The variance-gamma ratio distribution
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 boun...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Académie des sciences
2023-10-01
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| Series: | Comptes Rendus. Mathématique |
| Subjects: | |
| Online Access: | https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.5802/crmath.495/ |
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| Summary: | 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 $X/Y$. |
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| ISSN: | 1778-3569 |