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Moments for a ratio of correlated gamma variates

J.D. Tubbs

Department of Mathematical Sciences , University of Arkansas

Published online: 27 Jun 2007.

To cite this article: J.D. Tubbs (1986) Moments for a ratio of correlated gamma variates, Communications in Statistics Theory and Methods, 15:1, 251-259
To link to this article: http://dx.doi.org/10.1080/03610928608829119

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COMMUN.

STATIST.-THEORY METH., 1 5 ( 1 ) , 251-259 ( 1 9 8 6 )

MOMENTS FOR A RATIO OF CORRELATED GAlM

' A

VARIATES

J . D . Tubbs

Department of K a t h e m a t i c a l S c i e n c e s
U n i v e r s i t y of Arkansas

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Key Words and P h r a s e s :

h y p e r g e o m z t ~ ~fz,nctions;
e
Kwmer's
i d e n t i t y ; bivar<ate g m a
ABSTRACT

T h i s p a p e r c o n s i d e r s t h e f i n i t e i n t e g r a l moments f o r t h e
ratio, R

variables.

X/Y, w h e r e X and Y a r e c o r r e l a t e d gamma d i s t r i b u t e d

An a n a l y t i c a l and n u m e r i c a l c o m p a r i s o n i s g i v e n f o r

two c l a s s e s o f u n d e r l y i n g b i v a r i a t e gamma d i s t r i b u t i o n s .

It is

shown t h a t t h e two b i v a r i a t e gamma s t r u c t u r e s p r o v i d e i d e n t i c a l

e x p r e s s i o n s f o r t h e mth

u n a d j u s t e d moment,

E ( R ~ ) ,i f and o n l y i f

e i t h e r of t h e f o l l o w i n g c o n d i t i o n s h o l d : 1) X and Y a r e u n c o r r e l a t e d o r 2 ) m = 1.

A numerical e v a l u a t i o n i s performed t o d e t e r -

mine t h e e x t e n t t h a t t h e two methods d i f f e r whenever t h e v a r i a bles are correlated.

1.

INTRODULTION
--.- - --

H i s t o r i c a l l y , t h e problem o f d e r i v i n g t h e d i s t r i b u t i o n and
c o r r e s p n n d i n g moments f o r t h e r a t i o of random v a r i a b l e s X a n d Y
h a s b e e n o f b o t h t h e o r e t i c a l and a p p l i e d i n t e r e 5 t f o r o v e r h a l f
a century.

M i e l k e and F l u e c k (1976) p r e s e n t a r e v i e w o f t h e l i t -

erature for several bivariate structures.

Copynpht @ 1986 by Marcel Dekker, Inc.

TUBBS

In this paper the results are restricted to the moments of

positively correlated gamma distributed variates.

Flueck, Holland,

and Lee (1975, 1979) presented some exact distributional results

for the ratio, R, of correlated gamma under the Cherian-David-Fix
bivariate gamma distributional structure. Recently, Tubbs and
Smith (1984) obtained comparable results for R using a special
case of Jensen's bivariate gamma distributional structure.

The

corresponding expressions for the moments of R from the two structures were quite different in their appearance.
This paper investigates the comparison of the respective
finite moments whenever they exist.

This comparison is performed

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both analytically and numerically. In section 2, the results for

each of the specified bivariate gamma structures is reviewed.
Section 3 contains the analytical results for the comparison of
the expressions for the respective moments.

The numerical results

are presented in section 4.

2.
2.1

DISTRZBUTTON
- -- -.- .-AXD
--NPIENTS
-

OF-R-

Cherian-David-Xix-S tructure
The results in this section are found in Lee, Holland, and

Flueck (1979) and llielke and Flueck (1976).

Using the notation

of ?Iielke and Flueck, the probability density function for R

X/Y

where X and Y are positively correlated gamma variates is given b y

where F (a,b,c,d:x,y)
1

(a)m+n(b)m(c)n
C
----------(d),+,m!n!
m,n=O

Y ,/xl<l/ ~ / < l

is a two varlable hypergeometric function [Gradshteyn and Ryzhik

(l967), p. 10531, B(a,b) = r(a)r(b)/r(a+b),

(a),

r(a+n)/r(a),

MOMENTS F O R RATIO O F C O R R E L A T E D GAMMA VARIATES

X

U+P, Y = V+P.

