A carregar...
Publicação
A new R-function to estimate the PDF of the product of two uncorrelated normal variables
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 318.13 KB | Adobe PDF |
Orientador(es)
Resumo(s)
This paper analyses the implementation of a procedure using the software R to calculate the Probability Density Function (PDF) of the product of two uncorrelated Normally Distributed Random Variables. The problem of estimating the distribution of the product of two random variables has been solved for some particular cases, but there is no unique expression for all possible situations. In our study, we chose Rohatgi’s theorem as a basis for approximating the product of two uncorrelated Normally Distributed Random Variables. The numerical approximation of the product PDF was calculated using a function that we implemented in R. Several numerical examples show that the approximations obtained in R fit the theoretical values of the product distributions. The results obtained with our R function are very positive when we compare them with the Monte Carlo Simulation of the product of the two variables.
Descrição
Palavras-chave
Product normal variables Normal distribution Rohatgi’s theorem Numerical integration
Contexto Educativo
Citação
Seijas-Macias, A.; Oliveira, A.; Oliveira, T.A. A New R-Function to Estimate the PDF of the Product of Two Uncorrelated Normal Variables. Mathematics 2023, 11, 3515. https://doi.org/10.3390/math11163515
Editora
MDPI