On the moments of the variance-gamma distribution

Robert E. Gaunt

Statistics & Probability Letters, 2023, vol. 201, issue C

Abstract: We obtain new closed-form formulas for the moments and absolute moments of the variance-gamma distribution. We thus deduce new formulas for the moments and absolute moments of the product of two correlated zero mean normal random variables.

Keywords: Variance-gamma distribution; Moment; Absolute moment; Product of correlated normal random variables; Hypergeometric function (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2023.109884

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