Rate of convergence of generalized inverse Gaussian and Kummer distributions to the gamma distribution via Stein’s method

Essomanda Konzou, Efoévi Koudou and Kossi E. Gneyou

Statistics & Probability Letters, 2020, vol. 159, issue C

Abstract: A sequence of random variables following the generalized inverse Gaussian or the Kummer distribution converges in law to the gamma distribution under certain conditions on the parameters. We provide explicit upper bounds for the distributional distance between such generalized inverse Gaussian (resp. Kummer) variables and their limiting gamma distribution applying Stein’s approach.

Keywords: Generalized inverse gaussian distribution; Kummer distribution; Gamma distribution; Stein’s method; Taylor expansions (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spl.2019.108683

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