The probability distribution of the ratio of the absolute values of two normal variables
Pekka Korhonen, Subhash C. Narula · Journal of Statistical Computation and Simulation · 1989
Our objective in this paper is to propose an efficient method to compute the distribution of the ratio of the absolute values of the 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.