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MathGroup Archive 2006

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variance of product of random variables

  • To: mathgroup at smc.vnet.net
  • Subject: [mg70101] variance of product of random variables
  • From: Frank Brand <frank.brand at t-online.de>
  • Date: Wed, 4 Oct 2006 05:58:33 -0400 (EDT)
  • References: <efq5iv$2ap$1@smc.vnet.net>

I should pose this problem in a more precise manner. What I'm looking 
for is the variance of k random variables (need not be normally 
distributed) in the presence of correlation between them.

Regards
Frank



Frank Brand wrote:
> 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
> 


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