2009
DOI: 10.1239/jap/1238592129
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On the Sums of Compound Negative Binomial and Gamma Random Variables

Abstract: We study the convolution of compound negative binomial distributions with arbitrary parameters. The exact expression and also a random parameter representation are obtained. These results generalize some recent results in the literature. An application of these results to insurance mathematics is discussed. The sums of certain dependent compound Poisson variables are also studied. Using the connection between negative binomial and gamma distributions, we obtain a simple random parameter representation for the … Show more

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Cited by 21 publications
(21 citation statements)
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“…However, when any two of β i s are different, there exists no exact expression for the n -fold convolution of the gamma distribution. A number of independent studies have investigated this problem (Thom 1968, Mathai 1982, Moschopoulos 1985, Sim 1992, Akkouchi 2005, Stewart et al 2007, Vellaisamy and Upadhye 2009). For computing efficiency, the expression derived by Sim (1992) is used in this study when the scale parameters are close to each other.…”
Section: Simulation Studiesmentioning
confidence: 99%
“…However, when any two of β i s are different, there exists no exact expression for the n -fold convolution of the gamma distribution. A number of independent studies have investigated this problem (Thom 1968, Mathai 1982, Moschopoulos 1985, Sim 1992, Akkouchi 2005, Stewart et al 2007, Vellaisamy and Upadhye 2009). For computing efficiency, the expression derived by Sim (1992) is used in this study when the scale parameters are close to each other.…”
Section: Simulation Studiesmentioning
confidence: 99%
“…D(v)=b=1BXbPfalse(vfalse〈Nfalse〉,false(S-1false)false〈vfalse〉b,false(S-1false)false〈Nfalse〉false)b=1BXbNBfalse(v1+false(S-1false)false〈vfalse〉b,1Sfalse), where B is the number of bins, X b is the number of variants in each bin, and 〈 N 〉 is the average sequencing depth across S samples. It has been shown that the sum of negative binomial distributions with equal success probabilities is also a negative binomial distribution, though with a random parameter [7, 50]. Thus, the approximation of D ( v ) in equations (3) and (4) with sums of negative binomial distributions that have success probability of 1S, suggests empirical observations [41].…”
Section: Methodsmentioning
confidence: 99%
“…Convolutions of gamma distributions commonly arise in statistics [Vellaisamy & Upadhye (2009), Covo & Elalouf (2014)]. The next corollary quantifies gamma distribution approximation to such convolutions.…”
Section: Around Gamma Distribution Approximationmentioning
confidence: 97%