The Distribution of Products of Beta, Gamma and Gaussian Random Variables

Author(s): M. D. Springer and W. E. Thompson

Source: SIAM Journal on Applied Mathematics, Vol. 18, No. 4 (Jun., 1970), pp. 721-737
Published by: Society for Industrial and Applied Mathematics
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SIAM J. APPL. MATH.

Vol. 18, No. 4, June 1970

THE DISTRIBUTION OF PRODUCTS OF BETA, GAMMA

AND GAUSSIAN RANDOM VARIABLES*
M. D. SPRINGERt

W.

AND

E. THOMPSONM

1. Summary.The probabilitydensityfunctionsof productsof independent

beta, gamma and centralGaussian random variables are shown to be Meijer
G-functions.
The densityfunctionof products of random beta variables is a
Meijer G-function
whichis expressiblein closed formwhen the parametersare
integers.Recursion formulasare developed for the evaluation of the Meijer
G-functions
representing
productsof random gamma variablesand productsof
randomGaussian variablesN(O,ai). These resultsincludeearlierresultsobtained
by Springerand Thompson[1], [2] and Lomnicki[3], [4] as specialcases.
2. Introduction.Unlike the distributionof sums of independentrandom
variables,the distributionof productsof more than two has receivedrelatively
littleattention.In a previouspaper [1], theauthorshave developedfundamental
methodsforthederivationofthedistribution
ofproductsofindependentrandom
in explicitformforproducts
variables,whichwereused to obtaindensityfunctions
of Cauchy and centralGaussian variablesin [1], and some special cases of beta
variables in [1]. These methods are employed here to analyze products and
quotientsof beta and gamma variables.A recursionformulais also derived
whichis particularly
convenientforuse withelectroniccomputersin theevaluation of the Meijer G-functions
representing
the densityfunctionsof productsof
independentgammaand Gaussian randomvariables.
In this paper the densityfunctionsof products of independentrandom
variablesare obtaineddirectlythroughthe use of the Mellin integraltransform.
The Mellin integraltransform
off(x), definedonlyforx > 0, is

(1)

M{f(x)Js}= E[xs1]

xslf(x)dx.

Under suitablerestrictions
[5, pp. 46-47], satisfiedby all densityfunctionsconsideredin thispaper,thereis an inverseformula

(2)

I
f(x) = -

c+i-

x SM{f(x)ls} ds

forwhichtheidentityrelation

(3)

1 ~c+iX

f(x)z= 2ti

X-S

yss-lf(y)dy}ds

The path of integrationis any line parallel to the

is valid almost everywhere.
of M{f(x)Is}. The Mellin
imaginaryaxis and lyingwithinthe stripof analyticity
integraltransformof the densityfunctiong(z) of the product Z = X1X2 ... XN
* Receivedby theeditorsNovember26, 1968,and in revisedformSeptember8, 1969.
t Departmentof IndustrialEngineering,Universityof Arkansas,Fayetteville,Arkansas72701.
t General ResearchCorporation,Santa Barbara,California93105.
721

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AND W. E. THOMPSON

M. D. SPRINGER

722

ofN independentrandomvariablesxi withdensityfunctions

fi(xi)is [1]
N

M{g(z)ls} =

(4)

M{fi(xi)s},

g(z) is
and thedensityfunction
1

rc+iX

-Jc- i. z
g(z) = 2Z1

(5)

H M{fi(xi)Is}ds.
i= l

It is convenientto introducethe followingnotationin connectionwiththe

Euler psi function[6, p. 258], the Riemannzeta function[6, p. 807], and Euler's
constant,respectively:
i(w+ a) =

(6)

ln F(w + a),
dw

(a + 7.)-3

(7)

C(l, a) =

(8)

C = #() = M I 1).

