A multivariate gamma distribution arising from a Markov model

A Markov chain{X _t }, which has been useful for modelling in hydrology, can be specified by the Laplace transform (LT) of the conditional p.d.f. ofX _t+1 givenX _t =x _t , which is assumed to be of the exponential formH()exp{-G()x _t }. For appropriate choice ofH andG the marginal distribution ofX _t is the (univariate) gamma distribution. In this case, the joint p.d.f. ofX _t +1,...,X _t+n and its LT, are obtained, and this is extended to a seasonal version of the chain. A simple method of generating observations from these multivariate gamma distributions is noted, and the joint LT is applied to the problem of determining moments of weighted sums of such variables.