A note on the distribution of the linear combination of independent Gamma random variables

Carlos Manuel Agra Coelho; Filipe José Gonçalves Pereira Marques

doi:10.1063/1.4897791

A note on the distribution of the linear combination of independent Gamma random variables

Carlos Manuel Agra Coelho, Filipe José Gonçalves Pereira Marques

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

1 Citation (Scopus)

Abstract

In this paper we show that, when the coefficients are not all positive, the distribution of the linear combination of independent Gamma random variables may be represented in form of an infinite mixture of differences of two independent Gamma random variables. Based on truncations of this mixture two precise approximations are developed. Numerical computational studies are conducted to access the quality of these approximations.

Original language	Unknown
Title of host publication	AIP Conference Proceedings
Pages	527-530
DOIs	https://doi.org/10.1063/1.4897791
Publication status	Published - 1 Jan 2014
Event	10TH INTERNATIONAL CONFERENCE OF COMPUTATIONAL METHODS IN SCIENCES AND ENGINEERING, ICCMSE - Duration: 1 Jan 2014 → …

Conference

Conference	10TH INTERNATIONAL CONFERENCE OF COMPUTATIONAL METHODS IN SCIENCES AND ENGINEERING, ICCMSE
Period	1/01/14 → …

Access to Document

10.1063/1.4897791

Cite this

@inproceedings{dc429a789c974bfd9aac14101d8063af,

title = "A note on the distribution of the linear combination of independent Gamma random variables",

abstract = "In this paper we show that, when the coefficients are not all positive, the distribution of the linear combination of independent Gamma random variables may be represented in form of an infinite mixture of differences of two independent Gamma random variables. Based on truncations of this mixture two precise approximations are developed. Numerical computational studies are conducted to access the quality of these approximations.",

keywords = "Characteristic function, Mixtures, Asymptotic approximations, DGIG distribution",

author = "Coelho, {Carlos Manuel Agra} and Marques, {Filipe Jos{\'e} Gon{\c c}alves Pereira}",

year = "2014",

month = jan,

day = "1",

doi = "10.1063/1.4897791",

language = "Unknown",

isbn = "978-0-7354-1255-2",

pages = "527--530",

booktitle = "AIP Conference Proceedings",

note = "10TH INTERNATIONAL CONFERENCE OF COMPUTATIONAL METHODS IN SCIENCES AND ENGINEERING, ICCMSE ; Conference date: 01-01-2014",

}

TY - GEN

T1 - A note on the distribution of the linear combination of independent Gamma random variables

AU - Coelho, Carlos Manuel Agra

AU - Marques, Filipe José Gonçalves Pereira

PY - 2014/1/1

Y1 - 2014/1/1

N2 - In this paper we show that, when the coefficients are not all positive, the distribution of the linear combination of independent Gamma random variables may be represented in form of an infinite mixture of differences of two independent Gamma random variables. Based on truncations of this mixture two precise approximations are developed. Numerical computational studies are conducted to access the quality of these approximations.

AB - In this paper we show that, when the coefficients are not all positive, the distribution of the linear combination of independent Gamma random variables may be represented in form of an infinite mixture of differences of two independent Gamma random variables. Based on truncations of this mixture two precise approximations are developed. Numerical computational studies are conducted to access the quality of these approximations.

KW - Characteristic function

KW - Mixtures

KW - Asymptotic approximations

KW - DGIG distribution

U2 - 10.1063/1.4897791

DO - 10.1063/1.4897791

M3 - Conference contribution

SN - 978-0-7354-1255-2

SP - 527

EP - 530

BT - AIP Conference Proceedings

T2 - 10TH INTERNATIONAL CONFERENCE OF COMPUTATIONAL METHODS IN SCIENCES AND ENGINEERING, ICCMSE

Y2 - 1 January 2014

ER -