The distribution of the ratio of products of independent zero mean normal random variables

Abstract

Let X1,…,XM and Y1,…,YN be independent zero mean normal random variables with variances σXi2, i=1,…,M, and σYj2, j=1,…,N, respectively, and let X=X1·s XM and Y=Y1·s YN. In this paper, we derive the exact probability density function of the ratio X/Y. We apply this formula to derive exact formulas for the cumulative distribution function and the characteristic function. We also obtain further distributional properties, including asymptotic approximations for the probability density function, tail probabilities and the quantile function.

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