> Hello,
> I am facing problem in finding the pdf of Z= AB+CD,
> where A, B, C, D are independent normal random variables with zero
> mean and uneqaul variances.
> I could bale to find out the pdf's of each term (i.e. AB or CD). It is
> a well known result that AB has a pdf of modified Bessel function of
> the second kind.
> If we add two random variables having the pdf of " modified Bessel
> function of the second kind.", assuming both are independent, I am
> unable to get the final expression . Since it involves the convolution
> of two " modified Bessel function of the second kind.".
> Is there any standard expression for finding the pdf of
> z= AB+CD?
> Best Regards,
> -SaiRamesh.
I think you can numerically obtain the pdf of z (by plotting in matlab)
but I do not think any analytical result can be obtained by convolving
2 Bessel functions
Reply by sair...@gmail.com●August 24, 20062006-08-24
Hello,
I am facing problem in finding the pdf of Z= AB+CD,
where A, B, C, D are independent normal random variables with zero
mean and uneqaul variances.
I could bale to find out the pdf's of each term (i.e. AB or CD). It is
a well known result that AB has a pdf of modified Bessel function of
the second kind.
If we add two random variables having the pdf of " modified Bessel
function of the second kind.", assuming both are independent, I am
unable to get the final expression . Since it involves the convolution
of two " modified Bessel function of the second kind.".
Is there any standard expression for finding the pdf of
z= AB+CD?
Best Regards,
-SaiRamesh.