Duals of multiplicative relationships involving beta and gamma random variables

M.C. Jones

Statistics & Probability Letters, 2022, vol. 191, issue C

Abstract: By interpreting four known multiplicative relationships involving independent beta and gamma random variables as scale mixtures, their ‘dual’ mixture relationships are obtained, making links to a variety of other distributional relationships. One consequence of these dual relationships is the provision of a number of first-order Markov processes with beta and gamma marginals.

Keywords: First-order Markov process; Inverse Gaussian distribution; Legendre’s duplication formula; Scale mixture (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2022.109668

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