Products of Random Variables

Part of the In Operations Research & Management Science book series (ISOR, volume 117)

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 algorithm behind the Transform procedure from the previous chapter differs fundamentally from the algorithm behind the Product procedure in that the former concerns the transformation of just one random variable and the latter concerns the product of two random variables. Some examples demonstrate the algorithm’s application.


Independent Random Variable Discrete Random Variable Continuous Random Variable Random Variable Versus Joint Support 
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Copyright information

© Springer Science+Business Media, LLC 2008

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