On the product of correlated normal random variables and the noncentral chi-square difference distribution

Abstract

We represent the product of two correlated normal random variables, and more generally the sum of independent copies of such random variables, as a difference of two independent noncentral chi-square random variables (which we refer to as the noncentral chi-square difference distribution). As a consequence, we obtain, amongst other results, an exact formula for the probability density function of the noncentral chi-square difference distribution, a Stein characterisation of the noncentral chi-square difference distribution, a simple formula for the moments of the sum of independent copies of the product of correlated normal random variables, an exact formula for the probability that such a random variable is negative, and also show that such random variables are self-decomposable and provide a L\'evy-Khintchine representation of the characteristic function.