On the probability density function of the Hartman-Watson distribution
Abstract
The Hartman-Watson distribution arises in many areas of applied probability. But its probability density function is difficult to compute. Recently, [13] 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; Laplace-Mellin transform; parabolic cylinder function
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PDFISSN: 1331-0623 (Print), 1848-8013 (Online)