{"title":"关于方差-伽马分布的累积分布函数","authors":"ROBERT E. GAUNT","doi":"10.1017/s0004972723001387","DOIUrl":null,"url":null,"abstract":"We obtain exact formulas for the cumulative distribution function of the variance-gamma distribution, as infinite series involving the modified Bessel function of the second kind and the modified Lommel function of the first kind. From these formulas, we deduce exact formulas for the cumulative distribution function of the product of two correlated zero-mean normal random variables.","PeriodicalId":50720,"journal":{"name":"Bulletin of the Australian Mathematical Society","volume":null,"pages":null},"PeriodicalIF":0.6000,"publicationDate":"2024-01-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"ON THE CUMULATIVE DISTRIBUTION FUNCTION OF THE VARIANCE-GAMMA DISTRIBUTION\",\"authors\":\"ROBERT E. GAUNT\",\"doi\":\"10.1017/s0004972723001387\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We obtain exact formulas for the cumulative distribution function of the variance-gamma distribution, as infinite series involving the modified Bessel function of the second kind and the modified Lommel function of the first kind. From these formulas, we deduce exact formulas for the cumulative distribution function of the product of two correlated zero-mean normal random variables.\",\"PeriodicalId\":50720,\"journal\":{\"name\":\"Bulletin of the Australian Mathematical Society\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.6000,\"publicationDate\":\"2024-01-29\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Bulletin of the Australian Mathematical Society\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://doi.org/10.1017/s0004972723001387\",\"RegionNum\":4,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"MATHEMATICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Bulletin of the Australian Mathematical Society","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1017/s0004972723001387","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"MATHEMATICS","Score":null,"Total":0}
ON THE CUMULATIVE DISTRIBUTION FUNCTION OF THE VARIANCE-GAMMA DISTRIBUTION
We obtain exact formulas for the cumulative distribution function of the variance-gamma distribution, as infinite series involving the modified Bessel function of the second kind and the modified Lommel function of the first kind. From these formulas, we deduce exact formulas for the cumulative distribution function of the product of two correlated zero-mean normal random variables.
期刊介绍：
Bulletin of the Australian Mathematical Society aims at quick publication of original research in all branches of mathematics. Papers are accepted only after peer review but editorial decisions on acceptance or otherwise are taken quickly, normally within a month of receipt of the paper. The Bulletin concentrates on presenting new and interesting results in a clear and attractive way.
Published Bi-monthly
Published for the Australian Mathematical Society
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