Computing the distribution of the product of two continuous random variables

We present an algorithm for computing the probability density function of the product of two independent random variables, along with an implementation of the algorithm in a computer algebra system. We combine this algorithm with the earlier work on transformations of random variables to create an automated algorithm for convolutions of random variables. Some examples demonstrate the algorithm's application. c 2002 Elsevier B.V. All rights reserved.

• Type: Journal
• Year: 2004
• Where: CSDA
• Authors: Andrew G. Glen, Lawrence Leemis, John H. Drew
• Keywords: Algorithm, CSDA 2004, Independent Random Variables, Random Variables