On the product of correlated normal random variables and the noncentral chi-square difference distribution

Robert E. Gaunt

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arXiv · 2408.04101

On the product of correlated normal random variables and the noncentral chi-square difference distribution

Robert E. Gaunt

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Abstract

We represent the product of two correlated normal random variables, and more generally the sum of independent copies of such random variables, as a difference of two independent noncentral chi-square random variables (which we refer to as the noncentral chi-square difference distribution). As a consequence, we obtain, amongst other results, an exact formula for the probability density function of the noncentral chi-square difference distribution, a Stein characterisation of the noncentral chi-square difference distribution, a simple formula for the moments of the sum of independent copies of the product of correlated normal random variables, an exact formula for the probability that such a random variable is negative, and also show that such random variables are self-decomposable and provide a L\'evy-Khintchine representation of the characteristic function.

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Robert E. Gaunt. 2024-08-07. On the product of correlated normal random variables and the noncentral chi-square difference distribution. https://arxiv.org/abs/2408.04101

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