Probability

the product of Gaussian¶

• with any hypothesis, the product of Gaussian is not Gaussian, take $Y=X$ as an example
• if $X, Y$ are independent, it is still not Gaussian. Consider
Z = \frac{X^2-Y^2}{2} = \frac{X-Y}{\sqrt 2} \frac{X+Y}{\sqrt 2}

then $Z$ is the product of two independent Gaussian, but the characteristic function of $Z$ is

\begin{align*} \varphi_Z(t) &= E\exp\left(\frac{X^2-Y^2}{2}\right) \\ &= E\exp\left(1-2i\frac t2\right)^{-1/2}\exp\left(1-2i\frac{-t}{2}\right)^{-1/2} \\ &= (1-it)^{-1/2}(1+it)^{-1/2}=(1+t^2)^{-1/2}\,. \end{align*}

functions of independent random variables¶

it is trivial with sigma algebra.

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