| Title |
On the distribution-tail of the product of gamma random variables |
| Authors |
Kamarauskas, Ričardas ; Šiaulys, Jonas |
| DOI |
10.15388/namc.2024.29.37958 |
| Full Text |
|
| Is Part of |
Nonlinear analysis: modelling and control.. Vilnius : Vilniaus universiteto leidykla. 2024, vol. 29, no. 6, p. 1180-1199.. ISSN 1392-5113. eISSN 2335-8963 |
| Keywords [eng] |
gamma distribution ; tail distribution function ; saddle-point method ; asymptotic functions ; product of random variables |
| Abstract [eng] |
In this paper, we consider the product Πn := ∏nk=1 ξk of n independent identically distributed gamma random variables ξ1, ξ2, . . . , ξn. We derive an asymptotic formula for the survival probability P(Πn > x) as x -> ∞ with the first two remaining terms. |
| Published |
Vilnius : Vilniaus universiteto leidykla |
| Type |
Journal article |
| Language |
English |
| Publication date |
2024 |
| CC license |
|
