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

Cite this

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.
Stewart, T. ; Strijbosch, L.W.G. ; Moors, J.J.A. ; van Batenburg, P.C. / A simple approximation to the convolution of gamma distributions. Unknown Publisher, 2006. (CentER Discussion Paper).
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author = "T. Stewart and L.W.G. Strijbosch and J.J.A. Moors and {van Batenburg}, P.C.",
year = "2006",
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Stewart, T, Strijbosch, LWG, Moors, JJA & van Batenburg, PC 2006 'A simple approximation to the convolution of gamma distributions' CentER Discussion Paper, vol. 2006-27, Unknown Publisher.

A simple approximation to the convolution of gamma distributions. / Stewart, T.; Strijbosch, L.W.G.; Moors, J.J.A.; van Batenburg, P.C.

Unknown Publisher, 2006. (CentER Discussion Paper; Vol. 2006-27).

Research output: Working paperDiscussion paperOther research output

TY - UNPB

T1 - A simple approximation to the convolution of gamma distributions

AU - Stewart, T.

AU - Strijbosch, L.W.G.

AU - Moors, J.J.A.

AU - van Batenburg, P.C.

PY - 2006

Y1 - 2006

N2 - 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.

AB - 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.

KW - approximating distributions

KW - convolution

KW - gamma distribution

M3 - Discussion paper

VL - 2006-27

T3 - CentER Discussion Paper

BT - A simple approximation to the convolution of gamma distributions

PB - Unknown Publisher

ER -

Stewart T, Strijbosch LWG, Moors JJA, van Batenburg PC. A simple approximation to the convolution of gamma distributions. Unknown Publisher. 2006. (CentER Discussion Paper).