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11

CSDA
2004

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Computing the distribution of the product of two continuous random variables

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Computing the distribution of the product of two continuous random variables

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We present an algorithm for computing the probability density function of the product of two independent random variables, along with an implementation of the algorithm in a computer algebra system. We combine this algorithm with the earlier work on transformations of random variables to create an automated algorithm for convolutions of random variables. Some examples demonstrate the algorithm's application. c 2002 Elsevier B.V. All rights reserved.

Andrew G. Glen, Lawrence Leemis, John H. Drew

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Added	17 Dec 2010
Updated	17 Dec 2010
Type	Journal
Year	2004
Where	CSDA
Authors	Andrew G. Glen, Lawrence Leemis, John H. Drew

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