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math.PR2010★ 1 cited
Berry-Esseen and Edgeworth approximations for the tail of an infinite sum of weighted gamma random variables
Mark S. Veillette, Murad S. Taqqu
Consider the sum , where are i.i.d.~gamma random variables with shape parameter , and the 's are predetermined we…
math.PR2010★ 2 cited
Distribution functions of Poisson random integrals: Analysis and computation
Mark S. Veillette, Murad S. Taqqu
We want to compute the cumulative distribution function of a one-dimensional Poisson stochastic integral $I(\krnl) = \displaystyle \int_0^T \krnl(s) N(ds)$, where is a Poisson…