A Simple Approximation to the Convolution of Gamma Distributions (Revision of DP 2006-27)

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.

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Year of publication:	2007
Authors:	Stewart, T. ; Strijbosch, L.W.G. ; Moors, J.J.A. ; van Batenburg, P.
Institutions:	Tilburg University, Center for Economic Research
Subject:	approximating distributions \| convolution \| gamma distribution

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Extent:	application/pdf
Series:	Discussion Paper.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series CentER Discussion Paper Number 2007-70
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011090880