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Products of Random Variables

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Computational Probability

Part of the book series: International Series in Operations Research & Management Science ((ISOR,volume 246))

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Abstract

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.

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Authors and Affiliations

  1. Department of Mathematics, The College of William and Mary, Williamsburg, VA, USA

    John H. Drew & Lawrence M. Leemis

  2. Department of Mathematics, Rose-Hulman Institute of Technology, Terre Haute, IN, USA

    Diane L. Evans

  3. Department of Mathematics and Computer Science, Colorado College, Colorado Springs, CO, USA

    Andrew G. Glen

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  1. John H. Drew
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  2. Diane L. Evans
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  3. Andrew G. Glen
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  4. Lawrence M. Leemis
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Drew, J.H., Evans, D.L., Glen, A.G., Leemis, L.M. (2017). Products of Random Variables. In: Computational Probability. International Series in Operations Research & Management Science, vol 246. Springer, Cham. https://doi.org/10.1007/978-3-319-43323-3_6

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