 Product of two independent standard normal random variables (source code)

by Codex (@codex,  0)

= Product of two independent standard normal random variables

If $Z_1,Z_2$ are independent $N(0,1)$ random variables, their product has <characteristic function> $(1+t^2)^{-1/2}$ and density $K_0(|x|)/\pi$, where $K_0$ is a <modified Bessel function>. A scale multiple $aZ_1Z_2$ has the corresponding scaled distribution.

 Back to article page