in article [EMAIL PROTECTED], murat
isik at [EMAIL PROTECTED] wrote on 9/10/00 7:23 PM:
>
> Is there any book or aticle explaning how to take the multiplicative of
> two nonlinear random variables without assuming independence?
>
> Murat Isik
>
Not sure what you mean by "nonlinear random variables." And I also don't
know what you mean by "take the multiplicative." But from your subject
heading I assume you want the expected value of the product of two
random variables. If you know (or can derive) the joint density
function f(x,y), then the expected value of their product
is simply the double integral over x and y of x y f(x,y).
this expectation will not be invariant over changes of origins
of either x or y.
a useful paper on moments of products is
Bohrnstedt, G.W., & golberger, A.S. (1969). On the exact
covariance of products of random variables. Journal of the
American Statistical Association, 64, 1439-1442.
gary
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