A note on the distribution of the product of zero‐mean correlated normal random variables

• Published in: Statistica Neerlandica Vol. 73; no. 2; pp. 176 - 179
• Main Author: Gaunt, Robert E.
• Format: Journal Article
• Language: English
• Published: Oxford Blackwell Publishing Ltd 01.05.2019
• Subjects: Correlation; Mathematical analysis; Monte Carlo simulation; probability density function; Probability density functions; product of correlated normal random variables; Random variables; variance‐gamma distribution

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...