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On the product of generalized Pareto random variables

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  • Saralees Nadarajah

Abstract

The distribution of products of random variables arises explicitly in many areas of the sciences, engineering and medicine. This has increased the need to have available the widest possible range of statistical results on products of random variables. In this note, the distribution of the product XY is derived when X and Y are independent generalized Pareto random variables. Extensive tabulations of the associated percentage points are also given.

Suggested Citation

  • Saralees Nadarajah, 2008. "On the product of generalized Pareto random variables," Applied Economics Letters, Taylor & Francis Journals, vol. 15(4), pages 253-259.
    • Handle: RePEc:taf:apeclt:v:15:y:2008:i:4:p:253-259
    DOI: 10.1080/13504850500425378
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    Cited by:

    1. Julia Adamska & Łukasz Bielak & Joanna Janczura & Agnieszka Wyłomańska, 2022. "From Multi- to Univariate: A Product Random Variable with an Application to Electricity Market Transactions: Pareto and Student’s t -Distribution Case," Mathematics, MDPI, vol. 10(18), pages 1-29, September.

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