On the moments of the variance-gamma distribution

Published 16 Sep 2022 in math.PR, math.ST, and stat.TH | (2209.07767v2)

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.

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Authors (1)

Robert E. Gaunt

Citations (7)

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