On the moments of the variance-gamma distribution
Robert E. Gaunt
TL;DR
This paper derives new closed-form formulas for the moments and absolute moments of the variance-gamma distribution, enabling better analytical understanding and computation of related statistical measures.
Contribution
It introduces novel formulas for moments and absolute moments of the variance-gamma distribution and the product of correlated normal variables, expanding existing analytical tools.
Findings
New formulas for variance-gamma moments
Formulas for moments of products of correlated normals
Enhanced analytical methods for distribution analysis
Abstract
We obtain new closed-form formulas for the moments and absolute moments of the variance-gamma distribution. We thus deduce new formulas for the moments and absolute moments of the product of two correlated zero mean normal random variables.
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Taxonomy
TopicsStatistical Distribution Estimation and Applications · Probability and Risk Models · Distributed Sensor Networks and Detection Algorithms