What is the distribution of a random variable that is the product of the two normal random variables ?
Let $X\sim N(\mu_1,\sigma_1), Y\sim N(\mu_2,\sigma_2)$
and $Z=XY$
That is, what is its probability density function, its expected value, and its variance ?
I'm kind of stuck and I can't find a satisfying answer on the web.
If anybody knows the answer, or a reference or link, I would be really thankful…
Best Answer
I will assume $X$ and $Y$ are independent. By scaling, we may assume for simplicity that $\sigma_1 = \sigma_2 = 1$. You might then note that $XY = (X+Y)^2/4 - (X-Y)^2/4$ where $X+Y$ and $X-Y$ are independent normal random variables; $(X+Y)^2/2$ and $(X-Y)^2/2$ have noncentral chi-squared distributions with $1$ degree of freedom. If $f_1$ and $f_2$ are the densities for those, the PDF for $XY$ is $$ f_{XY}(z) = 2 \int_0^\infty f_1(t) f_2(2z+t)\ dt$$