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

Cite this

Stewart, T., Strijbosch, L. W. G., Moors, J. J. A., & van Batenburg, P. (2006). A Simple Approximation to the Convolution of Gamma Distributions (Replaced by DP 2007-70). (CentER Discussion Paper; Vol. 2006-27). Tilburg: Operations research.
Stewart, T. ; Strijbosch, L.W.G. ; Moors, J.J.A. ; van Batenburg, P. / A Simple Approximation to the Convolution of Gamma Distributions (Replaced by DP 2007-70). Tilburg : Operations research, 2006. (CentER Discussion Paper).
@techreport{46c0cbc0b20c4102b857e2e8c181d1bf,
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",
type = "WorkingPaper",
institution = "Operations research",

}

Stewart, T, Strijbosch, LWG, Moors, JJA & van Batenburg, P 2006 'A Simple Approximation to the Convolution of Gamma Distributions (Replaced by DP 2007-70)' CentER Discussion Paper, vol. 2006-27, Operations research, Tilburg.

A Simple Approximation to the Convolution of Gamma Distributions (Replaced by DP 2007-70). / Stewart, T.; Strijbosch, L.W.G.; Moors, J.J.A.; van Batenburg, P.

Tilburg : Operations research, 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 (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 -

Stewart T, Strijbosch LWG, Moors JJA, van Batenburg P. A Simple Approximation to the Convolution of Gamma Distributions (Replaced by DP 2007-70). Tilburg: Operations research. 2006. (CentER Discussion Paper).