Density and distribution evaluation for convolution of independent gamma variables

DOI10.1007/S00180-019-00924-9MaRDI QIDQ120486zbMATH OpenOpenAlexWikidataFDO

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)

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

zbMATH Keywords

renewal processstatistical computingconfluent hypergeometric functiondistribution theory

Mathematics Subject Classification ID

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

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.

Recommendations

• An approximation to the convolution of gamma distributions
• The exact distribution of sums weights of gamma variables
• scientific article; zbMATH DE number 2188956
• A review on convolutions of gamma random variables
• On the density for sums of independent exponential, Erlang and gamma variates

Cites work

• scientific article; zbMATH DE number 3863589 (Why is no real title available?)
• scientific article; zbMATH DE number 3879293 (Why is no real title available?)
• scientific article; zbMATH DE number 5321684 (Why is no real title available?)
• scientific article; zbMATH DE number 3593922 (Why is no real title available?)
• scientific article; zbMATH DE number 2188956 (Why is no real title available?)
• A Generalized Negative Binomial Distribution
• A characterization of the distribution of a weighted sum of gamma variables through multiple hypergeometric functions
• A generalized telegraph process with velocity driven by random trials
• A pathway to matrix-variate gamma and normal densities
• A review on convolutions of gamma random variables
• An approximation to the convolution of gamma distributions
• CONVOLUTIONS OF ERLANG AND OF PASCAL DISTRIBUTIONS WITH APPLICATIONS TO RELIABILITY
• Convolution of geometrics and a reliability problem
• First-exit times for increasing compound processes
• Generalized integrated telegraph processes and the distribution of related stopping times
• Markov modeling for reliability analysis using hypoexponential distribution
• On Inverted Matrix Variate Gamma Distribution
• On the Sums of Compound Negative Binomial and Gamma Random Variables
• On the convolution of Pareto and gamma distributions
• Ordering properties of convolutions of exponential random variables
• Point processes with correlated gamma interarrival times
• Risk capital decomposition for a multivariate dependent gamma portfolio
• Storage capacity of a dam with gamma type inputs
• The distribution of the sum of independent gamma random variables

Cited in

(4)

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

Describes a project that uses

Uses Software

• R
• CRAN
• GSL

This page was built for publication: Density and distribution evaluation for convolution of independent gamma variables

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q120486)