Computational Probability

Volume 246 of the series International Series in Operations Research & Management Science pp 73-86


Products of Random Variables

  • John H. DrewAffiliated withDepartment of Mathematics, The College of William and Mary
  • , Diane L. EvansAffiliated withDepartment of Mathematics, Rose-Hulman Institute of Technology
  • , Andrew G. GlenAffiliated withDepartment of Mathematics and Computer Science, Colorado College
  • , Lawrence M. LeemisAffiliated withDepartment of Mathematics, The College of William and Mary

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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.