On the gamma difference distribution

DOI10.1016/J.SPL.2024.110136zbMATH Open1543.60018MaRDI QIDQ6580269

Peter J. Forrester

Publication date: 29 July 2024

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

variance gamma distributiongamma difference distributionStein-type differential identity

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Random matrices (probabilistic aspects) (60B20) Probability distributions: general theory (60E05)

Cites Work

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• Stein characterizations for linear combinations of gamma random variables
• The inverse gamma-difference distribution and its first moment in the Cauchy principal value sense
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• Asymptotic correlations with corrections for the circular Jacobi \(\beta\)-ensemble
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• Moments of generalized Cauchy random matrices and continuous-Hahn polynomials
• Relations between moments for the Jacobi and Cauchy random matrix ensembles
• A simple proof of the characteristic function of Student’s t-distribution
• A practical, effective calculation of gamma difference distributions with open data science tools
• A note on gamma difference distributions
• Spectral statistics for the difference of two Wishart matrices
• On the moments of the variance-gamma distribution

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