[R] convolution of the double exponential distribution

Erich Neuwirth erich.neuwirth at univie.ac.at
Fri Dec 23 18:23:41 CET 2005

Mathematica says

Assuming[q âˆˆ Reals && q > 0, Integrate[(q + x)^n*Exp[-2*x], {x, 0,

2^(-1 - n)*Exp[2*q]*Gamma[1 + n, 2*q]

and 2-argument Gamma is the incomplete Gamma function
(integration starting at 2*q)

Duncan Murdoch wrote:
> On 12/22/2005 7:56 PM, Bickel, David wrote:
>>Is there any R function that computes the convolution of the double
>>exponential distribution?
>>If not, is there a good way to integrate ((q+x)^n)*exp(-2x) over x from
>>0 to Inf for any value of q and for any positive integer n? I need to
>>perform the integration within a function with q and n as arguments. The
>>function integrate() is giving me this message:
>>"evaluation of function gave a result of wrong length"
> Under the substitution of y = q+x, that looks like a gamma integral. 
> The x = 0 to Inf range translates into y = q to Inf, so you'll need an 
> incomplete gamma function, such as pgamma.  Be careful to get the 
> constant multiplier right.
> Duncan Murdoch
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Erich Neuwirth, University of Vienna
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