253

U, V, and P a r e independent gamma random v a r i a -

b l e s w i t h common s c a l e p a r a m e t e r X and r e s p e c t i v e shape p a r a m e t e r s

a-5,

B-S,

and S(O<L<min(u,B)).

Under t h i s s t r u c t u r e , i t f o l l o w s

t h a t X and Y a r e gamma random v a r i a b l e s w i t h r e s p e c t i v e shape

p a r a m e t e r s a and 3 and dependence parameter 5 .
and Y a r e i n d e p e n d e n t .

If 5

0 , then X

Furthermore,the c o r r e l a t i o n c o e f f i c i e n t ,

o , can be e x p r e s s e d a s p = c(uB)

-4

In addition, the f i n i t e posi-

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t i v e i n t e g r a l moments of R can b e e x p r e s s e d a s

f o r O < m < B.

2.2

The u s u a l s p e c i a l c a s e s of i n t e r e s t a r e g i v e n a s

Jensen S t r u c t u r e
Tubbs and Smith (1984) c o n s i d e r e d a s p e c i a l c a s e of t h e gen-

e r a l Jensen b i v a r i a t e s t r u c t u r e where p

= p.
That i s , l e t X and
i
Y have a b i v a r i a t e gamma d i s t r i b u t i o n w i t h common s c a l e parameter

X and r e s p e c t i v e shape p a r a m e t e r s a and 9(u~B),and dependency

parameter

= pv%--

= C/o.

The d r n s i t y f u n c t i o n f o r R i s g i v e n

bY

where c
The m

if m

th

(a) j n J / j ! ,

c k = (B-a)*n

k
Ik!.

p o s i t i v e moment of R c a n be w r i t t e n a s

E;

Tubbs and Smith (1984) showed t h a t ( 2 . 5 ) and (2.2) a r e

i d e n t i c a l whenever X and Y a r e i n d e p e n d e n t .

TUBBS

254

The p u r p o s e o f t h i s p a p e r i s t o c o n s i d e r b o t h e x p r e s s i o n s
g i v e n i n e q u a t i o n s ( 2 . 2 ) and ( 2 . 5 ) and d e t e r m i n e u n d e r w h i c h
c o n d i t i o n s t h e two e q n a t i o n s p r o v i d e i d e n t i c a l r e s u l t s .

Consid-

e r i n g e q u a t i o n ( 2 . 5 ) and t h e d e f i n i t i o n and p r o p e r t i e s o f o n e and

two d i m e n s i o n a l h y p e r g e o m e t r i c f u n c t i o n s a l o n g w i t h Kummer's

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i d e n t i t y , e q u a t i o n (2.5) can be r e w r i t t e n a s e i t h e r

Tn o r d e r t o p e r f o r m a c o m p a r i s o n of t h e e x p r e s s i o n f o r t h e
moments g i v e n b y t h e two m r t h o d s , e q u a t i o n ( 2 . 2 ) w i l l b e
rewritten as

f o r some c o e f f i c i e n t s 5 .
j
written a s

F u r t h e r m o r e , e q u a t i o n (2.6)

can be

where

U s i n g u ( 5 ) a n d vrn(C), i t f o l l o w s t h a t t h e two methods a r e i d e n -

t i c a l i f and only i f a

= b. f o r a l l j's.
J

Furthermore, s i n c e

MOMENTS FOR R A T I O OF CORRELATED GAMMA VARIATES

i t f o l l o w s t h a t (2.2)

255

and (2.6) a r e e q u a l i f and o n l y i f h m ( j ) =

..

The above n o t a t i o n w i l l b e used

k (j) for a l l j = O , l , .
,m < B .
m
i n p r o v i n g t h e main r e s u l t s a s summarized i n t h e f o l l o w i n g theorem.
E x p r e s s i o n s f o r t h e mth u n a d j u s t e d p o p u l a t i o n moments

Theorem:
-

f o r R , t h e r a t i o of c o r r e l a t e d gamma v a r i a t e s g i v e n by e q u a t i o n s
(2.2) and ( 2 . 6 ) a r e i d e n t i c a l whenever e i t h e r i ) X and Y a r e

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independent and m
Proof:
-

i)

(0,R) o r i i ) m = 1 f o r B > 1.

