On the product of correlated normal random variables and the noncentral chi-square difference distribution [PDF]
10 ...
Robert E. Gaunt
openalex +3 more sources
ON THE CUMULATIVE DISTRIBUTION FUNCTION OF THE VARIANCE-GAMMA DISTRIBUTION [PDF]
Bulletin of the Australian Mathematical Society, 2023 We obtain exact formulas for the cumulative distribution function of the variance-gamma distribution, as infinite series involving the modified Bessel function of the second kind and the modified Lommel function of the first kind. From these formulas, we
Robert E. Gaunt
semanticscholar +1 more source
The variance-gamma ratio distribution
Comptes Rendus. Mathématique, 2023 Let $X$ and $Y$ be independent variance-gamma random variables with zero location parameter; then the exact probability density function of the ratio $X/Y$ is derived.
Gaunt, Robert E., Li, Siqi
doaj +1 more source
Hypothesis Testing for the Covariance Matrix in High-Dimensional Transposable Data with Kronecker Product Dependence Structure [PDF]
Statistica sinica, 2014 The matrix-variate normal distribution is a popular model for high-dimensional transposable data because it decomposes the dependence structure of the random matrix into the Kronecker product of two covariance matrices: one for each of the row and column
Anestis Touloumis +2 more
semanticscholar +1 more source
On the distribution-tail behaviour of the product of normal random variables
Journal of Inequalities and Applications, 2023 In this paper we consider the product Π n = ∏ k = 1 n ξ k $\Pi _{n}=\prod_{k=1}^{n}\xi _{k}$ of n independent normally distributed zero mean random variables ξ 1 , … , ξ n $\xi _{1},\dots ,\xi _{n}$ .
R. Leipus +3 more
semanticscholar +1 more source
The effect of noise correlations on randomized benchmarking [PDF]
, 2016 Among the most popular and well studied quantum characterization, verification and validation techniques is randomized benchmarking (RB), an important statistical tool used to characterize the performance of physical logic operations useful in quantum ...
Ball, Harrison +3 more
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On the Product of Two Correlated Complex Gaussian Random Variables
IEEE Signal Processing Letters, 2020 In this letter, we derive the exact joint probability density function (pdf) of the amplitude and phase of the product of two correlated non-zero mean complex Gaussian random variables with arbitrary variances.
Yang Li, Qian He, Rick S. Blum
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Gaussian Bounds for Noise Correlation of Functions [PDF]
, 2008 In this paper we derive tight bounds on the expected value of products of {\em low influence} functions defined on correlated probability spaces. The proofs are based on extending Fourier theory to an arbitrary number of correlated probability spaces, on
A. Bonami +20 more
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Pricing and Hedging Asian Basket Options with Quasi-Monte Carlo Simulations [PDF]
, 2009 In this article we consider the problem of pricing and hedging high-dimensional Asian basket options by Quasi-Monte Carlo simulation. We assume a Black-Scholes market with time-dependent volatilities and show how to compute the deltas by the aid of the ...
A Alfonsi +19 more
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The Discrete Infinite Logistic Normal Distribution [PDF]
, 2012 We present the discrete infinite logistic normal distribution (DILN), a Bayesian nonparametric prior for mixed membership models. DILN is a generalization of the hierarchical Dirichlet process (HDP) that models correlation structure between the weights ...
Blei, David, Paisley, John, Wang, Chong
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