The basic distributional theory for the product of zero mean correlated normal random variables

06/05/2021
by   Robert E. Gaunt, et al.
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The product of two zero mean correlated normal random variables has received much attention in the statistics literature and appears in many application areas. However, many important distributional properties are yet to tabulated. This paper fills this gap by providing the basic distributional theory for the product of two zero mean correlated normal random variables.

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