The distribution of the sum of independent and non identically generalized Lindley random variables

Masato Kitani, Hidetoshi Murakami and Hiroki Hashiguchi

Communications in Statistics - Theory and Methods, 2023, vol. 52, issue 8, 2597-2609

Abstract: The original or generalized Lindley distribution has been proposed in order to fit a stochastic model to real data, that is, it establishes the distribution of the sum of independent variables. The distribution of the sum of independent and non identically generalized Lindley random variables is obtained by using inverse transformation of the moment generating function. A saddlepoint and a normal approximations are used to approximate the derived distribution. The accuracy of the approximations is shown by numerical simulations.

Date: 2023
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DOI: 10.1080/03610926.2021.1955387

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