On the gamma difference distribution

DOI10.1016/J.SPL.2024.110136MaRDI QIDQ6580269zbMATH OpenFDO

Authors Peter J. Forrester

Publication date 29 July 2024

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPL.2024.110136

zbMATH Keywords

gamma difference distributionStein-type differential identityvariance gamma distribution

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Probability distributions: general theory (60E05) Exact distribution theory in statistics (62E15)

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Cites work

• A note on gamma difference distributions
• A practical, effective calculation of gamma difference distributions with open data science tools
• A simple proof of the characteristic function of Student’s t-distribution
• Asymptotic correlations with corrections for the circular Jacobi \(\beta\)-ensemble
• scientific article; zbMATH DE number 3824228 (Why is no real title available?)
• Joint moments of a characteristic polynomial and its derivative for the circular \(\beta \)-ensemble
• Log-gases and random matrices.
• Moments of generalized Cauchy random matrices and continuous-Hahn polynomials
• On the exact distribution of the difference between two chi-square variables
• On the moments of the variance-gamma distribution
• Relations between moments for the Jacobi and Cauchy random matrix ensembles
• Spectral statistics for the difference of two Wishart matrices
• Stein characterizations for linear combinations of gamma random variables
• The inverse gamma-difference distribution and its first moment in the Cauchy principal value sense
• Variance-gamma approximation via Stein's method

Cited in

(3)

• Absolute moments of the variance-gamma distribution
• On the product of correlated normal random variables and the noncentral chi-square difference distribution
• Covariance identities and variance bounds for infinitely divisible random variables and their applications

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