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The moments and central moments of a compound distribution
Linköping University, Department of Management and Engineering, Production Economics. Linköping University, The Institute of Technology.
Linköping University, Department of Production Economics. Linköping University, The Institute of Technology.
2005 (English)In: European Journal of Operational Research, ISSN 0377-2217, Vol. 170, no 1, 106-119 p.Article in journal (Refereed) Published
Abstract [en]

The compound distribution is of interest for the study of production/inventory problems, since it provides a flexible description of the stochastic properties of the system. However, due to the difficulties involved in obtaining analytical results for the compound distribution, studies are usually limited to searching for a good approximation by replacing a more complex model with a simpler one applying only the first few moments as parameters. This paper presents general closed form formulae for the moments and central moments of any order of a compound distribution made up of non-negative stochastic variables. The Laplace and z-transform methods play an important role in this study. The importance of taking into consideration higher-order moments, when computing a safety factor for inventory control, is illustrated in a numerical example. © 2004 Elsevier B.V. All rights reserved.

Place, publisher, year, edition, pages
2005. Vol. 170, no 1, 106-119 p.
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Engineering and Technology
Identifiers
URN: urn:nbn:se:liu:diva-36484DOI: 10.1016/j.ejor.2004.06.012Local ID: 31434OAI: oai:DiVA.org:liu-36484DiVA: diva2:257332
Available from: 2009-10-10 Created: 2009-10-10 Last updated: 2012-02-10

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Grubbström, Robert W.Tang, Ou

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