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Math Help - Characteristic Function of Product of Random Variables

  1. #1
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    Question Characteristic Function of Product of Random Variables

    Hi,

    I am trying to calculate the characteristic function of X*Y where both X and Y are standard normal variables with correlation coefficient p. I have succeeded in the case where p = 0 using the law of iterated expectations E{X} = E{E{X|Y}} but have failed in this case.

    Thanks for taking the time.
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  2. #2
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    Quote Originally Posted by freakalien View Post
    Hi,

    I am trying to calculate the characteristic function of X*Y where both X and Y are standard normal variables with correlation coefficient p. I have succeeded in the case where p = 0 using the law of iterated expectations E{X} = E{E{X|Y}} but have failed in this case.

    Thanks for taking the time.
    See here: http://www.mathhelpforum.com/math-he...variables.html
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