Original scientific paper

On the probability density function of the Hartman-Watson distribution

Tibor Pogány orcid.org/0000-0002-4635-8257 ; Faculty of Maritime Studies, University of Rijeka, Rijeka, Croatia
Saralees Nadarajah ; Department of Mathematics, University of Manchester, Manchester, UK

Abstract

The Hartman-Watson distribution arises in many areas of applied probability. But its probability density function is difficult to compute. Recently, [14] gave the first two terms of its asymptotic expansion. Here, we derive the probability density function and a full asymptotic expansion in computable forms.

Keywords

Computable series representation, Hartman-Watson distribution, LaplaceMellin transform, parabolic cylinder function

Hrčak ID:

275696

URI

https://hrcak.srce.hr/275696

Publication date:

28.4.2022.

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