= o

to whichreferencewill be made later,is definedby the

The Meijer G-function,
contourintegral:

m
(9)

mnz a2

Gpq

bl

ap\

'

1
27mi

zZS

s =

j=n+

'

l7(s?+ai)

j=m+

ds,

17(I- bj -s)

wherec is a real constantdefininga Bromwichpath separatingthe poles of

F(s + bj) fromthose of F(I - ak - s) and where the emptyproduct Hr -I is
and examples
definedto be unity.A more detaileddiscussionof the G-function
are givenin [7, pp. 374-379].
gammavariables.Given N independentgamma
3. The productofindependent
variablesxi havingdensityfunctions
(10)

fi(xi)= r x>i,exp(-xi),
17(bi)

bi >

> <c,
0, -<xi

thefollowingtheoremcan be proved.
g(z) oftheproductz = X1X2 ... XN
THEOREM1. Theprobability
densityfunction
bya normalizing
multiplied
gammavariablesis a MeijerG-function
ofN independent
constantK, i.e.,
( 1)

g(z) = KGN(zlbl -1, b2 -1,

, bN - 1),

where
1

K iI=1

F(bi)

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BETA, GAMMA AND GAUSSIAN

RANDOM

VARIABLES

723

Proof.Since [7,Formula(1), p. 312] theMellinintegraltransform

ofexp (- x)
is F(s) and
M{xbf(x)ls} = M{f(x)ls + b},

(12)

it followsthat the densityfunctionof the gamma variable (10) has the Mellin
transform
M{fi(Xi)jS} = F(s + bi - 1)

(13)

F(b1)

of the probabilitydensityfunctiong(z) ofthe

Then the Mellin integraltransform
productofN independentrandomgamma variablesis
N F(s ?
bi - 1)
(14)
H
M{g(z)Is}
17(b1)

i=i

and
(15)

H
i0o
2zecii
z-s~ l

g(z)

ds,

F(b,)
(1

whichis the Meijer G-function

(16)

GN(zjb1 - 1,b2 -1,,

bN - 1),

Rez >,

multipliedby theconstant

(17)

1/

H F(b).

The Meijer G-function

(18)

G(zIbI,

,bN)

will now be expressedin a formwhich allows a directnumericalevaluation.

To represent(18) in such a formit will be assumed in thisapplication,without
that the bi are real with bN > bN-l >? .. > bI > -1. Each
loss of generality,
bi can thenbe writtenin a unique way as
bi =

(19)

dk + Pik,

where0 > dk > -1 and Pik is a nonnegativeinteger.The constantsd1, d2,

,d,
values among the b1, b2, - , bN
are distinctand n is the numberof different
whichdo notdiffer
by an integer.Finallyit is seen thattherecan be foundunique
.
N such that
rlk
rPk, nk; Pk > 0; Z;k-1
integersrOk,
mk

(20)

H F(s ?
i=I

bi)

H (s +

= 1
~~k

dk)rOk(S

dk +

I)rlk ... (S

dk + p )rpk)Fk(S

+ dk),

wherehereand in thefollowingrpk denotesrPkkand thusavoids writingthedouble

subscriptwhich is implied.That this ratherelaborate notationalmachineryis
trulyconvenientin accountingforthe poles of the integrandfunctionin (9) will
be seen presently.

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724

M. D. SPRINGER AND W. E. THOMPSON

THEOREM 2. The Meijer G-function

G"(zlb -1, b2 - 1,
bN> bN > ... > b1 > 0 has a representation
real parameters

(21)

Zco Zn R k(z-dk-j),

bN- 1)

GN(zjbj -1,

1) with

Rez > 0,

k=lI

j=O

wheretheRjk(z, -dk - j) are obtainedas explicitfunctions

ofz whichcan be evaluated by numericalmethods.
Proof. Upon substituting
(20) in the definition(9) the integralrepresentation of GO(ZIb1 - 1, * * , bN - 1) is
1,

GON(zjb-

1)

bN -

(22)

rH(sl

? dk)

pk

H (s +
t=O

dk + t) tkds,

wherec > 1 is arbitrary

and dk,-1 < dk < 0, along withtheintegersmk, Pk, rpk
are defineduniquelyby (19) and (20). Since theconditionsofJordan'slemmaare
satisfied,
one obtains,by applyingtheresiduetheorem[8] to (22),
oo) n

(23) Go(zlbl - 1,

bN

1)

j=O k= 1

Rjk(Z,

-dk

Rez > 0.

