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math.PR2026
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…
math.PR2026
The non-central gamma sum and difference distributions: exact distribution and asymptotic expansions
Robert E. Gaunt, Heather L. Sutcliffe
Exact formulas are derived for the probability density functions of the sum and difference of two independent non-central gamma distributed random variables, with both series and i…
math.PR2026
The distribution of the ratio of products of independent zero mean normal random variables
Robert E. Gaunt, Heather L. Sutcliffe
Let and be independent zero mean normal random variables with variances , , and , , respectively…