On the Sums of Compound Negative Binomial and Gamma Random Variables

DOI10.1239/JAP/1238592129MaRDI QIDQ3621160zbMATH OpenOpenAlexFDO

Authors N. S. Upadhye, P. Vellaisamy

Publication date 14 April 2009

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1238592129

zbMATH Keywords

compound negative binomial distributioncompound Poisson distributionconvolutionPoisson processrandom parameter representationsums of gamma random variables

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Exact distribution theory in statistics (62E15) Reliability, availability, maintenance, inspection in operations research (90B25)

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Cites work

• A characterization of the gamma distribution by the negative binomial distribution
• CreditRisk\(^+\) in the banking industry.
• scientific article; zbMATH DE number 218854 (Why is no real title available?)
• On the computation of the capital multiplier in the Fortis credit economic capital model
• On the convolution of the negative binomial random variables
• On the Moments of the Time of Ruin with Applications to Phase-Type Claims
• On the negative binomial distribution and its generalizations
• Point processes with correlated gamma interarrival times
• Reliability of an m-out of-n system when component failure induces higher failure rates in survivors
• Univariate Discrete Distributions

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(12)

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• Statistical test for fractional Brownian motion based on detrending moving average algorithm
• Compound Poisson approximation to convolutions of compound negative binomial variables
• Exact distribution of the convolution of negative binomial random variables
• Evaluation of multitype mathematical models for CFSE-labeling experiment data
• Negative binomial sums of random variables and discounted reward processes
• Compound Markov negative binomial distribution
• Time-averaged mean squared displacement ratio test for Gaussian processes with unknown diffusion coefficient

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