-j),

The relation
Rjk(Z, s) = (Mk

(24)-Tj

dMkl

1)! ds

mk-l

U()(s, k),

where
(25)

U(?)(s,k) = (s +

dk +

j)mk

Pa

FTJma(s +

a=

da) H

(s

+ da +

}=O

t)rta

definesthe residue at s
-dk -j, k
1,2, , n,j = 0, 1,2, , whichforj
sufficiently
largeis a pole oftheintegrandfunctionoforderik. UtilizingLeibniz's
ruleforthedifferentiation
ofa product,one can expresstheresidue(24) in theform

(26)

RJk(z,s)

1)!

in k-

I~ Mk

(k

)/Inj
IPIl

U(mk 1 `)(s,

k).

of GNo(z) it is necessaryto produce an explicit

To completethe representation
algorithmforcomputingthe successivederivatives

(27)

U(q)(S

,k) =

dq

U?(s,k),

k = I, 2,

,n, q = O,1,2,

To derivesuch an algorithm,note that(25) can be writtenin the form

U 0)(s,k)=
(28)

dF(s
n

H
a= I
a:*k

dk

Fma(s + da)

?j -)

{H (s +
t= O

MfkPk

k?trtk
+ t)
(s ?+ dk

da + t)rta}

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BETA, GAMMA AND GAUSSIAN

RANDOM

725

VARIABLES

If one now evaluates d In Ul0l/ds,recallingthat /(s + a) = d In F(s + a)/ds,it

followsthat
U(?)(s,k)V0)(s, k),

U( )(s, k)

(29)
where

V(0)(s,k)
(30)

a= I
aiAk

rS(

t O s ? dk ? t

Z
Pk

dk ? t)'

Pa

E rta(s +

da) +

ma(S?+

j1

? 1) -Mk

mkV(s+ dk +

a= I t=O

da +

t)

Applicationof Leibniz's ruleto (29) gives

U(q+l)(s, k) =

(31)

q~

m=O w

Uq
U-m)((s,

k),
k)V(m)(s,

q = 0, 1,2,

whichrelationprovidesthe algorithmforcomputingthe successivederivatives

of U(?)(s,k), sincethe V(m)(s,
k) can be obtaineddirectlyfrom(30) as
V(m)(s,
k) = mkV(m)(s+ dk +j

1) + (-I)m+l(m

Pk

+ E (-1)mm!(s + dk +

(32)

t=O
n

t)-(m+l)

+ 1)!(s + dk +
n
E maO(m)(s +

t)Wm-

da)

a=l

Pa

+ E E (-l)mm!(s + da
a= It =O0

+ t)-(m+l)

The Euler psi function/ and its derivatives //(m)

as requiredin (32) are easily
evaluated to any desireddegreeof accuracyforreal values of the argumentby
usingavailable tablesand/orconvenientrecurrencerelations,specifically,
(1) =-

Euler's constant,

O(X + 1) =((k)(X)

C,

+ O(x),
(-1)k+

z=(1)k+

x > O,

lk!(k + 1,x)
lk! E

a=o(x

1
)k+
? a)+

as obtained
Substitutioninto (31) of U(?)(s,k)ls=- (dk+1 and V(m)(sk)Is=-(dk+j)
permitstheevaluationoftheresiduesRjk(z, -dk - j)
from(28) and (32) respectively,
in(26),k = 1,2, , n,j = 0, 1,2, . Summing
(23).
Rjk overj andk thenyields
, bN - 1) has a representation
(23) which
To summarize,G'o(zlbl - 1,
can be evaluatedusing(24), (26), (28), (29), (30) and therecurrencerelation(31).
The process is well adapted foran electroniccomputerbut is tedious forhand
computationifseveraltermsin the expansion(23) are required.
The followingcorollaryand Theorem3 relateto priorresultsof Lomnicki
[3].
.

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M. D. SPRINGER

726

AND W. E. THOMPSON

COROLLARY. The probability

densityfunctionof theproductz = x1X2 ... XN
distributed
of N identically
independent
gammavariablesis theMeijer G-function

GNo(zlb - 1).

g(z) =N(b)

(33)

The corollaryfollowsimmediatelyfrom(16) by settingb, = b2

bN

= b.

