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arXiv:2209.07767 [math.PR]AbstractReferencesReviewsResources

On the moments of the variance-gamma distribution

Robert E. Gaunt

Published 2022-09-16Version 1

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.

Comments: 5 pages
Categories: math.PR, math.ST, stat.TH
Subjects: 60E05, 62E15
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