Asymptotic Expansions Relating to the Distribution of the Product of Correlated Normal Random Variables
Copyright policy )Asymptotic Expansions Relating to the Distribution of the Product of Correlated Normal Random Variables
ABSTRACTAsymptotic expansions are derived for the tail distribution of the product of two correlated normal random variables with nonzero means and arbitrary variances, and more generally the sum of independent copies of such random variables. Asymptotic approximations are also given for the quantile function. Numerical results are given to test the performance of the asymptotic approximations.
- The University of Manchester United Kingdom
- University of Manchester United Kingdom
- The University of Manchester
- THE UNIVERSITY OF MANCHESTER United Kingdom
- THE UNIVERSITY OF MANCHESTER United Kingdom
Asymptotic approximations, asymptotic expansions (steepest descent, etc.), asymptotic expansion, quantile function, Probability (math.PR), Exact distribution theory in statistics, Primary 41A60, 60E05, 62E15, Mathematics - Classical Analysis and ODEs, product of correlated normal random variables, tail probability, probability density function, Classical Analysis and ODEs (math.CA), FOS: Mathematics, sum of independent random variables, Probability distributions: general theory, asymptotic explansion, Product of correlated normal random variables, Mathematics - Probability
Asymptotic approximations, asymptotic expansions (steepest descent, etc.), asymptotic expansion, quantile function, Probability (math.PR), Exact distribution theory in statistics, Primary 41A60, 60E05, 62E15, Mathematics - Classical Analysis and ODEs, product of correlated normal random variables, tail probability, probability density function, Classical Analysis and ODEs (math.CA), FOS: Mathematics, sum of independent random variables, Probability distributions: general theory, asymptotic explansion, Product of correlated normal random variables, Mathematics - Probability
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