81 citations · 158 across the 66 of their papers we have counts for
88 papers
Closed-form evaluation of the cumulative distribution function and absolute moments of the variance-gamma distribution
Robert E. Gaunt, Heather L. Sutcliffe
Closed-form formulas are derived for the cumulative distribution function and odd-order absolute moments of the variance-gamma distribution. As a special case, closed-form expressi…
Bounds for the median of the generalized hyperbolic and related distributions
Robert E. Gaunt, Frédéric Ouimet
We prove monotonicity properties for medians of gamma sums and differences of the form , where and are independent gamma random variables with…
On Pólya's 4D random walk constant
Robert E. Gaunt
The return probability in the simple symmetric random walk on the 4-dimensional lattice is evaluated in closed form in terms of the generalized hypergeometric functi…
Log-convexity and log-concavity of noncentral gamma sums and differences
Robert E. Gaunt, Frédéric Ouimet
We study log-convexity and log-concavity of densities obtained from sums and differences of two independent noncentral gamma random variables. We give a complete classification of…
On Wilks' problem: Exact recursive formulas via Stein's method for the joint moments of disjoint principal minors of Wishart random matrices
Robert E. Gaunt, Frédéric Ouimet
In a 1934 Annals of Mathematics paper, Samuel S. Wilks posed the problem of computing joint moments of disjoint principal minors of Wishart random matrices, describing the general…
Stein's method for the symmetric matrix normal distribution with an application to the approximation of the Wishart law
Robert E. Gaunt, Frédéric Ouimet
In this paper, we extend Stein's method to the symmetric matrix normal distribution. In particular, we obtain a Stein characterization of the symmetric matrix normal distribution i…