Abstract
We obtain new closed-form formulas for the moments and absolute moments of the variance-gamma distribution. We thus deduce new formulas for the moments and absolute moments of the product of two correlated zero mean normal random variables.
| Original language | English |
|---|---|
| Journal | Statistics and Probability Letters |
| Publication status | Published - 15 Jun 2023 |
Keywords
- Variance-gamma distribution
- moment
- absolute moment
- product of correlated normal random variables
- hypergeometric function