3. The Meijer G-function

GNo(zjb - 1) withinteger
parameterb has
therepresentation
THEOREM

GNo(zjb - 1) =

N-1

k-i

j=h-I

k=O

m=O

(34)

(In

)k-m

(N
where

__(
u()S)

=j

Z)N IkNz{C(k

dSk

E (

m, 1)

i=o0(j _ i)k -mj

U(M)(S)

k)!m!(k- 1 -m)!

s= -j

F(s?+b -1? j)N

(s + b-I1)(s

(s + b -2 + j)) {5=

+ b)

and can be expressedrecursively

as

A k-i

U(k)(s)

1)!

(k -

1)k

{C(k - m,1)-

j)

j = b -I,

tiU(m)(S)

b -2,

Proof. From (14), the Mellin transformof the densityfunctiong(z) of the

productof N identicallydistributedrandom gamma variables with parameter
b

1 is

M{g(z)ls}

FN(b)(5

+ b - 1),

whilefrom(15) and the corollaryto Theorem2,

1

GNO(zb - 1) =

(36)

c+iV

z sFN(S + b

1)ds.

Since the conditionsof Jordan'slemma hold, an expansion of (36) by residues

yields
(37)

GNO(z)

=
j=h-

R(z, N,j),

where
(38)

R(z, N,j)

1N

d N-

{I(S + j)Nz-sFN(s

b - 1)}

= b -1,b

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-2

BETA, GAMMA AND GAUSSIAN

RANDOM

727

VARIABLES

The problemthenis to evaluate the residueR(z, N,j) whichis simplifiedby the

applicationof Leibniz's rule fordifferentiation
of products:

R(z,N,(j) =

(39)

(N

lnz)
1

dk
k)!k! dsk

jNNS

[(s + b -1+jr

+ b-1)|

s= -j

The problemis now reducedto thatof obtaininga recursiveformulafor

dk

?[(s+ b - 1 +j)F(s + b - 1)]N.

To simplify
the analysis,note that
+j)F(s + b-1)=(

(40) (s +b-1

(s ? b

F(s+?b?) +
1)(s ? b) ... (s ? b - 2?1 )

and let

L(s

U(s)

+ b + J)

b -)

(s

(s ? b)

+j

?1)

Then
(41)

F(s+ b + j)-

In U(s) =N[ln

E In (s + b-?I

+ i).

and differentiation
of (41) gives
(42)

U(t'(s) = NU(s)I5(s + b + j) -

1?

of productsto (42) yieldstherecursive

ApplyingLeibniz's rulefordifferentiation
relationshipforthe kthderivativein termsof the precedingk - 1:
U(k)(s)

S=-j

m _IO

-(k

)km-

(k - 1)!
- 1 -m)

m!(k

m,1) -

(j

j)k-rj

U(m)(s)

whereU(0)(s)denotesU(s). Substitutionof thisexpressionforU(k)(S) into(39) and

of GNo(zIb - 1)
(37) yields(34), whichestablishesthetheorem.The representation

as givenby Theorem3 is particularly

convenient
foradaptationto electronic
in a different
Lomnicki[3] has expressedtherepresentation
form
computers.
reducible
to thatof(37)butlessconduciveto computer
evaluationsinceit does
in termsof U(j)(s),j = 0, 1,2, . , n - 1. Thiscould
notexpressU(n)(s)explicitly
havebeendone by differentiating
G'(s) by Leibniz'srule,wherein Lomnicki's
notation
G'(s) A(s)G(s),
A(s)and G(s)beingdefined
by(10)and (11)of[3].

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M. D. SPRINGER AND W. E. THOMPSON

728

THEOREM
4. The quotientof twoindependent
randomgammavariables(10) is
a beta variableof thesecondkindhavingas density
functiontheMeijer G-function
G?(Zl
b27) multiplied
by theconstant(F(b1) F(bj<'.
Proof. Let h(z) denotethe probabilitydensityfunctionof thequotient
Z

Xl/X2

oftwo gammarandomvariablesx1 and x2 withprobabilitydensityfunction(10).

