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

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 paper › Discussion paper › Other 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 language	English
Place of Publication	Tilburg
Publisher	Operations research
Number of pages	21
Volume	2006-27
Publication status	Published - 2006

Publication series

Name	CentER Discussion Paper
Volume	2006-27

Keywords

approximating distributions
convolution
gamma distribution

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

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.",

keywords = "approximating distributions, convolution, gamma distribution",

author = "T. Stewart and L.W.G. Strijbosch and J.J.A. Moors and {van Batenburg}, P.",

note = "Pagination: 21",

year = "2006",

language = "English",

volume = "2006-27",

series = "CentER Discussion Paper",

publisher = "Operations research",

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T1 - A Simple Approximation to the Convolution of Gamma Distributions (Replaced by DP 2007-70)

AU - Stewart, T.

AU - Strijbosch, L.W.G.

AU - Moors, J.J.A.

AU - van Batenburg, P.

N1 - Pagination: 21

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 (Replaced by DP 2007-70)

PB - Operations research

CY - Tilburg

ER -