The Variance-Gamma Distribution: A Review
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Publication:6429033
arXiv2303.05615MaRDI QIDQ6429033FDOQ6429033
Authors: A. Fischer, Robert E. Gaunt, Andrey Sarantsev 
Publication date: 9 March 2023
Abstract: The variance-gamma (VG) distributions form a four-parameter family which includes as special and limiting cases the normal, gamma and Laplace distributions. Some of the numerous applications include financial modelling and distributional approximation on Wiener space. In this review, we provide an up-to-date account of the basic distributional theory of the VG distribution. Properties covered include probability and cumulative distribution functions, generating functions, moments and cumulants, mode and median, Stein characterisations, representations in terms of other random variables, and a list of related distributions. We also review methods for parameter estimation and some applications of the VG distribution, including the aforementioned applications to financial modelling and distributional approximation on Wiener space.
Probability distributions: general theory (60E05) Exact distribution theory in statistics (62E15) Point estimation (62F10) Research exposition (monographs, survey articles) pertaining to statistics (62-02)
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