## The Annals of Mathematical Statistics

- Ann. Math. Statist.
- Volume 18, Number 2 (1947), 265-271.

### The Probability Function of the Product of Two Normally Distributed Variables

#### Abstract

Let $x$ and $y$ follow a normal bivariate probability function with means $\bar X, \bar Y$, standard deviations $\sigma_1, \sigma_2$, respectively, $r$ the coefficient of correlation, and $\rho_1 = \bar X/\sigma_1, \rho_2 = \bar Y/\sigma_2$. Professor C. C. Craig [1] has found the probability function of $z = xy/\sigma_1\sigma_2$ in closed form as the difference of two integrals. For purposes of numerical computation he has expanded this result in an infinite series involving powers of $z, \rho_1, \rho_2$, and Bessel functions of a certain type; in addition, he has determined the moments, semin-variants, and the moment generating function of $z$. However, for $\rho_1$ and $\rho_2$ large, as Craig points out, the series expansion converges very slowly. Even for $\rho_1$ and $\rho_2$ as small as 2, the expansion is unwieldy. We shall show that as $\rho_1$ and $\rho_2 \rightarrow \infty$, the probability function of $z$ approaches a normal curve and in case $r = 0$ the Type III function and the Gram-Charlier Type A series are excellent approximations to the $z$ distribution in the proper region. Numerical integration provides a substitute for the infinite series wherever the exact values of the probability function of $z$ are needed. Some extensions of the main theorem are given in section 5 and a practical problem involving the probability function of $z$ is solved.

#### Article information

**Source**

Ann. Math. Statist. Volume 18, Number 2 (1947), 265-271.

**Dates**

First available: 28 April 2007

**Permanent link to this document**

http://projecteuclid.org/euclid.aoms/1177730442

**JSTOR**

links.jstor.org

**Digital Object Identifier**

doi:10.1214/aoms/1177730442

**Mathematical Reviews number (MathSciNet)**

MR21284

**Zentralblatt MATH identifier**

0041.45004

#### Citation

Aroian, Leo A. The Probability Function of the Product of Two Normally Distributed Variables. The Annals of Mathematical Statistics 18 (1947), no. 2, 265--271. doi:10.1214/aoms/1177730442. http://projecteuclid.org/euclid.aoms/1177730442.