Stein characterizations for linear combinations of gamma random variables

Abstract : In this paper we propose a new, simple and explicit mechanism allowing to derive Stein operators for random variables whose characteristic function satisfies a simple ODE. We apply this to study random variables which can be represented as linear combinations of (non necessarily independent) gamma distributed random variables. The connection with Malliavin calculus for random variables in the second Wiener chaos is detailed. An application to McKay Type I random variables is also outlined.
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Pré-publication, Document de travail
This corresponds to the second section of https://arxiv.org/abs/1601.03301 New results added and .. 2017
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https://hal.archives-ouvertes.fr/hal-01612071
Contributeur : Marie-Annick Guillemer <>
Soumis le : vendredi 6 octobre 2017 - 14:20:59
Dernière modification le : vendredi 31 août 2018 - 09:06:02

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  • HAL Id : hal-01612071, version 1
  • ARXIV : 1709.01161

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Benjamin Arras, Ehsan Azmoodeh, Guillaume Poly, Yvik Swan. Stein characterizations for linear combinations of gamma random variables. This corresponds to the second section of https://arxiv.org/abs/1601.03301 New results added and .. 2017. 〈hal-01612071〉

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