| Autor: |
Gaunt, Robert E., Li, Siqi |
| Jazyk: |
English<br />French |
| Rok vydání: |
2023 |
| Předmět: |
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| Zdroj: |
Comptes Rendus. Mathématique, Vol 361, Iss G7, Pp 1151-1161 (2023) |
| Druh dokumentu: |
article |
| ISSN: |
1778-3569 |
| DOI: |
10.5802/crmath.495 |
| Popis: |
Let $X$ and $Y$ be independent variance-gamma random variables with zero location parameter; then the exact probability density function of the ratio $X/Y$ is derived. Some basic distributional properties are also derived, including identification of parameter regimes under which the density is bounded, asymptotic approximations of tail probabilities, and fractional moments; in particular, we see that the mean is undefined. In the case that $X$ and $Y$ are independent symmetric variance-gamma random variables, an exact formula is also given for the cumulative distribution function of the ratio $X/Y$. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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