A Stein characterisation of the distribution of the product of correlated normal random variables
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arXiv
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| Hauptverfasser: | , , |
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| Format: | Preprint |
| Veröffentlicht: |
2024
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| _version_ | 1866909310285512704 |
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| author | Gaunt, Robert E. Li, Siqi Sutcliffe, Heather L. |
| author_facet | Gaunt, Robert E. Li, Siqi Sutcliffe, Heather L. |
| contents | 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 of independent copies of such random variables. Our Stein characterisation is shown to naturally generalise a number of other Stein characterisations in the literature. From our Stein characterisation we derive recursive formulas for the moments of the product of two correlated normal random variables, and more generally the sum of independent copies of such random variables, which allows for efficient computation of higher order moments. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2402_02264 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | A Stein characterisation of the distribution of the product of correlated normal random variables Gaunt, Robert E. Li, Siqi Sutcliffe, Heather L. Probability Primary 60E05, 62E15 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 of independent copies of such random variables. Our Stein characterisation is shown to naturally generalise a number of other Stein characterisations in the literature. From our Stein characterisation we derive recursive formulas for the moments of the product of two correlated normal random variables, and more generally the sum of independent copies of such random variables, which allows for efficient computation of higher order moments. |
| title | A Stein characterisation of the distribution of the product of correlated normal random variables |
| topic | Probability Primary 60E05, 62E15 |
| url | https://arxiv.org/abs/2402.02264 |