It is well knownthatthe Mellin transform
off1(xi),i = 1,2, is
F(b. + s)
F(b~)

M{f(x )Is}

and thattheprobabilitydensityfunctiongi(1/xi)of therandomvariable1/xihas

the Mellin transform
M(gi(1/xi)ls)= M(fi(xi)l-s + 2).
Now z

= x 1x2, so

(44)

that
M(h(z)lFs)-(s

+ b1 - 1)F(b2 + 1 - s)

1V1~ri~)I~)=F(b1)F(b2)

But thisis preciselythe Mellin transform

of
zbl

B(b1,b2)(1 +

Z)b +b2'

the probabilitydensityfunctionof a beta variable of the second kind. Since a

probabilitydensityfunctionis uniquelydeterminedby its Mellin transform,
it
followsthattheprobabilitydensityfunctionofthequotientoftwogammarandom
variablesis identicalwiththatofa beta variableofthesecondkind.Furthermore,
the Mellin inversionintegralcorrespondingto the Mellin transform(44) and
yieldingh(z) is

2iri

C?ioz-sF(s + b1 - 1) F(b2 + 1
17(b1)F1(b2)

S)

G(Z

b2

F(b 1) F(b 2)OO(Zbl

whichin conjunctionwiththe precedingstatementestablishesTheorem4.

COROLLARY.The probability
density
functionofa beta variableof thesecond
kindis a Meijer G-function
a
constant.
multiplied
by normalizing
4. The productof independentGaussian variables. It will now be shown
that the probabilitydensityfunctionof the product of independentGaussian
in seriesformwill
randomvariablesis a Meijer G-function,
whoserepresentation
also be derived.
THEOREM
5. The probability
density
functionoftheproductz = H= 1 Xi ofN
independentGaussian random variables N(O, ai), i = 1, 2,

constantH, i.e.,
functionmultiplied
by a normalizing
N

(45)

g(z) = HGNO(zi I 2

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N, is a Meijer G-

729

VARIABLES

RANDOM

BETA, GAMMA AND GAUSSIAN

where

Proof. Since the Mellin transform

ofg(z) is
=

MI{g(z)s}

1)/2(

(i)N2N(s-

Lr()1
S]

o<i)

thedensityfunction
g(z) is obtainedby evaluatingtheinversionintegral
1 C+Vx

(46)

2>J__z sM{g(z)ls} ds

along a lineparallelto theimaginaryaxis and lyingto therightoftheorigin[1].

If one makes the substitution
N

2L
Ho

W= Z

in (46), he obtainsthe equivalentdensityfunction

g(z)dz = h(w)dw,
where

47)h(w

j=

1/12
S

ds.

But by thedefinition
(9) ofthe Meijer G-function
it followsthat
j2mi _
h(w) = HGONN(wIO)

Then the result(45) followsdirectlyfrom(46).

THEOREM 6. The Meijer G-function
GNo(wIO)has therepresentation
00

G NO(WI0) =ER(w,
jOO

N, j),

where
R(w,N,j) = Wj

k=O

(N

1-

u (s)

k)!k!u(()

and U(k)(s)is obtainedfromthelowerderivatives

by therecursion
formula
U(k)(s)=

k-i

N E (-1))k

m(k

,'-(k

1)

j-1

- m,1) - E

u(m)

Proof. From (9) and (47), the Meijer G-function

to be evaluatedis
(48)

GO(WIO) =

27i c- i

wsF

(s)

ds.

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730

M. D. SPRINGER AND W. E. THOMPSON

Since the conditionsof Jordan's lemma are met, it followsfromthe residue

theoremthat
2J

(49)

o0

1(c

wsFN(s) ds = Ji R(w,N, j),

where
1

dNl-

j = 0, 1, 2,
(50) R(w,N, j) = (N - )! dSN I {(s + j)NW sFN(s + j)} |
The problemis to evaluatethederivativesin (50) at theNth orderpoles occurring
byapplyat negativeintegralvaluesofs. The evaluationis considerablysimplified
of products,whichgives
ing Leibniz's rule forthe differentiation
dN-1I

(51)

dsNi

{(S +

j)NW -sF(N)(S +

j)} |
N-i I

k4=O

N-I-k

Inw)

dk

(N - 1 - k)!k!ds

?i

Ns=

To simplify
the notation,let
?)F(s)]N,
U(s) = [(s +
dk

U(k)(S)= dUkU(S),

k > 1,

U( )(s) = U(s).

To further
expeditetheanalysis,note that U(s) can be writtenin the form
(52)

U(s) =

Ls(ss+
+

2)(s

1)]

fromwhich
N{ln F(s

In U(s)

(53)

+ j+ 1)-

In (s +

i)}

Differentiation
of (53) leads immediatelyto the result
j
+i
(54)
UU("(s) = NU(s){(s + j + 1) Applicationof Leibniz's ruleto (54) yieldsthe recursionformula
U(k)(S)
(55)

s=-j

)k (
)
Z-I(
m!(k - 1 -m)!

