Scribd
Upload
124 views4 pages

2.2 The Gamma Distribution

The document discusses the gamma distribution and some of its key properties. It defines a gamma random variable X as having a probability density function with shape parameter m and scale parameter β. Some examples of phenomena that can be modeled by gamma distributions include lifetimes and amounts accumulated over time. The document proves several propositions about gamma distributions, such as that the mean is mβ, variance is mβ^2, and the sum of independent gamma random variables follows specific distribution parameters.

Uploaded by

Morrizon Rdz
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOC, PDF, TXT or read online on Scribd
124 views4 pages

2.2 The Gamma Distribution

The document discusses the gamma distribution and some of its key properties. It defines a gamma random variable X as having a probability density function with shape parameter m and scale parameter β. Some examples of phenomena that can be modeled by gamma distributions include lifetimes and amounts accumulated over time. The document proves several propositions about gamma distributions, such as that the mean is mβ, variance is mβ^2, and the sum of independent gamma random variables follows specific distribution parameters.

Uploaded by

Morrizon Rdz
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOC, PDF, TXT or read online on Scribd
You are on page 1/ 4

2.

2 The Gamma Distribution

In this section we look at some of the basic properties of gamma random variables; see
Hogg and Tanis [6].

A random variable X is said to have a gamma distribution with parameters m > 0 and
 > 0 if its probability density function has the form

(1) f(t) = f(t; m,) =

In this case we shall say X is a gamma random variable with parameters m and  and
write X ~ (m,). Sometimes m is called the shape parameter and  the scale parameter.
In general, m might not be an integer.

Gamma random variables are used to model a number of physical quantities. Some
examples are
1. The time it takes for something to occur, e.g. a lifetime or the service time
in a queue.
2. The rate at which some physical quantity is accumulating during a certain
period of time, e.g. the excess water flowing into a dam during a certain
period of time due to rain or the amount of grain harvested during a certain
season.

Sometimes it is convenient to use  = 1/ as a parameter instead of . The pdf then has
the form

(2) f(t) = f(t; m,) =

for t > 0. We shall also write X ~ (m,1/) in this case. It should be clear from the
context whether f(t; m,) or f(t; m,) stands for (1) or (2).

Proposition 1. If m > 0 and  > 0 then

(3) = 1

which confirms that f(t) defined by (1) is a valid density function.

2.2 - 1
Proof. = = 1 since  (m) = . 

Proposition 2. If X has a gamma distribution with parameters m and , then the mean of

X is

(4) X = E(X) = = m

Proof. = = m = m = m where we have used  (m+1) = m (m) and (3). 

Proposition 3. If X has a gamma distribution with parameters m and , then the

expected value of X2 is

(5) E(X2) = = m(m+1)2

The variance of X is

(6) (X)2 = E((X - X)2) = m2

The standard deviation of X is

(7) X = 

Proof. = = m(m+1)2 = m(m+1)2 = m(m+1)2 where we have used  (m+2) =

m(m+1) (m) and (3). This proves (5). Since E((X - X)2) = E(X2) - X2 the formula (6)

follows from (4) and (5). (7) follows from (6). 

Proposition 4. If f(t) is given by (1) then for t > 0 one has

(8) f '(t) =

(9) f(t) has a single local maximum at t = (m - 1) if m > 1.

(10) f(t) is strictly decreasing for t > 0 if m  1

Proof. (8) is a straightforward computation and (9) and (10) follow from (8). 

2.2 - 2
Proposition 5. Assume X has a gamma distribution with parameters m and  and let

Y = cX for some positive number c. Then Y has a gamma distribution with parameters m

and c.

Proof. If f(t) given by (1) is the density function of X then the density function of Y is

(1/c)f(t/c) =

which is equal to f(t; m,c). 

Proposition 5. If X and Y are independent gamma random variables and X has

parameters m and  and Y has parameters q and , then X + Y is a gamma random

variable with parameters m + q and .

Proof. We first show that


(12) = B(m, q)

where

(12) B(m, q) = = 2

is the beta function. To see this first note that  (m) (q) = . Make the change of
variables r = t + s and u = t/(t+s). Then t = ru and s = r(1-u) and dsdt = rdudr and the first
quadrant in the st-plane gets mapped into the strip {(r,u): 0 < r < , 0 < u < 1}. So
 (m) (q) = =  (m +q ) and (12) follows. Next we show that
(13) * =

To see this note that tm-1 * tq-1 = . Make the change of variables s = tu. We get tm-1 * tq-1
= = and (13) follows. It follows from (11) and (13) that
f(t; m,) * f(t; q,) = * = = f(t; m+q,)

and the propostion follows. 

2.2 - 3
Proposition 6. If X has a gamma distribution with parameters m and  = 1/, then the

Laplace transform L(s) and moment generating function M(r) of X are given by

(14) L(s) = =
(15) M(r) = =
Proof. One has
L(s) = [ (m)]-1 = [ (m)]-1
If one makes the change of variables u = (s + 1/)t one obtains
L(s) = [ (m)]-1
= (1/(1 + s))m[ (m)]-1 =
This proves (14). (15) follows from the (14) and the fact that M(r) = L(-r). 

Let
(16) G(t) = G(t;m,) = =
be the cummulative distribution function of the gamma random variable X ~ (m,) and
let
(17) H(t) = H(t;m,) = 1 - G(t) =
be the complementary distribution function (or survival function). Let
(18) m(t) =
be the upper incomplete gamma function and
(19) m(t) =
be the lower incomplete gamma function.

Proposition 7.

(20) G(t;m,) =

(21) H(t;m,) =

Proof. (20) follows by making the change of variables u = s/ in (16) and (21) follows
by making the change of variables u = s/ in (17). 

2.2 - 4

You might also like

pFad - Phonifier reborn

Pfad - The Proxy pFad of © 2024 Garber Painting. All rights reserved.

Note: This service is not intended for secure transactions such as banking, social media, email, or purchasing. Use at your own risk. We assume no liability whatsoever for broken pages.


Alternative Proxies:

Alternative Proxy

pFad Proxy

pFad v3 Proxy

pFad v4 Proxy