1. The variance-gamma ratio distribution
- Author
-
Gaunt, Robert E. and Li, Siqi
- Subjects
Variance-gamma distribution ,ratio distribution ,product of correlated normal random variables ,hypergeometric function ,Meijer $G$-function ,Mathematics ,QA1-939 - Abstract
Let $X$ and $Y$ be independent variance-gamma random variables with zero location parameter; then the exact probability density function of the ratio $X/Y$ is derived. Some basic distributional properties are also derived, including identification of parameter regimes under which the density is bounded, asymptotic approximations of tail probabilities, and fractional moments; in particular, we see that the mean is undefined. In the case that $X$ and $Y$ are independent symmetric variance-gamma random variables, an exact formula is also given for the cumulative distribution function of the ratio $X/Y$.
- Published
- 2023
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