Analytically Computing the Moments of a Conic Combination of Independent Noncentral Chi-Square Random Variables and Its Application for the Extended Cox–Ingersoll–Ross Process with Time-Varying Dimension
Sanae Rujivan, Athinan Sutchada, Kittisak Chumpong, Napat Rujeerapaiboon • Mathematics
(2023)
This paper focuses mainly on the problem of computing the γth, γ>0, moment of a random variable Yn:=∑i=1nαiXi in which the αi’s are positive real numbers and the Xi’s are independent and distributed according to noncentral chi-square distri...
DOAJ
Open Access (DOAJ)
DOI:
10.3390/math11051276