## A note on the distribution of the product of zero mean correlated normal random variables. (arXiv:1807.03981v1 [math.ST])

The problem of finding an explicit formula for the probability density function of two zero mean correlated normal random variables dates back to 1936. Perhaps surprisingly, this problem was not resolved until 2016. This is all the more surprising given that a very simple proof is available, which is the subject of this note; we identify the product of two zero mean correlated normal random variables as a variance-gamma random variable, from which an explicit formula for probability density function is immediate.查看全文

## Solidot 文章翻译

 你的名字 留空匿名提交 你的Email或网站 用户可以联系你 标题 简单描述 内容 The problem of finding an explicit formula for the probability density function of two zero mean correlated normal random variables dates back to 1936. Perhaps surprisingly, this problem was not resolved until 2016. This is all the more surprising given that a very simple proof is available, which is the subject of this note; we identify the product of two zero mean correlated normal random variables as a variance-gamma random variable, from which an explicit formula for probability density function is immediate.