Timeline for What is the probability distribution function for the product of two correlated Gaussian random variable?
Current License: CC BY-SA 3.0
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| S Oct 1, 2015 at 0:40 | history | edited | მამუკა ჯიბლაძე | CC BY-SA 3.0 |
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| S Oct 1, 2015 at 0:40 | history | suggested | Iosif Pinelis | CC BY-SA 3.0 |
improved formatting
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| Oct 1, 2015 at 0:20 | review | Suggested edits | |||
| S Oct 1, 2015 at 0:40 | |||||
| Sep 29, 2015 at 19:18 | review | Late answers | |||
| Oct 1, 2015 at 0:20 | |||||
| Jun 16, 2011 at 20:26 | comment | added | Tom LaGatta | That is a nice observation, pedro. If one is furthermore interested in any higher moments $\mathbb E (XY)^k$, then I suggest using the decomposition $Y = \tfrac{\rho \sigma_y}{\sigma_x}X + \sqrt{1-\rho^2}\sigma_y Z$ and using the independence of $X$ and $Z$. As Arkadiusz says, there is likely no known closed-form expression for the product, though in practice we can estimate probabilities using Chebyshev's inequality and arbitrary moments. | |
| Jun 16, 2011 at 18:57 | history | answered | cat_the_curiosity | CC BY-SA 3.0 |