=N

m=O

m,1)

?-

Ik-m}

(S)

j = 0, 1,2,

whichwhenused in conjunctionwith(54), (52), (51), (50), (49) and (48) establishes

Theorem6.

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BETA, GAMMA AND GAUSSIAN

731

VARIABLES

RANDOM

beta variables.The theoremsof this section

5. The productof independent
establishthe factthat the densityfunctionof the productof independentbeta
of whichis derivedin series
variablesis a Meijer G-function,
the representation
form.For the special case of identicallydistributedbeta variables,the result
reducesto thatgivenby Lomnicki[4].
THEOREM 7. The probability
densityfunctionof the productz =H xi of N
independent
beta randomvariablesis a Meijer G-function
multiplied
bya normalizingconstantK, i.e.,
g(z) = KGN(zO a + bI -1,
aO1a ,
aN

aN + bN -

where
F(ai + bi)

K=H

i= IF(a1)

Proof.Consider N independentbeta random variables xi with integral

parametersai, bi, namely,

xr'(1
fi(xi)= B
B(ai,bi)

(56)

i = 1,2,

-x)il,

N.

of (56) is (see [7, Formula (31), p. 311])

Since the Mellin transform
M{J7( )l }

(57)

(57)

r(ai + b;)
17F(ai)

M~1jJjxjJjf

(ai -1 + s)
+ bi -1?

F7(a

s)'

thedensityfunction
g(z) is obtainedby evaluatingthe Mellininversionintegral
g(z)

-Z

(c+i

M{f1(xi)ls} ds.
H
=

2mriJ___

It followsimmediatelyfrom(57) and thedefinitionof the Meijer G-function

that
(58)

g(Z)=KGNO(Za
NO
g(z)

~a,

bI-

a2

1,
-

aN + bN -

,j
,

,aN-

where
N

F(a' + bh)

i= IF(a1)

This establishesTheorem7.
THEOREM 8. The Meijer G-function
GNOZ

|a,

a,

b,

1,a2

1,

-1,

,aN

I,

bN

I)

baN-I

withintegralparametershas theclosedformrepresentation
a,
(59) GNO(z=al?b
-

b,

- 1,
\N
aN
-1j,aN+In=Zkez(-nz)

Kjdk

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Ilek

M. D. SPRINGER AND W. E. THOMPSON

732

wheredkdenotesthemdifferent
integerswhichoccurwithmultiplicity
ekamongthe
1,ai - 2,
, ai + bi -2 for i = 1,2,
, N.
Proof.Consider N beta variablesof the firstkind withintegralparameters
ai, bi withp.d.f.(56). Let g(z) denote the p.d.f.of z Hi=1
x, Since the Mellin
of(56) is
integraltransform
ai-

B(s + a,

M(f1(x)Is)
M(fi(x
s) =

F(a + bi)

1,bi)

B(ai, bi)

F(ai)

F(s + ai-1)
F(s + ai -1 + bi)'

it followsthat
N

JF(a+ bi)
J;(a1) (s + ai

i=(
and
(61)

1 C+ i,

21{

g(z)

1)(s + ai) ... (s +

a, -

2+

bi)

z-SM{g(z)is} ds.

The problemlies in evaluating(61) in closed form.To simplify

theevaluationone
introducenew parametersdk, ek in (60) and write
can, withoutloss of generality,
N

(62)
(=

m(g(z)Is)

H
H

(a + bi -1)!
- (ai - 1)! (s + d1 - 1)el(s+ d2 - 1)C2 .(s + dme

wheredk # dj, k j and wherethereoccurmdistinctintegers

din
d1 < d2 < ...<
of multiplicity
e1, e2, - , em,respectively,
among the ai - 1,ai, -.. , ai + bi - 2
fori = 1,2,
, N. If M(g(z)ls) as givenby (62) is now substitutedinto (61), the
resultantinversionintegralmay be evaluated by the methodsof residues,since
theconditionsofJordan'slemmaare satisfied.Specifically,
1 C+io
/N (a. +
z-sds
bi - 1)!\
.

