jaki jest pdf iloczynu dwóch niezależnych zmiennych losowych X i Y, jeśli X i Y są niezależne? X jest rozkładem normalnym, a Y jest rozkładem chi-kwadrat.
Z = XY
jeśli ma rozkład normalny
ima rozkład chi-kwadrat ostopniu swobody
gdziejest funkcją kroku jednostkowego.
Czym jest pdf jeśli i są niezależne?
Jednym ze sposobów znalezienia rozwiązania jest użycie dobrze znanego wyniku Rohatgiego (1976, s. 141), jeżeli będzie połączonym pdf ciągłych RV i , pdf jest
ponieważ i są niezależne
gdzie mamy do czynienia z problemem rozwiązania integralną∫∞01
. Czy ktoś może mi pomóc z tym problemem.
czy jest jakiś alternatywny sposób na rozwiązanie tego?
Odpowiedzi:
simplify the term in the integral to
find the polynomialp(y) such that
which reduces to findingp(y) such that
or
which can be done evaluating all powers ofy seperately
edit after comments
Above solution won't work as it diverges.
Yet, some others have worked on this type of product.
Using Fourrier transform:
Schoenecker, Steven, and Tod Luginbuhl. "Characteristic Functions of the Product of Two Gaussian Random Variables and the Product of a Gaussian and a Gamma Random Variable." IEEE Signal Processing Letters 23.5 (2016): 644-647. http://ieeexplore.ieee.org/document/7425177/#full-text-section
For the productZ=XY with X∼N(0,1) and Y∼Γ(α,β) they obtained the characteristic function:
withDα Whittaker's function ( http://people.math.sfu.ca/~cbm/aands/page_686.htm )
Using Mellin transform:
Springer and Thomson have described more generally the evaluation of products of beta, gamma and Gaussian distributed random variables.
Springer, M. D., and W. E. Thompson. "The distribution of products of beta, gamma and Gaussian random variables." SIAM Journal on Applied Mathematics 18.4 (1970): 721-737. http://epubs.siam.org/doi/10.1137/0118065
They use the Mellin integral transform. The Mellin transform ofZ is the product of the Mellin transforms of X and Y (see http://epubs.siam.org/doi/10.1137/0118065 or https://projecteuclid.org/euclid.aoms/1177730201). In the studied cases of products the reverse transform of this product can be expressed as a Meijer G-function for which they also provide and prove computational methods.
They did not analyze the product of a Gaussian and gamma distributed variable, although you might be able to use the same techniques. If I try to do this quickly then I believe it should be possible to obtain an H-function (https://en.wikipedia.org/wiki/Fox_H-function ) although I do not directly see the possibility to get a G-function or make other simplifications.
and
you get
and the distribution ofZ is:
which looks to me (after a change of variables to eliminate the232(s−1) term) as at least a H-function
what is still left is the puzzle to express this inverse Mellin transform as a G function. The occurrence of boths and s/2 complicates this. In the separate case for a product of only Gaussian distributed variables the s/2 could be transformed into s by substituting the variable x=w2 . But because of the terms of the chi-square distribution this does not work anymore. Maybe this is the reason why nobody has provided a solution for this case.
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