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Math Help - Distribution of sum of normal and gamma random variable

  1. #1
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    Distribution of sum of normal and gamma random variable

    Let Z = X + Y where X \sim N\left(\mu, \sigma^2 \right) and Y \sim \Gamma\left(k, \theta \right) using this parametrization of the Gamma distribution. Also assume X and Y are independent. Then what is the distribution (pdf) of 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 X and 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 Z?
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  2. #2
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    Re: Distribution of sum of normal and gamma random variable

    I doubt that this will get you a closed form but did you try using characteristic functions?
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  3. #3
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    Re: Distribution of sum of normal and gamma random variable

    Quote Originally Posted by romsek View Post
    I doubt that this will get you a closed form but did you try using characteristic functions?
    I'm not too sure what characteristic functions are, how would I apply that here?
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  4. #4
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    Re: Distribution of sum of normal and gamma random variable

    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.
    Last edited by romsek; November 27th 2013 at 09:34 PM.
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