(i=1' (as - 1)I

N

27riJix(s

1)

(a.+ bi- 1)!

(H1(ai

+ d, -

...e

(S +

=k

dek- IM

-Sek
(ek- 1)! d5e I(s

1)e

whereRk is theresidueat thekthpole oforderek, k = 1,2,

(63)

dm-

dk -

)ekZ

SH (s+dq q=

I)-eq

m,namely
s= -(dk-

1)

of products,
one can write(63) in
UsingLeibniz'sruleforthedifferentiation
theform

(64)

Rk

ZS

ek-l
(-I nZ)ekJ
Zs WE
j=o (ek- 1 - =j)!j!
T

(s
1

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BETA, GAMMA AND GAUSSIAN

RANDOM

733

VARIABLES

where
m

H (s +

W(s) =

q= 1

dq-

I)-eq.

Differentiation
of In W(s) yields
W(')(s) = -W(s)

q=1 I

eq
dq -

of productsmay be applied to obtain

to whichLeibniz's rule fordifferentiation
(dk- 1)
W(j)(S)- s
Kkj, where
(65)

Kkj =

(-

r=O q1

\r(dq -

q k

)r+

dk)rl

and whereW(j)(s)denotesthejth derivativeof W(s). Thus,

Na?b

g(z) =

(66)

i=I

-1!m
-

1!

ek- 1 KkZdk
k= I

-'(-In

j=O

Z)ek

l-

1-

(ek -

wherethecoefficients
Kkj are givenby (65). From (66) and (58), it followsthat
a + b -

1, *,aN+

,a2-1,

a,-

ek

bN k=I

,aN-i

j=O

COROLLARY. The p.df. of theproductz = iN xi of N independent

identically
distributed
beta randomvariableswiththe probabilitydensityfunction(56) and
integerparameters
a, b has theclosedformrepresentation

(68

(68)

g(z)

(a + b (a(a

I
1)!\ N
N E

N Za+k-12(
Kk
k=~1 j=O

N-I-j

-Ik(~n

Z)Ni

where

qK

= I

rZO

q k

(S + a +

2)r +

W(s)

s=

ak2

Proof.Since all the poles are of orderN and ai = a, bi = b,i =1,2,

...

N,

the result follows directlyfrom Theorem 8 by puttingm = b + 1, ek = N,

k = 1,2, , m;dq= a + q-2,q = 1,2,
, m.

6. Mixed productsof independent

beta and gammavariables.The finalresult
establishedin thispaper concernsthe productof M beta variablesand N - M
gammavariables,and is statedin thefollowingtheorem.
THEOREM 9. The probability
density
function
g(z) oftheproduct
Z = X1X2

XMYM+ 1YM+2

YN

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734

M. D. SPRINGER AND W. E. THOMPSON

gamma variablesis a
beta variablesand N - M independent
of M independent
bya normalizing
constantK, i.e.,
multiplied
Meijer G-function
g(z) = KGN(

aal + bl
a

1,a2 + b2

1, a2

1,**, am -

, aM + bM-1

1,

1,v .

c,CM+,

11'

CN

where
(69)

K=

H(a.?bj)N

Proof. Let yi denote the gamma random variable withprobabilitydensity

function
I

i = l1,2, *,-M.
F(ci)
itfollowsfrom(13) and (57) that
Then,sincetherandomvariablesare independent,
yci- exp(- yi),

fi(yi) =r

Mfg7)s
M{(z)l

s}

(ai

Hi
i-l I

-I--

+-b)

7(a,)

- I1? s)
H71F(ai

~MJ(a~+b,)N
m F
jM+

M=

F(cj

171F(s +cj

i=M+l
jM

-1

--

11F(ai + bi-1

+ s)

g(z) is thengivenby theinversionintegral

The densityfunction
g( )

whichis precisely
GNOla,
N

ba - 1,a2+,
? b - 1,a2 +b
-

2 -l,
-

1,

,Mm+bm

,*a-, +b

multipliedby a constant.That is,

gz) KGaNO

+ b, -

al I

a2

, aM + bM 1,a2 + b2 -1,.a4 - 1,m+

,
am,

CN -

whereK is givenby (69).

