Work

Closed-form evaluation of the cumulative distribution function and absolute moments of the variance-gamma distribution

Year: 2026

Type: preprint

Abstract: Closed-form formulas are derived for the cumulative distribution function and odd-order absolute moments of the variance-gamma distribution. As a special case, closed-form expressions are deduced for the cumulative distribution function and odd-order absolute central moments of the product of two correlated zero-mean normal random variables.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.2610.16540

Authors: Gaunt, Robert E., Sutcliffe, Heather L.

Institution: University of Manchester

Language: English

Topic: Statistical Distribution Estimation and Applications

Subfield: Statistics and Probability

Field: Mathematics

Domain: Physical Sciences

Open Access status: green

Funder: Engineering and Physical Sciences Research Council

Awards: Rates of Convergence in Multivariate Normal Approximation by Stein's Method, G6690035028

OpenAlex ID: W7221752640

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