I f X and Y a r e independent t h e n 5 = 0 , w h i c h i m p l i e s

t h e e q u a t i o n s (3.1) and (3.2) reduce t o km(0) and h m ( 0 ) , respecFrom equat Ion (3.31,
t i v e l y , f o r any n o n n e g a t i v e i n t e g e r m(m<a )

i t f o l l o w s t h a t h,(O)

= ( U ) ~ ( R ) - ~By
. c o n s i d e r i n g um ( 5 ) i n equa-

t i o n (3.1) and n o t i n g t h a t (a-5).(5),j

J
j = 0 , 1 , 2 , . . .m-1 and t h a t ( a - 5 ) . ( s ) , ~
J
5 = 0, hence

I f m = 1 and

= 0 if

= 0 and

for j

m and

> 0 t h e n e q u a t i o n s ( 2 . 2 ) and ( 2 . 6 ) a r e iden-

t i c a l i f and o n l y if h l ( j ) = k l ( j ) f o r j
(3.3) t h a t
hl(0) = ~ I R - 1
h l,( l ) =
From (3.5) i t f o l l o w s t h a t

B(D-~).

0,l.

It f o l l o w s from

256

TUBBS

S i n c e ( x ) ~= 1 and ( x ) ~= x , i t i s e a s i l y shown t h a t

ii)

Suppose t h a t 1 < m < B and t h a t 5 > 0.

The two expres-

s i o n s a r e i d e n t i c a l whenever k m ( j ) = h m ( j ) f o r j = 1 , 2 , .

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C o n s i d e r t h e c a s e where j = m.

. .,m .

Again from ( 3 . 3 ) i t f o l l o w s t h a t

I n c o n s i d e r i n g km(m) from e q u a t i o n ( 3 . 5 ) , i t is s u f f i c i e n t t o conm

s i d e r t h e c o e f f i c i e n t 5 i n t h e expansion (a-5) . (5 )
f o r any
J
m-j
fixed j.
S i n c e t h i s c o e f f i c i e n t i s always ( - I ) ' , it f o l l o w s
that

I n c o n s i d e r i n g e q u a t i o n s ( 3 . 7 ) and ( 3 . 8 ) , one o b s e r v e s t h a t
k (m) i s a f u n c t i o n of t h e parameter a v ~ h e r e a s hm(m) i s indepenm
d e n t of a . Hence, e q u a t i o n s ( 2 . 2 ) and ( 2 . 6 ) a r e n o t i d e n t i c a l
f o r a r b i t r a r y p a r a m e t e r s a and 6.
The above theorem g i v e s n e c e s s a r y and s u f f i c i e n t c o n d i t i o n s
f o r t h e two methods t o p r o v i d e i d e n t i c a l r e s u l t s .

The n e x t

s e c t i o n c o n s i d e r s a comparison of t h e two methods whenever t h e

methods d i f f e r .

The comparison i s made u s i n g a n u m e r i c a l e v a l -

u a t i o n of t h e two methods f o r a s e l e c t e d s u b s e t of t h e parameter

space.

4.

NUMERICAL EVALUATE

In t h i s s e c t i o n , e q u a t i o n s (2.2) and (2.6) a r e e v a l u a t e d

n u m e r i c a l l y u s i n g a s e l e c t e d s u b s e t of t h e p a r a m e t e r s p a c e .

