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Rate of convergence of generalized inverse Gaussian and Kummer distributions to the gamma distribution via Stein’s method

Author

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  • Konzou, Essomanda
  • Koudou, Efoévi
  • Gneyou, Kossi E.

Abstract

A sequence of random variables following the generalized inverse Gaussian or the Kummer distribution converges in law to the gamma distribution under certain conditions on the parameters. We provide explicit upper bounds for the distributional distance between such generalized inverse Gaussian (resp. Kummer) variables and their limiting gamma distribution applying Stein’s approach.

Suggested Citation

  • Konzou, Essomanda & Koudou, Efoévi & Gneyou, Kossi E., 2020. "Rate of convergence of generalized inverse Gaussian and Kummer distributions to the gamma distribution via Stein’s method," Statistics & Probability Letters, Elsevier, vol. 159(C).
    • Handle: RePEc:eee:stapro:v:159:y:2020:i:c:s0167715219303293
    DOI: 10.1016/j.spl.2019.108683
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