PreprintarXiv licencearXiv
Closed-form evaluation of the cumulative distribution function and absolute moments of the variance-gamma distribution
Abstract
Closed-form formulas are derived for the cumulative distribution function and odd-order absolute moments of the variance-gamma distribution. As a special case, closed-form expressions are deduced for the cumulative distribution function and odd-order absolute central moments of the product of two correlated zero-mean normal random variables.
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BibTeX
@misc{gaunt2026closedform,
title = {{Closed-form evaluation of the cumulative distribution function and absolute moments of the variance-gamma distribution}},
author = {Robert E. Gaunt and Heather L. Sutcliffe},
howpublished = {arXiv},
year = {2026},
month = oct,
doi = {10.48550/arxiv.2610.16540},
eprint = {2610.16540},
archivePrefix = {arXiv},
url = {https://arxiv.org/abs/2610.16540},
}
RIS
TY - UNPB
TI - Closed-form evaluation of the cumulative distribution function and absolute moments of the variance-gamma distribution
AU - Robert E. Gaunt
AU - Heather L. Sutcliffe
PY - 2026
DA - 2026/10/12
PB - arXiv
DO - 10.48550/arxiv.2610.16540
UR - https://arxiv.org/abs/2610.16540
AB - Closed-form formulas are derived for the cumulative distribution function and odd-order absolute moments of the variance-gamma distribution. As a special case, closed-form expressions are deduced for the cumulative distribution function and odd-order absolute central moments of the product of two correlated zero-mean normal random variables.
ER -