[Date Index]
[Thread Index]
[Author Index]
Re: variance of product of random variables
*To*: mathgroup at smc.vnet.net
*Subject*: [mg70090] Re: variance of product of random variables
*From*: "ben" <benjamin.friedrich at gmail.com>
*Date*: Tue, 3 Oct 2006 06:16:32 -0400 (EDT)
*References*: <efq5iv$2ap$1@smc.vnet.net>
Dear Frank,
All depends on the correlation functions (the linear and the higher
ones) of the two variables a and b.
If a and b were completly uncorrelated (not even non-linear
correlations among them),
then you can compute the variance of their product quite easily
v(ab) := < a^2b^2 > - < ab >^2 = <a^2><b^2> - <a>^2<b>^2 = v(a) <b> +
v(b) <a> + v(a) v(b);
v(a)=<a^2>-<a>^2, v(b)=<b^2>-<b>^2
here v(.) denotes variance, <.> denotes mean.
Note that we do not have to assume normal distributions for a and b,
essential is that their are uncorrelated, hence the means of products
factor into products of means.
Bye
Ben
Frank Brand schrieb:
> Dear Mathematica friends,
>
> is there a hint to a work done with Mathematica calculating the variance of a
> product of two random variables that are normally distributed?
>
> Thanks in advance
> Frank
Prev by Date:
**Draw approximated normal distribution based on mean, median, percentiles?**
Next by Date:
**Re: distance function**
Previous by thread:
**variance of product of random variables**
Next by thread:
**variance of product of random variables**
| |