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Sektion 8
Donnerstag, 21.09.2000, 16.00–16.20 Uhr, POT 106

Approximations to the distribution of the sum of Erlang-distributed variates

Klaus Schiefermayr, Universität Linz, Abteilung für Stochastik

Let X1, X2, ..., Xn be independent, Erlang-distributed random variables with parameter mi  (- {1, 2, . . . } and ci > 0, i.e., E[Xi] = mi/ci, i = 1, 2, ..., n, and let X :=  sum i = 1nXi. There is an explicit formula for the pdf of X, which gets very complicated (also numerically) if some of the mi's are large (> 5). Thus good approximations of the pdf are necessary. We propose four simple approximations and compare them with other available approximations.