Robert E. Gaunt, Siqi Li, Heather Sutcliffe
Published 2025-01-15Version 1
In this paper, we derive the exact probability density function of the product of $N$ independent variance-gamma random variables with zero location parameter. We then apply this formula to derive formulas for the cumulative distribution function and the characteristic function, as well as asymptotic approximations for the probability density function, tail probabilities and the quantile function. As special cases, we obtain some key distributional properties for the product of $N$ independent asymmetric Laplace random variables and mixed products of independent Laplace and zero mean normal random variables.
Comments: 22 pages. arXiv admin note: text overlap with arXiv:2401.17446
On the moments of the variance-gamma distribution
The distribution of the product of independent variance-gamma random variables
On the cumulative distribution function of the variance-gamma distribution
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