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Exact Distribution of the Product of N Student’s t RVs

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  • Saralees Nadarajah

    (University of Manchester)

Abstract

Exact expressions are derived for the probability density function, cumulative distribution function and moment properties of the product of N independent Student’s t random variables. A program is provided for computing the associated percentage points. Estimation issues by the methods of moments and maximum likelihood are discussed.

Suggested Citation

  • Saralees Nadarajah, 2012. "Exact Distribution of the Product of N Student’s t RVs," Methodology and Computing in Applied Probability, Springer, vol. 14(4), pages 997-1009, December.
    • Handle: RePEc:spr:metcap:v:14:y:2012:i:4:d:10.1007_s11009-011-9216-0
    DOI: 10.1007/s11009-011-9216-0
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    References listed on IDEAS

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    1. Nadarajah, Saralees & Kotz, Samuel, 2006. "On The Product And Ratio Of Gamma And Weibull Random Variables," Econometric Theory, Cambridge University Press, vol. 22(2), pages 338-344, April.
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    Cited by:

    1. 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.

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