201-204.

We solve a problem that has remained unsolved since 1936 – the exact distribution of the product of two correlated normal random variables. As a by-product, we derive the exact distribution of the mean of the product of correlated normal random variables.

Dans cette Note, on résout un problème, posé depuis 1936, sur la distribution exacte du produit de variables aléatoires normales corrélées. Comme résultat supplémentaire, on déduit la distribution exacte de la moyenne du produit de variables aléatoires normales corrélées.

Received:
Accepted:
Published online:
DOI: 10.1016/j.crma.2015.10.019

Saralees Nadarajah 1; Tibor K. Pogány 2

1 School of Mathematics, University of Manchester, Manchester M13 9PL, UK
2 Faculty of Maritime Studies, University of Rijeka, 51000 Rijeka, Croatia 
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Saralees Nadarajah; Tibor K. Pogány. On the distribution of the product of correlated normal random variables. Comptes Rendus. Mathématique, Volume 354 (2016) no. 2, pp. 201-204. doi : 10.1016/j.crma.2015.10.019. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2015.10.019/

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