Abstract
We obtain exact formulas for the cumulative distribution function of the variance-gamma distribution, as infinite series involving the modified Bessel function of the second kind and the modified Lommel function of the first kind. From these formulas, we deduce exact formulas for the cumulative distribution function of the product of two correlated zero mean normal random variables.
| Original language | English |
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| Journal | Australian Mathematical Society. Bulletin |
| Publication status | Accepted/In press - 15 Nov 2023 |
Keywords
- Variance-gamma distribution
- cumulative distribution function
- Product of correlated normal random variables
- modified Bessel function
- modified Lommel function