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Prob 3303

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8 views1 page

Prob 3303

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Uploaded by

Haoxin Chen
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Density and the CDF for Gamma random variables with parameters λ and r

The density for such a Gamma random variable is


λr
fX (x) = xr−1 e−λx ,
(r − 1)!

for x > 0, and fX (x) = 0 otherwise.


Notice that in the r = 1 case, we just have fX (x) = λe−λx just like it was for Exponential
random variables, because a Gamma random variable with r = 1 is exactly an Exponential
random variable. So the r = 1 case has to agree.
What about the CDF of a Gamma random variable? It is
r−1
X (λx)j
FX (x) = 1 − e−λx ,
j=0
j!

for x > 0, and FX (x) = 0 otherwise.


Again, let’s check the r = 1 case. If r = 1, then the CDF is FX (x) = 1 − e−λ x, and this
agrees exactly with the CDF of an Exponential random variable, as it must, because again,
a Gamma random variable with parameter r = 1 is exactly an Exponential random variable.
Also the expected value of a Gamma random variable must be the sum of r copies the
expected value of an Exponential random variable. In other words, if X is a Gamma random
variable with parameters λ and r, then X has the same distribution as X1 + X2 + · · · + Xr ,
where the Xj ’s are independent Exponential random variables. Therefore

1 1 1 r
E(X) = E(X1 + X2 + · · · + Xr ) = E(X1 ) + E(X2 ) + · · · + E(Xr ) = + + ··· + = .
λ λ λ λ
Similarly, since the Xj ’s are independent random variables (now we need the independence),
we can also compute:
1 1 1 r
V ar(X) = V ar(X1 +X2 +· · ·+Xr ) = V ar(X1 )+V ar(X2 )+· · ·+V ar(Xr ) = 2
+ 2 +· · ·+ 2 = 2 .
λ λ λ λ

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