On a multivariate gamma

A. M. Mathai and P. G. Moschopoulos

Journal of Multivariate Analysis, 1991, vol. 39, issue 1, 135-153

Abstract: In this paper a new form of multivariate gamma is defined whose components are positively correlated and have a three parameter gamma distribution. Explicit forms of moments, moment generating function, conditional moments, and density representations are derived. Several properties of the distribution are established. Included are also approximations, asymptotic results and Chebyshev's type inequalities. Applications of the model and estimation of parameters are discussed.

Keywords: multivariate; gamma; moments; exact; density; approximations; estimation; inequalities (search for similar items in EconPapers)
Date: 1991
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Citations: View citations in EconPapers (12)

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