4 papers · 1 filter
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…
A Stein characterisation of the distribution of the product of correlated normal random variables
Robert E. Gaunt, Siqi Li, Heather L. Sutcliffe
We obtain a Stein characterisation of the distribution of the product of two correlated normal random variables with non-zero means, and more generally the distribution of the sum…
The distribution of the product of independent variance-gamma random variables
Robert E. Gaunt, Siqi Li
Let and be independent variance-gamma random variables with zero location parameter; then the exact probability density function of the product is derived. Some basic…
Bounding Kolmogorov distances through Wasserstein and related integral probability metrics
Robert E. Gaunt, Siqi Li
We establish general upper bounds on the Kolmogorov distance between two probability distributions in terms of the distance between these distributions as measured with respect to…