Journal
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
Volume 37, Issue 14, Pages 2177-2184Publisher
TAYLOR & FRANCIS INC
DOI: 10.1080/03610920701882503
Keywords
incomplete gamma function; Kummer function; Laplace transform; Pareto distribution
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Laplace transforms are used to derive an exact expression for the cdf of the sum of n i.i.d. Pareto random variables with common pdf f(x)=(alpha/beta)(1 + x/beta)(-alpha-1) for x > 0, where alpha > 0 and is not an integer, and beta > 0. An attractive feature of this expression is that it involves an integral of non oscillating real-valued functions on the positive real line. Examples of values of cdfs are provided and are compared to those determined via simulations.
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