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math.PR2025
Stein's method for asymmetric Laplace approximation
Fraser Daly, Robert E. Gaunt, Heather L. Sutcliffe
Motivated by its appearance as a limiting distribution for random and non-random sums of independent random variables, in this paper we develop Stein's method for approximation by…
math.PR2025
The variance-gamma product distribution
Robert E. Gaunt, Siqi Li, Heather Sutcliffe
We derive the exact probability density function of the product of independent variance-gamma random variables with zero location parameter. We then apply this formula to deriv…