Distribution of sum of normal and gamma random variable

Let $\displaystyle Z = X + Y$ where $\displaystyle X \sim N\left(\mu, \sigma^2 \right)$ and $\displaystyle Y \sim \Gamma\left(k, \theta \right)$ using this parametrization of the Gamma distribution. Also assume $\displaystyle X$ and $\displaystyle Y$ are independent. Then what is the distribution (pdf) of $\displaystyle Z$?


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This question doesn't seem as straightforward as it sounds. For example, I have tried using the convolution formulas here, but can't seem to find a closed form expression for the integral. I have also tried multiplying the moment generating functions (mgfs) of $\displaystyle X$ and $\displaystyle Y$, but it does not seem to match up to any known mgfs.

Does anyone have any ideas on how to find the distribution for $\displaystyle Z$?

I doubt that this will get you a closed form but did you try using characteristic functions?

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Originally Posted by romsek

I doubt that this will get you a closed form but did you try using characteristic functions?

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I'm not too sure what characteristic functions are, how would I apply that here?

it's basically the fourier transform of a probability distribution function and as such the characteristic function of the sum of 2 rvs is the product of the individual characteristic functions.

I just came across this

http://cran.r-project.org/web/packag...ormalGamma.pdf

it won't give you a closed form answer but it might be of interest.