Integral representations for convolutions of non-central multivariate gamma distributions

arXiv0704.0539MaRDI QIDQ6205214FDOQ6205214

Publication date: 4 April 2007

Abstract: Three types of integral representations for the cumulative distribution functions of convolutions of non-central p-variate gamma distributions are given by integration of elementary complex functions over the p-cube Cp = (-pi,pi]x...x(-pi,pi]. In particular, the joint distribution of the diagonal elements of a generalized quadratic form XAX' with n independent normally distributed column vectors in X is obtained. For a single p-variate gamma distribution function (p-1)-variate integrals over Cp-1 are derived. The integrals are numerically more favourable than integrals obtained from the Fourier or laplace inversion formula.

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Multivariate distribution of statistics (62H10)

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