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α = k and an inverse scale parameter β = 1/θ, called a

The gamma distribution is a two-parameter family of continuous probability distributions that includes the exponential and chi-squared distributions as special cases. It has three common parametrizations using shape and scale or shape and inverse scale parameters, with both parameters being positive real numbers. The gamma distribution is frequently used to model waiting times such as time until death in life testing.

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Saleh Rehman
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69 views

α = k and an inverse scale parameter β = 1/θ, called a

The gamma distribution is a two-parameter family of continuous probability distributions that includes the exponential and chi-squared distributions as special cases. It has three common parametrizations using shape and scale or shape and inverse scale parameters, with both parameters being positive real numbers. The gamma distribution is frequently used to model waiting times such as time until death in life testing.

Uploaded by

Saleh Rehman
Copyright
© © All Rights Reserved
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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n probability theory and statistics, the gamma distribution is a two-parameter family of

continuous probability distributions. The common exponential distribution and chi-squared


distribution are special cases of the gamma distribution. There are three
different parametrizations in common use:
1. With a shape parameter k and a scale parameter .
2. With a shape parameter = k and an inverse scale parameter = 1/, called a rate
parameter.
3. With a shape parameter k and a mean parameter = k/.
In each of these three forms, both parameters are positive real numbers.
The parameterization with k and appears to be more common in econometrics and certain
other applied fields, where e.g. the gamma distribution is frequently used to model waiting
times. For instance, in life testing, the waiting time until death is a random variable that is
frequently modeled with a gamma distribution.
[1]

The parameterization with and is more common in Bayesian statistics, where the
gamma distribution is used as a conjugate prior distribution for various types of inverse
scale (aka rate) parameters, such as the of an exponential distribution or aPoisson
distribution or for that matter, the of the gamma distribution itself. (The closely
related inverse gamma distributionis used as a conjugate prior for scale parameters, such
as thevariance of a normal distribution.)

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