Timeline for What is the probability distribution function for the product of two correlated Gaussian random variable?
Current License: CC BY-SA 3.0
5 events
| when toggle format | what | by | license | comment | |
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| Oct 1, 2015 at 10:10 | comment | added | Douglas Zare | How does it solve the problem to represent XY as a sum of uncorrelated random variables with known distributions? | |
| Jun 16, 2011 at 20:20 | comment | added | Tom LaGatta | @Robert Israel, thank you for your comment. Of course, you are absolutely right. I have edited my response to fix this error. | |
| Jun 16, 2011 at 20:20 | history | edited | Tom LaGatta | CC BY-SA 3.0 |
Corrected error as pointed out by Robert Israel
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| Jun 16, 2011 at 19:07 | comment | added | Robert Israel | No, the density of the sum of two independent random variables is the convolution of their density functions. Unfortunately, $X^2$ and $XZ$ are certainly not independent (although they are uncorrelated). | |
| Jan 15, 2010 at 22:03 | history | answered | Tom LaGatta | CC BY-SA 2.5 |