4 papers · 1 filter
On bounds for the mode and median of the generalized hyperbolic and related distributions
Robert E. Gaunt, Milan Merkle
Except for certain parameter values, a closed form formula for the mode of the generalized hyperbolic (GH) distribution is not available. In this paper, we exploit results from the…
A simple proof of the characteristic function of Student's -distribution
Robert E. Gaunt
This note presents a simple proof of the characteristic function of Student's -distribution. The method of proof, which involves finding a differential equation satisfied by the…
Stein's method and the distribution of the product of zero mean correlated normal random variables
Robert E. Gaunt
Over the last 80 years there has been much interest in the problem of finding an explicit formula for the probability density function of two zero mean correlated normal random var…
A note on the distribution of the product of zero mean correlated normal random variables
Robert E. Gaunt
The problem of finding an explicit formula for the probability density function of two zero mean correlated normal random variables dates back to 1936. Perhaps surprisingly, this p…