The exact expressions for the convolutions 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, especially if more than two random variables are involved. The approximation is particularly good for the upper quantiles that play an important role in auditors' decisions.
|Place of Publication||Tilburg|
|Number of pages||24|
|Publication status||Published - 2007|
|Name||CentER Discussion Paper|
- approximating distributions
- gamma distribution
Stewart, T., Strijbosch, L. W. G., Moors, J. J. A., & van Batenburg, P. (2007). A Simple Approximation to the Convolution of Gamma Distributions (Revision of DP 2006-27). (CentER Discussion Paper; Vol. 2007-70). Operations research.