MOMENTS FOR RATIO OF CORRELATED GAMMA VARIATES

METHOD 1

METHOD 2

4
0.25
0 . 16

l-I . 1
14
0.05

1 .@0
(1.67
0. 36
0.20

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8.75
5.41

3.19
1.79

I .3l
0.96
0.63
0.49
0.42

0.33
0.26
0.20
t o . 10
0 . OH

0. 07
0.116

2 .ti2

2 (:I8
1.64

1.28

.60

0.52
0.44

O. 3 8
I .87
1.60
1.37
1.17

258

TUBBS

T a b l e 1 summarizes t h e f i r s t f o u r u n a d j u s t e d p o p u l a t i o n moments.
Method 1 r e f e r s t o e q u a t i o n ( 2 . ~ )and Method 2 r e f e r s t o equat i o n (2.6).
From T a b l e 1, one o b s e r v e s t h a t t h e h i g h e r u n a d j u s t e d
moments a r e d i f f e r e n t f o r t h e two methods whenever t h e v a r i a b l e s
X and Y a r e c o r r e l a t e d .
i n t h e f i r s t two moments.

However, t h e r e i s v e r y l i t t l e d i f f e r e n c e
From t h e t a b l e one a l s o o b s e r v e s t h a t

t h e u n a d j u s t e d moments a r e s i g n i f i c a n t l y a f f e c t e d by t h e p r e s e n c e
of c o r r e l a t i o n .

T h i s phenomenon was o b s e r v e d by F l u e c k a n d

H o l l a n d (1976) i n e s t i m a t i n g t h e moments of r a t i o s u s i n g r a i n f a l l data.

Although t h e e x p r e s s i o n s f o r t h e s e moments a r e func-

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t i o n s o f which b i v a r i a t e gamma was u s e d t h e r e s u l t s are q u i t e comp a r a b l e u s i n g e i t h e r method.

5.

CONCLUSIONS AND SUMNARY

E x p r e s s i o n s f o r t h e p o s i t i v e i n t e g r a l moments a r e g i v e n f o r
t h e r a t i o of c o r r e l a t e d gamma d i s t r i b u t e d v a r i a b l e s .
l y i n g b i v a r i a t e gamma s t r u c t u r e s w e r e c o n s i d e r e d .

Two under-

It was shown

t h a t t h e two s t r u c t u r e s p r o v i d e i d e n t i c a l r e s u l t s f o r a l l f i n i t e
moments whenever t h e v a r i a b l e s a r e u n c o r r e l a t e d and a r e o n l y
i d e n t i c a l f o r t h e f i r s t moment whenever t h e v a r i a b l e s a r e
correlated.

A numerical evaluation f o r a s e l e c t e d subset of t h e

p a r a m e t e r s p a c e i n d i c a t e d t h a t a l t h o u g h t h e h i g h e r moments do
d i f f e r a c c o r d i n g t o t h e method u s e d , t h e d i f f e r e n c e s a r e p r o b a b l y
i n s i g n i f i c a n t f o r most a p p l i c a t i o n s .
Both methods r e v e a l t h e s i g n i f i c a n t e f f e c t t h a t c o r r e l a t i o n
h a s upon t h e p o p u l a t i o n moments.

Hence, b o t h methods r e i n f o r c e

t h e need f o r e x a c t d i s t r i b u t i o n a l r e s u l t s f o r t h e r a t i o o f gamma
d i s t r i b u t e d v a r i a b l e s a s i n d i c a t e d i n t h e s t u d y of r a i n f a l l o r
r a i n s e e d i n g e x p e r i m e n t s a s g i v e n i n F l u e c k a n d H o l l a n d (1976).
6.

BIBLIOGRAPHY

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of two p o s i t i v e q u a d r a t i c f o r m s i n n o r m a l v a r i a t e s . Commun.
S t a t i s t . - S i m u l a . Computa., 10,503-516.

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259

G r a d s h t e y n , I . S. and R y s h i k , I. M . , (1965). T a b l e s o f I n t e g r a l s ,
S e r i e s , and P r o d u c t s . New York: Academic P r e s s .
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F l u e c k , J . A . , H o l l a n d , B . S . , a n d L e e , R., ( 1 9 7 5 ) . D i s t r i b u t i o n
of t h e r a t i o of c o r r e l a t e d sums of gamma v a r i a b l e s . Proc.
S o c i a l S c i e n c e S e c t i o n , ASA, Washington, D . C . , pp. 285-291.

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SIAM J.

d i e l k e , P. IJ. a n d F l u e c k , J. A , , ( 1 9 7 6 ) . D i s t r i b u t i o n s of
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Received Januahq, 198 5; Revdined Septernbeh, 19ti5.