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computingthedistributionoftheproductoftwo
ARTICLE IN PRESS
Computational Statistics Data Analysis ( ) –
/locate/csda
Computing the distribution of the product of two
continuous random variables
a b ; ∗ b
Andrew G. Glen , Lawrence M. Leemis , John H. Drew
a Department of Mathematical Sciences, The United States Military Academy, West Point,
NY 10996, USA
b Department of Mathematics, The College of William and Mary, P.O. Box 8795, Williamsburg,
VA 23187-8795, USA
Received 1 September 2001; received in revised form 1 July 2002
Abstract
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.
Keywords: Algorithms; Computational algebra systems; Convolutions; Probability
1. Introduction
Rohatgi’s well-known result (1976, p. 141) for determining the distribution of the
product of two random variables is straightforward to derive, but dicult to implement.
Let X and Y be continuous random variables with joint PDF fX;Y (x; y ). The PDF
of V = XY is
f ∞ v 1
V (v) = fX;Y x;
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