Report
Asymptotic expansions for the distribution of the product of correlated normal random variables
| العنوان: | Asymptotic expansions for the distribution of the product of correlated normal random variables |
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| المؤلفون: | Gaunt, Robert E., Ye, Zixin |
| سنة النشر: | 2024 |
| المجموعة: | Mathematics |
| مصطلحات موضوعية: | Mathematics - Probability, Mathematics - Classical Analysis and ODEs, Primary 41A60, 60E05, 62E15 |
| الوصف: | We derive asymptotic expansions for the probability density function of the product of two correlated normal random variables with non-zero means and arbitrary variances, and more generally the sum of independent copies of such random variables. As a consequence, we obtain asymptotic expansions for the tail probabilities, as well as asymptotic approximations for the quantile function. Comment: 22 pages. arXiv admin note: text overlap with arXiv:2309.07734 |
| نوع الوثيقة: | Working Paper |
| URL الوصول: | http://arxiv.org/abs/2411.03942 |
| رقم الانضمام: | edsarx.2411.03942 |
| قاعدة البيانات: | arXiv |
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