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

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Author Info
Stewart, T.
Strijbosch, L.W.G.
Moors, J.J.A.
Batenburg, P. van (Tilburg University, Center for Economic Research)

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Abstract

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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Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2007-70.

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Date of creation: 2007
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Handle: RePEc:dgr:kubcen:200770

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Find related papers by JEL classification:
C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Econometric and Statistical Methods; Specific Distributions

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This page was last updated on 2008-8-25.

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