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Product of independent real non-negative random variables: If Z = XY , with cumulative distribution functions FZ (z ), FX (x) and FY (y ), then

FZ (z ) = Pr[Z z ] = Pr[X z/Y ] =


0

Pr[X z/y ]fY (y ) dy =

FX (z/y )fY (y ) dy =

FX (z/y )FY (dy ) .

Accordingly, we dene a functional product for cumulative distribution functions, namely, FZ = FX FY (z ) = FX (z/y )FY (dy ) .

The same result concerning the product of non-negative random variables can be expressed by the Mellin convolution of the probability density functions, see Kilicman and Arin (2002), Springer (1979) and Williamson (1989),

fZ (z ) = (fX

fY ) (z ) =

(1/y )fX (z/y )fY (y ) dy .

- M.D.Springer (1979). The Algebra of Random Variables. NY: Wiley. - R.C.Williamson (1989). Probabilistic Arithmetic. Univ. of Queensland. - A.Kilicman, M.R.K.Arin (2002). A Note on the Convolution in the Mellin Sense with Generalized Functions. Bulletin of the Malaysian Mathematical Sciences Society, 25, 93-100.