7. Examples. In this section, two examples are given, consistingof the
probabilitydensityfunctionsof products of three independentbeta random
variablesand six independentGaussian random variables.Both the graph and
theanalyticalformofthedensityfunctionare given.
Example 1. Productof beta randomvariables.Figure 1 consistsof a graph
of the probabilitydensity functiong(z) of the product z = x1x2x3, where
xi, i = 1,2, 3, are independentbeta random variableswhose probabilitydensity
are
functions
f(xi)

a,1=9,

x9(

B(a,b =)

b = 3;

a2

=8,

-xi)hi
b2

=3;

a3

=4,

< xi <
b3

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1, i = 1, 2, 3,
=2.

BETA, GAMMA AND GAUSSIAN

RANDOM

735

VARIABLES

0.1

0.2

0.4

0.3

0.5

0.6

0.7

0.8

0.9

z
FIG.

1. Probabilitydensityfunction
ofproductof 3 beta randomvariables

The densityand distribution

functionsare,respectively,

3960
O4+9,0Z
+ 99,000z7
g(z) - 7Z 3_ 1980z4
-

+ (374,220+ 356,400Inz)z8
-

(443,520- 237,600Inz)z9 - 198000zo

and
G(z)

990 4
7
7

Z
396zS
+ 12,375z8

+ (37,180+ 39,600Inz)z9
-(46,728

23,760Inz)z0_

18,000 1l
7

Example2. Productof Gaussianrandomvariables.The densityfunctiong(z)

of the productz =
x.Xi of six identicallydistributedindependentGaussian
randomvariables
f(xi)

exp

-c

< xi <

, i =1 ,2,3, 4, 5, 6,

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1.0

736

M. D. SPRINGER AND W. E. THOMPSON

was tabulated in a previouspaper [1] and is presentedgraphicallyin Fig. 2.

The densityfunctionis
h(z)

E Rj,

j=o

where
1
~d(

ziE

z)
z

--1-tk!(-In

k =O0(5

k)!kK

k
dS((S
dk\(

JF(s?+j +1)

+ I)
+S1)

(s +j
+ J-l)I

j = 0,1,2,
1.
The numberof residuesRj whichmustbe evaluateddependsupon the required
An excellentindicationof theaccuracyattained
accuracyof thedensityfunction.

-0.5

-0.4

'I

-0.3

"

-0.2

-0.1

0.1

0.2

0.3

0.4

0.5

z
FIG. 2. Probability
ofproductof6 Gaussianrandomvariables
densityfunction

in the derivedprobabilitydensityfunctioncan be obtained by computingthe

firstand second absolutemomentsE[Jzj]and E[z2] sinceit is knownthat
N

E[Jzlm]
=H7JE[jxjjm],

i10,

1, 2,

The firstand second absolutemomentsoftheprobabilitydensityfunctionshown

graphicallyin Fig. 2 are correctto fivedecimalplaces.

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BETA, GAMMA AND GAUSSIAN

RANDOM

VARIABLES

737

REFERENCES
[1] M. D.

SPRINGER AND W. E. THOMPSON, Thedistribution

ofproducts
ofindependent
randomvariables,
thisJournal,14 (1966), pp. 511-526.
, Bayesian confidencelimitsfor theproductsof N binomialparameters,Biometrika,53
[2]
(1966), pp. 611-613.
ofproductsof randomvariables,J. Roy. Statist.Soc. Ser. B,
[3] Z. A. LOMNICKI, On thedistribution
29 (1967),pp. 513-524.
of productsof independent
[4]
, On thedistribution
beta variables,Tech. Rep. 50, Laboratory
of StatisticalResearch, Departmentof Mathematics,Universityof Washington,Seattle,
1967.
to theTheoryof FourierIntegrals,OxfordUniversityPress,1937.
[5] E. C. TITCHMARSH, Introduction
Functions,
Applied Mathematics Series 55, National Bureau of
[6] Handbookof Mathematical
Standards,Washington,D.C., 1964.
vol. 1, McGraw-Hill,New York, 1954.
[7] H. BATEMAN, Tables of IntegralTransforms,
[8] E. T. WHITTAKER AND G. N. WATSON, A CourseofModernAnalysis,CambridgeUniversity
Press,
Cambridge,1940.

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