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The variance-gamma ratio distribution

Comptes Rendus. Mathématique, 2023
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.
Gaunt, Robert E., Li, Siqi
doaj   +5 more sources

A novel gene-set association test based on variance-gamma distribution. [PDF]

Stat Methods Med Res, 2019
Several gene- or set-based association tests have been proposed recently in the literature. Powerful statistical approaches are still highly desirable in this area. In this paper we propose a novel statistical association test, which uses information of the burden component and its complement from the genotypes.
Chen Z, Liu Q, Wang K.
europepmc   +4 more sources

Bayesian estimation of rainfall dispersion in Thailand using gamma distribution with excess zeros [PDF]

PeerJ, 2022
The gamma distribution is commonly used to model environmental data. However, rainfall data often contain zero observations, which violates the assumption that all observations must be positive in a gamma distribution, and so a gamma model with excess ...
Wansiri Khooriphan, Sa-Aat Niwitpong, Suparat Niwitpong   +2 more
doaj   +2 more sources

SIFAT-SIFAT DAN KEJADIAN KHUSUS DISTRIBUSI GAMMA

Barekeng, 2021
The gamma distribution is one of special continuous random variable distribution with scale parameter  and shape parameter  where  is positive real numbers.
Royke Yohanes Warella, Henry Junus Wattimanela, Venn Yan Ishak Ilwaru   +2 more
doaj   +1 more source

Variance Gamma (nonlocal) equations

Modern Stochastics: Theory and Applications, 2023
Some equations are provided for the Variance Gamma process using the definition other than that based on a time-changed Brownian motion. A new nonlocal equation is obtained involving generalized Weyl derivatives, which is true even in the drifted case ...
Fausto Colantoni
doaj   +1 more source

Asymptotic Normality in Linear Regression with Approximately Sparse Structure

Mathematics, 2022
In this paper, we study the asymptotic normality in high-dimensional linear regression. We focus on the case where the covariance matrix of the regression variables has a KMS structure, in asymptotic settings where the number of predictors, p, is ...
Saulius Jokubaitis, Remigijus Leipus
doaj   +1 more source

The Variance Gamma Distribution [PDF]

Significance, 2019
Abstract Scott Nestler and Andrew Hall provide an overview of a little-known but highly flexible distribution, which can be useful for modelling share price ...
Scott Nestler, Andrew Hall
openaire   +1 more source

Estimation of value at risk for stock prices in mobile phone industry

Data Analytics and Applied Mathematics, 2021
Risk management and market losses prediction played a vital role in the financial sector. Value-at-Risk (VaR) is one of the effective measures for financial risk management.
Dr. Wendy Ling Shin Yie, Kah Yi Chan, Fong Peng Lim   +2 more
doaj   +1 more source

On the Moments of the Variance-Gamma Distribution

Statistics & Probability Letters, 2023
6 ...
openaire   +3 more sources

Counterexamples to the classical central limit theorem for triplewise independent random variables having a common arbitrary margin

Dependence Modeling, 2021
We present a general methodology to construct triplewise independent sequences of random variables having a common but arbitrary marginal distribution F (satisfying very mild conditions).
Beaulieu Guillaume Boglioni, de Micheaux Pierre Lafaye, Ouimet Frédéric   +2 more
doaj   +1 more source