On the moments of the variance-gamma distribution
Probability
2023-06-06 v2 Statistics Theory
Statistics Theory
Abstract
We obtain new closed-form formulas for the moments and absolute moments of the variance-gamma distribution. We thus deduce new formulas for the moments and absolute moments of the product of two correlated zero mean normal random variables.
Keywords
Cite
@article{arxiv.2209.07767,
title = {On the moments of the variance-gamma distribution},
author = {Robert E. Gaunt},
journal= {arXiv preprint arXiv:2209.07767},
year = {2023}
}
Comments
6 pages