Estimating the cumulative distribution function for the linear combination of gamma random variables

Abstract

The statistical inference is divided into three very important types: Estimation, Testing Hypothesis and Prediction. This study more focusing in the first type which is estimation, but we will deal with this topic from different angle. We will use the approximation method to find a very accurate estimation for the cumulative distribution function CDF for the linear combination of Gamma random variable.

Subject Classification:

• Primary 62F15
• Secondary 65

Keywords:

• Saddlepoint approximations
• Gamma random variable
• linear combination
• cumulative distribution function