On the cumulative distribution function of the variance-gamma distribution

DOI10.1017/S0004972723001387MaRDI QIDQ6666580

Robert E. Gaunt

Publication date: 20 January 2025

Published in: Bulletin of the Australian Mathematical Society (Search for Journal in Brave)

zbMATH Keywords

modified Bessel functioncumulative distribution functionvariance-gamma distributionproduct of correlated normal random variablesmodified lommel function

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Probability distributions: general theory (60E05)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• On the distribution of the product of correlated normal random variables
• On the distribution of the first product moment-coefficient, in samples drawn from an indefinitely large normal population.
• Optimal variance-Gamma approximation on the second Wiener chaos
• Bounds for modified Lommel functions of the first kind and their ratios
• Variance-gamma approximation via Stein's method
• A BESSEL FUNCTION DISTRIBUTION
• The Variance Gamma Process and Option Pricing
• On new formulae for cumulative distribution function for McKay Bessel distribution
• Skewed Bessel function distributions with application to rainfall data
• Lommel functions with imaginary argument
• On the frequency function of \(xy\).
• The basic distributional theory for the product of zero mean correlated normal random variables
• A note on the distribution of the product of zero‐mean correlated normal random variables

This page was built for publication: On the cumulative distribution function of the variance-gamma distribution

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6666580)