A simple approximation to the convolution of gamma distributions

T. Stewart, L.W.G. Strijbosch, J.J.A. Moors, P.C. van Batenburg

Research output: Working paperDiscussion paperOther research output

Abstract

The exact expression for the convolution of gamma distributions with different scale parameters is quite complicated. The approximation by means of another gamma distribution is shown to be remarkably accurate for wide ranges of the parameter values, in particular if more than two variables are involved.
Original languageEnglish
PublisherUnknown Publisher
Volume2006-27
Publication statusPublished - 2006

Publication series

NameCentER Discussion Paper
Volume2006-27

Keywords

  • approximating distributions
  • convolution
  • gamma distribution

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    Stewart, T., Strijbosch, L. W. G., Moors, J. J. A., & van Batenburg, P. C. (2006). A simple approximation to the convolution of gamma distributions. (CentER Discussion Paper; Vol. 2006-27). Unknown Publisher.