[R] distribution of the product of two correlated normal

[Peter Ruckdeschel]

Yu, Xuesong schrieb:

> Many thanks to Peter for your quick and detailed response to my question.  
> I tried to run your codes, but seems like "u" is not defined for functions fp and fm. what is u?
> I believe t=X1*X2
> 
> nen0 <- m2+c0*u ## for all u's used in integrate: never positive

no, this is not the problem; u is the local integration variable
in local functions f, fm, fp over which integrate() performs
integration;

it is rather the eps = eps default value passed in functions
f, fm, fp  which causes a "recursive default value reference" - problem;
change it as follows:

###############################################################################
#code by P. Ruckdeschel, peter.ruckdeschel at uni-bayreuth.de, rev. 04-25-06
###############################################################################
#
#pdf of X1X2, X1~N(m1,s1^2), X2~N(m2,s2^2), corr(X1,X2)=rho, evaluated at t
#
#   eps is a very small number to catch errors in division by 0
###############################################################################
#
dnnorm <- function(t, m1, m2, s1, s2, rho,  eps = .Machine$double.eps ^ 0.5){
a <- s1*sqrt(1-rho^2)
b <- s1*rho
c <- s2
### new:
f <- function(u, t = t, m1 = m1, m2 = m2, a0 = a, b0 = b, c0 = c,  eps0 = eps)
     # new (04-25-06): eps0 instead of eps as local variable to f
     {
      nen0 <- m2+c0*u
      #catch a division by 0
      nen <- ifelse(abs(nen0)>eps0, nen0, ifelse(nen0>0, nen0+eps0, nen0-eps0))
      dnorm(u)/a0/nen * dnorm( t/a0/nen -(m1+b0*u)/a0)
     }
-integrate(f, -Inf, -m2/c, t = t, m1 = m1, m2 = m2, a0 = a, b0 = b, c0 = c)$value+
 integrate(f, -m2/c,  Inf, t = t, m1 = m1, m2 = m2, a0 = a, b0 = b, c0 = c)$value
}

###############################################################################
#
#cdf of X1X2, X1~N(m1,s1^2), X2~N(m2,s2^2), corr(X1,X2)=rho, evaluated at t
#
#   eps is a very small number to catch errors in division by 0
###############################################################################
#
pnnorm <- function(t, m1, m2, s1, s2, rho,  eps = .Machine$double.eps ^ 0.5){
a <- s1*sqrt(1-rho^2)
b <- s1*rho
c <- s2
### new:
fp <- function(u, t = t, m1 = m1, m2 = m2, a0 = a, b0 = b, c0 = c,  eps0 = eps)
     # new (04-25-06): eps0 instead of eps as local variable to fp
     {nen0 <- m2+c0*u ## for all u's used in integrate: never negative
      #catch a division by 0
      nen  <- ifelse(nen0>eps0, nen0, nen0+eps0)
      dnorm(u) * pnorm( t/a0/nen- (m1+b0*u)/a0)
     }
### new:
fm <- function(u, t = t, m1 = m1, m2 = m2, a0 = a, b0 = b, c0 = c,  eps0 = eps)
     # new (04-25-06): eps0 instead of eps as local variable to fm
     {nen0 <- m2+c0*u ## for all u's used in integrate: never positive
      #catch a division by 0
      nen  <- ifelse(nen0< (-eps0), nen0, nen0-eps0)
      dnorm(u) * pnorm(-t/a0/nen+ (m1+b0*u)/a0)
     }
integrate(fm, -Inf, -m2/c, t = t, m1 = m1, m2 = m2, a0 = a, b0 = b, c0 = c)$value+
integrate(fp, -m2/c,  Inf, t = t, m1 = m1, m2 = m2, a0 = a, b0 = b, c0 = c)$value
}

##############################################################################
For me this gives, e.g.:

> pnnorm(0.5,m1=2,m2=3,s1=2,s2=1.4,rho=0.8)
[1] 0.1891655
> dnnorm(0.5,m1=2,m2=3,s1=2,s2=1.4,rho=0.8)
[1] 0.07805282


Hth, Peter