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The probability distribution of the ratio of the absolute values of two normal variables. (English) Zbl 0726.62024

Summary: Our objective is to propose an efficient method to compute the distribution of the ratio of the absolute values of two correlated normal random variables. The problem can be solved as a two-dimensional integral where one integral is over an infinite interval. However, by a linear transformation the problem can be reduced to a single integral over a finite interval. The integral can be evaluated by numerical integration. It is easy to program and the program is computationally efficient.

MSC:

65C30 Numerical solutions to stochastic differential and integral equations
65C99 Probabilistic methods, stochastic differential equations
65D30 Numerical integration
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References:

[1] Mardia K.V., Multivariate Analysis (1979)
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