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Multivariate gamma distributions. (English) Zbl 1321.60023
Summary: A representation is given for a large class of \(n\)-dimensional multivariate gamma random variables as defined by D. Vere-Jones [N. Z. J. Math. 26, No. 1, 125–149 (1997; Zbl 0879.15003)]. In particular, the probability density functions of all 2-dimensional gamma random variables are given explicitly and it is shown how to obtain the probability density functions of all 3-dimensional gamma random variables.

MSC:
60E07 Infinitely divisible distributions; stable distributions
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