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Drew, JH, Evans, DL, Glen, AG and Leemis, LM (2017)

Products of Random Variables

In:Computational Probability: Algorithms and Applications in the Mathematical Sciences, Springer International Publishing, pp. 73-86.

ISSN/ISBN: 978-3-319-43323-3 DOI: 10.1007/978-3-319-43323-3

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.

@Inbook{, author="Drew, John H. and Evans, Diane L. and Glen, Andrew G. and Leemis, Lawrence M.", title="Products of Random Variables", bookTitle="Computational Probability: Algorithms and Applications in the Mathematical Sciences", year="2017", publisher="Springer International Publishing", address="Cham", pages="73--86", isbn="978-3-319-43323-3", doi="10.1007/978-3-319-43323-3_6", url="" }

Reference Type: Book Chapter

Subject Area(s): Probability Theory, Statistics