The H-Function and Probability Density Functions of Certain Algebraic Combinations of Independent Random Variables with H-Function Probability Distribution

摘要

A practical technique is presented for determining the exact probability density function and cumulative distribution function of a sum of any number of terms involving any combination of products, quotients, and powers of independent random variables with H-function distributions. The H-function is the most general named function, encompassing as special cases most of the other special functions of mathematics and many of the classical statistical distributions. Its unique properties make it a powerful tool for statistical analysis. In particular, the product, quotient, and powers of independent H-function variates are also H-function variates, and the Laplace and Fourier transforms and the derivatives of an H-function are readily-determined H-functions. This dissertation provides background material, including history on H-functions and the algebra of random variables and definition, properties and special cases of the H-function. For determining whether convergence of a general Mellin-Barnes integral or an H-function occurs with left-half-plane versus right-half-plane summation of residues, evaluation guidelines are formally established and applied to the known special cases, the Laplace transform, and the derivatives of the H-function. Then, a new, improved formulation for evaluation of an H-function by summing residues is derived.