Density and distribution evaluation for convolution of independent gamma variables

DOI10.1007/S00180-019-00924-9zbMATH Open1505.62195arXiv1806.04059OpenAlexW3104535306WikidataQ127178362 ScholiaQ127178362MaRDI QIDQ120486FDOQ120486

Authors: Chaoran Hu, Jun Yan, Chaoran Hu, Jun Yan, V. Pozdnyakov 

Publication date: 30 September 2019

Published in: Computational Statistics (Search for Journal in Brave)

Abstract: Several numerical evaluations of the density and distribution of convolution of independent gamma variables are compared in their accuracy and speed. In application to renewal processes, an efficient formula is derived for the probability mass function of the event count.

Full work available at URL: https://arxiv.org/abs/1806.04059

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zbMATH Keywords

renewal processstatistical computingconfluent hypergeometric functiondistribution theory

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Cites Work

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Cited In (4)

• Generalized gamma convolutions and related classes of distributions and densities
• coga
• On estimation for Brownian motion governed by telegraph process with multiple off states
• Estimation of multivariate generalized gamma convolutions through Laguerre expansions

Uses Software

• R
• CRAN
• GSL

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