On the density for sums of independent exponential, Erlang and gamma variates

Edmond Levy ()
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Edmond Levy: Stanmore

Statistical Papers, 2022, vol. 63, issue 3, No 1, 693-721

Abstract: Abstract This paper re-examines the density for sums of independent exponential, Erlang and gamma random variables. By using a divided difference perspective, the paper provides a unified approach to finding closed-form formulae for such convolutions. In particular, the divided difference perspective for sums of Erlang variates suggests a new approach to finding the density for sums of independent gamma variates using fractional calculus.

Keywords: Convolutions; Exponential variables; Erlang density; Gamma density; Divided differences; Fractional calculus; 60E05; 62E10; 26A33 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s00362-021-01256-x

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