Say you have $k$ i.i.d. normal random variables with some mean $\mu$ and variance $\sigma^2$ and you multiply them all together. What is the density function of the result?
What is the density of the product of $k$ i.i.d. normal random variables?
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0For the general $n$ case this is related to the sum of lognormal variables, which is a known difficult problem. – 2017-10-03
2 Answers
Let $X_k = Z_1 Z_2 \cdots Z_k$, where $Z_i$ are iid normal r.v. with mean $\mu$ and variance $\sigma^2$. The precise density would be hard to come by, but moments are easy to compute: $ \mathbb{E}(X_k^r) = \mathbb{E}(Z_1^r) \mathbb{E}(Z_2^r) \cdots \mathbb{E}(Z_k^r) = \left(m_r(Z)\right)^k $
Here is some simulation in Mathematica:
ProductNormalHistogram[k_Integer?Positive, \[Mu]_, \[Sigma]_] := Block[{x}, Histogram[ RandomVariate[ TransformedDistribution[Array[x, k, 1, Times], Array[x, k] \[Distributed] ProductDistribution[{NormalDistribution[\[Mu], \[Sigma] ], k}]], 10^5], Automatic, "PDF", ImageSize -> 250]]
For the case of $\mu=0$ and $\sigma = 1$, look-up product-normal distribution for some analytic results.
I think this paper would interest you:
The Distribution of Products of Beta, Gamma and Gaussian Random Variables
M. D. Springer and W. E. Thompson
SIAM Journal on Applied Mathematics , Vol. 18, No. 4 (Jun., 1970), pp. 721-737Published by: Society for Industrial and Applied Mathematics
Article Stable URL: http://www.jstor.org/stable/2099424
Hint--Elementary(!)
Prove that:
For continuous random variables $X$ and $Y$ with joint density $f$, the density of $Z=XY$ is given by $f_Z(z)=\int_{-\infty}^\infty \frac 1 {|x|} f\left(x,\frac z x\right) \mathrm{d} x$
Can you generalize this to $k$ of them by induction?
But, for me this looks like a far fetched idea in that, this is more elementary. (I have never had to bother about more than $2$ for computing by hand.)
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0I have edited my answer to add a paper that might interest you. @MariusKempe – 2012-04-19