| Abstract: | It is the aim of this note to point out that the double gamma difference distribution recently introduced by Augustyniak M, and Doray, LG. Inference for a leptokurtic symmetric family of distributions represented by the difference of two gamma variables. J Statist Comput Simul. 2012;82:1621–1634] is well known in financial econometrics: it is the symmetric variance gamma family of distributions. We trace back to the various origins of this distribution. In addition, we consider in some detail the difference of two independent gamma distributed random variables with different shape parameters. |
