A Simple Approximation to the Convolution of Gamma Distributions (Replaced by DP 2007-70)

T. Stewart, L.W.G. Strijbosch, J.J.A. Moors, P. 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
Place of PublicationTilburg
PublisherOperations research
Number of pages21
Volume2006-27
Publication statusPublished - 2006

Publication series

NameCentER Discussion Paper
Volume2006-27

Keywords

  • approximating distributions
  • convolution
  • gamma distribution

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