Products of double gamma, gamma and beta distributions

J.-F.Jean-François Chamayou

Statistics & Probability Letters, 2004, vol. 68, issue 2, 199-208

Abstract: This paper considers the double gamma distribution on the real line [lambda]c with Laplace transform (1-t2)-c and the distributions of the products of independent random variables X,Y1,...,Yp,U1,...,Uq, where X is double gamma, the Y's are gamma and the U's are beta. These distributions are typical of what are called lambda distributions. Although they are obtained by multiplicative convolution, these lambda distributions are shown to be distributions occurring with additive convolution. This phenomena appears in a non-trivial way, specially when the Bailey's reduction formulas for hypergeometric functions are used.

Keywords: Sums; and; products; of; random; variables; Beta; Gamma; Double; gamma; and; Dufresne; distributions; Univariate; and; multivariate; hypergeometric; functions; Appell; functions; Gauss; Clausen; relations; Bailey; reduction; formula (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (1)

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