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math.PR2025
The variance-gamma product distribution
Robert E. Gaunt, Siqi Li, Heather Sutcliffe
We derive the exact probability density function of the product of independent variance-gamma random variables with zero location parameter. We then apply this formula to deriv…
math.PR2024
A Stein characterisation of the distribution of the product of correlated normal random variables
Robert E. Gaunt, Siqi Li, Heather L. Sutcliffe
We obtain a Stein characterisation of the distribution of the product of two correlated normal random variables with non-zero means, and more generally the distribution of the sum…
math.PR2024
The distribution of the product of independent variance-gamma random variables
Robert E. Gaunt, Siqi Li
Let and be independent variance-gamma random variables with zero location parameter; then the exact probability density function of the product is derived. Some basic…