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Computing the distribution of the product of two continuous random variables

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  • Glen, Andrew G.
  • Leemis, Lawrence M.
  • Drew, John H.

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  • Glen, Andrew G. & Leemis, Lawrence M. & Drew, John H., 2004. "Computing the distribution of the product of two continuous random variables," Computational Statistics & Data Analysis, Elsevier, vol. 44(3), pages 451-464, January.
    • Handle: RePEc:eee:csdana:v:44:y:2004:i:3:p:451-464
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    References listed on IDEAS

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    1. Andrew G. Glen & Lawrence M. Leemis & John H. Drew, 1997. "A Generalized Univariate Change-of-Variable Transformation Technique," INFORMS Journal on Computing, INFORMS, vol. 9(3), pages 288-295, August.
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    Cited by:

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    2. Kashyap, Ravi, 2019. "The perfect marriage and much more: Combining dimension reduction, distance measures and covariance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
    3. Greenwood, Priscilla E. & Schick, Anton & Wefelmeyer, Wolfgang, 2011. "Estimating the inter-arrival time density of Markov renewal processes under structural assumptions on the transition distribution," Statistics & Probability Letters, Elsevier, vol. 81(2), pages 277-282, February.
    4. Amílcar Oliveira & Teresa Oliveira & Antonio Seijas-Macías, 2018. "The uniform distribution product: an approach to the inventory model using R," Journal of Applied Statistics, Taylor & Francis Journals, vol. 45(2), pages 284-297, January.
    5. Antonio Seijas-Macias & Amílcar Oliveira & Teresa A. Oliveira, 2023. "A New R-Function to Estimate the PDF of the Product of Two Uncorrelated Normal Variables," Mathematics, MDPI, vol. 11(16), pages 1-13, August.
    6. Joan del Castillo & Juan-Pablo Ortega, 2011. "Hedging of time discrete auto-regressive stochastic volatility options," Papers 1110.6322, arXiv.org.
    7. Kristian Behrens & Gilles Duranton & Frédéric Robert-Nicoud, 2014. "Productive Cities: Sorting, Selection, and Agglomeration," Journal of Political Economy, University of Chicago Press, vol. 122(3), pages 507-553.
    8. Wanke, Peter F., 2008. "The uniform distribution as a first practical approach to new product inventory management," International Journal of Production Economics, Elsevier, vol. 114(2), pages 811-819, August.
    9. Viaene, Jean-Marie & Zilcha, Itzhak, 2013. "Public funding of higher education," Journal of Public Economics, Elsevier, vol. 108(C), pages 78-89.
    10. Das, Rubel & Hanaoka, Shinya, 2014. "Relief inventory modelling with stochastic lead-time and demand," European Journal of Operational Research, Elsevier, vol. 235(3), pages 616-623.
    11. Glickman, Theodore S. & Xu, Feng, 2008. "The distribution of the product of two triangular random variables," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2821-2826, November.
    12. Sel Ly & Kim-Hung Pho & Sal Ly & Wing-Keung Wong, 2019. "Determining Distribution for the Product of Random Variables by Using Copulas," Risks, MDPI, vol. 7(1), pages 1-20, February.
    13. Khouja, Moutaz & Wang, Yulan, 2010. "The impact of digital channel distribution on the experience goods industry," European Journal of Operational Research, Elsevier, vol. 207(1), pages 481-491, November.
    14. Benjamin J Finley & Kalevi Kilkki, 2014. "Exploring Empirical Rank-Frequency Distributions Longitudinally through a Simple Stochastic Process," PLOS ONE, Public Library of Science, vol. 9(4), pages 1-14, April.
    15. Julia Adamska & Łukasz Bielak & Joanna Janczura & Agnieszka Wyłomańska, 2022. "From Multi- to Univariate: A Product Random Variable with an Application to Electricity Market Transactions: Pareto and Student’s t -Distribution Case," Mathematics, MDPI, vol. 10(18), pages 1-29, September.
    16. Simone Tonini & Francesca Chiaromonte & Alessandro Giovannelli, 2022. "On the impact of serial dependence on penalized regression methods," LEM Papers Series 2022/21, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.

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