On the distribution-tail of the product of gamma random variables
Articles
Ričardas Kamarauskas
Vilnius University
Jonas Šiaulys
Vilnius University
Published 2024-12-01
https://doi.org/10.15388/namc.2024.29.37958
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Keywords

gamma distribution
tail distribution function
saddle-point method
asymptotic functions
product of random variables

How to Cite

Kamarauskas, R. and Šiaulys, J. (2024) “On the distribution-tail of the product of gamma random variables”, Nonlinear Analysis: Modelling and Control, 29(6), pp. 1186–1205. doi:10.15388/namc.2024.29.37958.

Abstract

In this paper, we consider the product Πn := ∏nk=1 ξk of n independent identically distributed gamma random variables ξ1ξ2, . . . , ξn. We derive an asymptotic formula for the survival probability Pn > x) as x -> ∞ with the first two remaining terms.

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