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Gamma Distribution

Brief description of gamma distribution and derivation of moment generating function, first few moments, PDF and CDF

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Varun Munjal
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291 views

Gamma Distribution

Brief description of gamma distribution and derivation of moment generating function, first few moments, PDF and CDF

Uploaded by

Varun Munjal
Copyright
© Attribution Non-Commercial (BY-NC)
Available Formats
Download as PDF, TXT or read online on Scribd
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EN202

SU13

Homework 1
08/07/2013

Varun Munjal
504109452

Gamma Distribution
Introduction
Gamma distribution is a two parameter probability model used in situations where the time gap between events is irrelevant. Events that follow Poisson statistics are a good example of such distributions. E.g. to model the amount of rain drops collected at a certain time given that the arrival of rain drops follow Poisson statistics.

Probability Density Function


For a random variable X, and parameters k and , the probability density function of a Gamma distribution is given by: , Where,

1 / k

k = number of occurrences of an event, also known as the shape factor (k) = (k-1)! Is the Gamma function = = mean number of events per time unit = 1/, where is the mean time between events. Also known as the scaling factor

Normalization
For positive values of k and , the probability density function of the Gamma distribution is properly normalized Proof: Find the integral from 0 to of the probability density function.

Replace gamma function with its actual definition:

Substitute / in the numerator


Which is simply:

=1 This proves that the probability density function is properly normalized.

Special cases
Relationship with Chi-square distribution Chi square distribution for a random variable Y for n degrees of freedom is given by:
n 2

In the gamma distribution function, Substituting k = n/2 and = 2

1 , 2 / n 2 2 2

So it can be seen that Gamma distribution is the same as Chi sq distribution for k = n/2 and = 2 Relationship with Exponential Distribution: A generic exponential distribution function for random variable Y with parameter is given by: 1 /

In the gamma distribution function, Substituting k = 1 and = 1, 1 1 /

1,

So it can be seen that Gamma distribution is the same as exponential distribution for k = 1 and =

1 /

Cumulative Distribution
The cumulative distribution function of the gamma distribution is the integral: , , Substitute x = t. The above integral reduces to: , ,
1 k

, ,

Where is called the incomplete gamma function.

There is no closed form solution for the cumulative distribution and can be evaluated numerically by using GAMMADIST function in MS Excel. Usage: , , , false , , , true

Examples:

Probability Density Function


0.3

=3
0.25 0.2 f(x) 0.15 0.1 0.05 0 0 5 10 15 X 20 25 30 35 k=1 k=2 k=3

One can see that for k=1, the distribution is exponential

Cumulative Distribution Function


1.2

0.8

f(x)

0.6

k=1 k=2

0.4

k=3

0.2

0 0 5 10 15 X 20 25 30 35

Reliability function
The reliability function is evaluated using MS Excel. 1 , , , true

Failure function
Failure function is evaluated using MS Excel. , , , true

Failure rate

, , , false 1 , , , true

Inverse function
The probability density function can be found by computing the inverse of the failure function. , ,

Moment generating function


The moment generating function can be derived by evaluating the integral: , ,

Substitute , ,

, ,

, ,

1 / / k k1 y

Then,

, ,

The integral is same as the gamma function. Therefore, , ,

1 1 y

1 1 y

Higher order moments


First moment: Differentiate the moment generating function with respect to y once and set y = 0.

Mean:

Median:

Since the cumulative distribution function has no closed form, the median expression does not have a closed form either. It can be evaluated using MS Excel Mode: Differentiate the probability density function f(x) with respect to x and find the maxima. 0 k 1 0 k 1

For k =1, the distribution is exponential.

For k >1,

Second moment:

Differentiate the moment generating function with respect to y twice and set y = 0. 1

Variance:

Third moment: Differentiate the moment generating function with respect to y three times and set y = 0. 1 2

Skewness:

1 3 2 2

Since k is always positive, the gamma distribution function is always positively skewed

Independent Gamma distributions


Sum of n independent Gamma distributions can be shown to be Gamma distributed if they have the same scaling parameter . Proof: The moment generating function for n independent Gamma distributions with shape parameters k1, k2, k3 kn is the product of the individual moment generating functions. Let M(y,k) be the product. , 1 1 1 . 1 1 1 1 1

which is of the same form as the moment generating function of a Gamma distribution. The shape factor of the sum of n independent gamma distributions with the same scaling factor is the sum of the individual shape factors.

References
1. Richard J Larsen, Morris L Marx (1986). Mathematical Statistics and its Applications, PrenticeHall, Chapter 4, pages 226-229 2. C. Radhakrishna Rao (1952). Advanced Statistical Methods in Biometric Research, Wiley, Chapter 2, pages 40-41 3. Robert V. Hogg, Joseph W. McKean, Allen Thornton Craig (2005). Introduction to Mathematical Statistics, Pearson Education, Chapter 2 4. Christian Walck (2007). Hand-book on Statistical Distributions for Experimentalists, University of Stockholm, Chapter 17, pages 69-71 5. Wikipedia, http://en.wikipedia.org/wiki/Gamma_distribution

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