Outline

Gamma Distribution
Exponential Distribution
Other Distributions
Exercises

Chapter 4 - Lecture 4
The Gamma Distribution and its Relatives
Andreas Artemiou

Novemer 2nd, 2009

Andreas Artemiou

Chapter 4 - Lecture 4 The Gamma Distribution and its Relative

Outline
Gamma Distribution
Exponential Distribution
Other Distributions
Exercises

Gamma Distribution
Gamma function
Probability distribution function
Moments and moment generating functions
Cumulative Distribution Function
Exponential Distribution
Definition
Moments, moment generating function and cumulative
distribution function
Other Distributions
Exercises

Andreas Artemiou

Chapter 4 - Lecture 4 The Gamma Distribution and its Relative

Outline
Gamma Distribution
Exponential Distribution
Other Distributions
Exercises

Gamma function
Probability distribution function
Moments and moment generating functions
Cumulative Distribution Function

Gamma Function
I

In this lecture we will use a lot the gamma function.

For > 0 the gamma function is defined as follows:

Z
() =
x 1 e x dx
0

Properties of gamma function:

I
I
I

() = ( 1)( 1)
For
n, (n) = (n 1)!
 integer


=
2

Andreas Artemiou

Chapter 4 - Lecture 4 The Gamma Distribution and its Relative

Outline
Gamma Distribution
Exponential Distribution
Other Distributions
Exercises

Gamma function
Probability distribution function
Moments and moment generating functions
Cumulative Distribution Function

Gamma Distribution

If X is a continuous random variable then is said to have a

gamma distribution if the pdf of X is:

1
1
e ,x 0
f (x; , ) = () x

0,
otherwise

If = 1 then we have the standard gamma distribution.

Andreas Artemiou

Chapter 4 - Lecture 4 The Gamma Distribution and its Relative

Outline
Gamma Distribution
Exponential Distribution
Other Distributions
Exercises

Gamma function
Probability distribution function
Moments and moment generating functions
Cumulative Distribution Function

Mean, Variance and mgf

Mean: E (X ) =

Variance: var(X ) = 2
1
Mgf: MX (t) =
(1 t)

Andreas Artemiou

Chapter 4 - Lecture 4 The Gamma Distribution and its Relative

Outline
Gamma Distribution
Exponential Distribution
Other Distributions
Exercises

Gamma function
Probability distribution function
Moments and moment generating functions
Cumulative Distribution Function

Cumulative Distribution Function

I

When X follows the standard Gamma distribution then its cdf

is:
Z x 1 y
y
e
dy , x > 0
F (x; ) =
()
0

This is also called the incomplete gamma function

If X (, ) then:

F (x; , ) = P(X x) = F

Andreas Artemiou

x
;

Chapter 4 - Lecture 4 The Gamma Distribution and its Relative

Outline
Gamma Distribution
Exponential Distribution
Other Distributions
Exercises

Gamma function
Probability distribution function
Moments and moment generating functions
Cumulative Distribution Function

Example 4.27 page 193

Andreas Artemiou

Chapter 4 - Lecture 4 The Gamma Distribution and its Relative

Outline
Gamma Distribution
Exponential Distribution
Other Distributions
Exercises

Definition
Moments, moment generating function and cumulative distributi

Exponential Distribution

The exponential distributionis a special

case of Gamma. That

1
is if: X Exp() X 1,

If X is a continuous random variable is said to have an

exponential distribution with parameter > 0 if the pdf of X
is:
(
e x , x > 0
f (x; ) =
0, otherwise

Andreas Artemiou

Chapter 4 - Lecture 4 The Gamma Distribution and its Relative

Outline
Gamma Distribution
Exponential Distribution
Other Distributions
Exercises

Definition
Moments, moment generating function and cumulative distributi

Mean, Variance mgf and cdf

Mean: E (X ) =

Variance: var(X ) =

1
2
1

Mgf: MX (t) = 
1
1 t

x
F (x) = 1 e
,x 0

Andreas Artemiou

Chapter 4 - Lecture 4 The Gamma Distribution and its Relative

Outline
Gamma Distribution
Exponential Distribution
Other Distributions
Exercises

Definition
Moments, moment generating function and cumulative distributi

Example 4.28 page 195

Andreas Artemiou

Chapter 4 - Lecture 4 The Gamma Distribution and its Relative

Outline
Gamma Distribution
Exponential Distribution
Other Distributions
Exercises

Other useful distributions

Chi - square distribution

t distribution

F distribution

Log - normal distribution

Beta distribution

Weibull distribution

Andreas Artemiou

Chapter 4 - Lecture 4 The Gamma Distribution and its Relative

Outline
Gamma Distribution
Exponential Distribution
Other Distributions
Exercises

Exercises

Section 4.4 page 197

I

Exercises 69, 70, 71, 72, 73, 74, 75, 76, 78, 80, 81

Andreas Artemiou

Chapter 4 - Lecture 4 The Gamma Distribution and its Relative