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I am looking for the closed-form expression of the CDF of the product of two independent generalized non-central chi distributions (not chi-squared) each with k=2 degrees of freedom. A generalized non-central chi distribution (with k=2) is the square root of the sum of squares of two Gaussian random variables of different means and variances.

I came across two posts on StackExchange where this problem has been discussed before.

  1. This post mentions that a closed-form expression of the pdf of the product of two independent non-central chi distribution with k=2 has been derived before. Since the variances of the constituting Gaussian variables are identical in the paper mentioned at this link, this is not a generalized non-central chi distribution.

  2. This post states that for the generalized non-central chi-squared distribution, a closed-form pdf or cdf is not available at least for arbitrary degrees of freedom. As a result, a product of two generalized non-central chi-squared is also not available.

I am looking for pdf and cdf of generalized non-central chi (not chi-squared) with only k=2 degrees of freedom. I am guessing that this might be easier compared to deriving an expression with arbitrary degrees of freedom. Does such an expression exist?

-kvm

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  • $\begingroup$ Likely no chance: both Maple and Mathematica fail with it. $\endgroup$ – user64494 Mar 26 '17 at 8:44

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