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arXiv · 2411.03942

Asymptotic expansions relating to the distribution of the product of correlated normal random variables

Robert E. Gaunt·Zixin Ye
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Abstract

Asymptotic expansions are derived for the tail distribution of the product of two correlated normal random variables with non-zero 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.

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Robert E. Gaunt, Zixin Ye. 2024-11-06. Asymptotic expansions relating to the distribution of the product of correlated normal random variables. https://arxiv.org/abs/2411.03942

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