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

Research output: Chapter in Book/Report/Conference proceedingConference contribution

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 languageUnknown
Title of host publicationAIP Conference Proceedings
Pages527-530
DOIs
Publication statusPublished - 1 Jan 2014
Event10TH INTERNATIONAL CONFERENCE OF COMPUTATIONAL METHODS IN SCIENCES AND ENGINEERING, ICCMSE -
Duration: 1 Jan 2014 → …

Conference

Conference10TH INTERNATIONAL CONFERENCE OF COMPUTATIONAL METHODS IN SCIENCES AND ENGINEERING, ICCMSE
Period1/01/14 → …

Keywords

    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{\cc}alves Pereira}",
    year = "2014",
    month = "1",
    day = "1",
    doi = "10.1063/1.4897791",
    language = "Unknown",
    isbn = "978-0-7354-1255-2",
    pages = "527--530",
    booktitle = "AIP Conference Proceedings",

    }

    Coelho, CMA & Marques, FJGP 2014, A note on the distribution of the linear combination of independent Gamma random variables. in AIP Conference Proceedings. pp. 527-530, 10TH INTERNATIONAL CONFERENCE OF COMPUTATIONAL METHODS IN SCIENCES AND ENGINEERING, ICCMSE, 1/01/14. https://doi.org/10.1063/1.4897791

    A note on the distribution of the linear combination of independent Gamma random variables. / Coelho, Carlos Manuel Agra; Marques, Filipe José Gonçalves Pereira.

    AIP Conference Proceedings. 2014. p. 527-530.

    Research output: Chapter in Book/Report/Conference proceedingConference contribution

    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

    ER -