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Pregled bibliografske jedinice broj: 790871

On the distribution of the product of correlated normal random variables

Nadarajah, Saralees; Poganj, Tibor
On the distribution of the product of correlated normal random variables // Comptes rendus. Mathématique, 354 (2016), 2; 201-204 doi:10.1016/j.crma.2015.10.019 (međunarodna recenzija, članak, znanstveni)

CROSBI ID: 790871 Za ispravke kontaktirajte CROSBI podršku putem web obrasca

Naslov
On the distribution of the product of correlated normal random variables

Autori
Nadarajah, Saralees ; Poganj, Tibor

Izvornik
Comptes rendus. Mathématique (1631-073X) 354 (2016), 2; 201-204

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
Correlated random variables; Normal random variables; Distribution; Modified Bessel function of the second kind; Whittaker function
(Correlated random variables; Distribution; Modified Bessel function of the second kind; Whittaker function)

Sažetak
We solve a problem that has remained unsolved since 1936 – the exact distribution of the product of two correlated normal random variables. As a by-product, we derive the exact distribution of the mean of the product of correlated normal random variables.

Izvorni jezik
Engleski

Znanstvena područja
Matematika



POVEZANOST RADA

Ustanove:
Pomorski fakultet, Rijeka

Profili:

Avatar Url Tibor Poganj (autor)

Poveznice na cjeloviti tekst rada:

doi www.sciencedirect.com dx.doi.org

Citiraj ovu publikaciju:

Nadarajah, Saralees; Poganj, Tibor
On the distribution of the product of correlated normal random variables // Comptes rendus. Mathématique, 354 (2016), 2; 201-204 doi:10.1016/j.crma.2015.10.019 (međunarodna recenzija, članak, znanstveni)
Nadarajah, S. & Poganj, T. (2016) On the distribution of the product of correlated normal random variables. Comptes rendus. Mathématique, 354 (2), 201-204 doi:10.1016/j.crma.2015.10.019.
@article{article, author = {Nadarajah, Saralees and Poganj, Tibor}, year = {2016}, pages = {201-204}, DOI = {10.1016/j.crma.2015.10.019}, keywords = {Correlated random variables, Normal random variables, Distribution, Modified Bessel function of the second kind, Whittaker function}, journal = {Comptes rendus. Math\'{e}matique}, doi = {10.1016/j.crma.2015.10.019}, volume = {354}, number = {2}, issn = {1631-073X}, title = {On the distribution of the product of correlated normal random variables}, keyword = {Correlated random variables, Normal random variables, Distribution, Modified Bessel function of the second kind, Whittaker function} }
@article{article, author = {Nadarajah, Saralees and Poganj, Tibor}, year = {2016}, pages = {201-204}, DOI = {10.1016/j.crma.2015.10.019}, keywords = {Correlated random variables, Distribution, Modified Bessel function of the second kind, Whittaker function}, journal = {Comptes rendus. Math\'{e}matique}, doi = {10.1016/j.crma.2015.10.019}, volume = {354}, number = {2}, issn = {1631-073X}, title = {On the distribution of the product of correlated normal random variables}, keyword = {Correlated random variables, Distribution, Modified Bessel function of the second kind, Whittaker function} }

Časopis indeksira:


  • Current Contents Connect (CCC)
  • Web of Science Core Collection (WoSCC)
    • Science Citation Index Expanded (SCI-EXP)
    • SCI-EXP, SSCI i/ili A&HCI
  • Scopus

Uključenost u ostale bibliografske baze podataka::


  • MathSciNet
  • Zentrallblatt für Mathematik/Mathematical Abstracts
  • Referativnij Zhurnal Matematika

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