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Lecture 15

This document discusses the gamma and exponential distributions. It defines the gamma distribution using its probability density function and defines key parameters. Properties of the gamma distribution include its mean, variance, and relationship to the exponential distribution which is a special case. Examples are provided to demonstrate calculating probabilities for these distributions.

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Harshvardhan Mittal
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14 views24 pages

Lecture 15

This document discusses the gamma and exponential distributions. It defines the gamma distribution using its probability density function and defines key parameters. Properties of the gamma distribution include its mean, variance, and relationship to the exponential distribution which is a special case. Examples are provided to demonstrate calculating probabilities for these distributions.

Uploaded by

Harshvardhan Mittal
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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MATH F113: Probability & Statistics

Anupama Sharma

Department of Mathematics,
BITS PILANI K K Birla Goa Campus, Goa

Semester I, 2023-24
Gamma distribution

Gamma function: For ↵ > 0, the gamma function (↵) is defined


as
Z1
(↵) = x ↵ 1 e x dx. (1)
0

Some important properties of functions:

1. (1) = 1.

2. For any ↵ 1, (↵) = (↵ 1) (↵ 1).

3. For any positive integer, n, (n) = (n 1)!


p
4. (1/2) = ⇡.
Gamma distribution

Definition: A continuous random variable X is said to have


gamma distribution if the pdf of X is
(
1 ↵ 1 e x/
(↵) ↵ x x 0
f (x; ↵, ) = .
0, otherwise

where the parameters ↵ and satisfy ↵ > 0, > 0.


Gamma distribution

Definition: A continuous random variable X is said to have


gamma distribution if the pdf of X is
(
1 ↵ 1 e x/
(↵) ↵ x x 0
f (x; ↵, ) = .
0, otherwise

where the parameters ↵ and satisfy ↵ > 0, > 0. The standard


gamma distribution has = 1, so the pdf of a standard gamma rv
is given by,
(
1 ↵ 1e x
(↵) x x 0
f (x; ↵) = .
0, otherwise

If X follows gamma distribution with parameters ↵ and , we write


X ⇠ (↵, ).
Gamma distribution
Gamma distribution
Theorem: Let X be a gamma random variable with parameters ↵
and . Then,
mX (t) = (1 t) ↵ with t < 1/ ,
E [X ] = ↵ , Var [X ] = ↵ 2.
Gamma distribution
Gamma distribution
Gamma distribution
Definition: When X is a standard gamma r.v., the cdf of X ,
Z x ↵ 1 y
y e
F (x; ↵) = dy x >0
0 (↵)

is called Incomplete gamma distribution.


Gamma distribution
Definition: When X is a standard gamma r.v., the cdf of X ,
Z x ↵ 1 y
y e
F (x; ↵) = dy x >0
0 (↵)

is called Incomplete gamma distribution.

Example: Let a X r.v. follows standard gamma distribution with


↵ = 2, then

P(3  X  5) = F (5; 2) F (3; 2)


Gamma distribution
Gamma distribution

Proposition: Let X have a gamma distribution with parameter ↵


and , then for any x > 0 the cdf of X is given by,
x
P(X  x) = F (x; ↵, ) = F ;↵

where F ( · ; ↵) is incomplete gamma distribution.


Gamma distribution
Example: Suppose that when a transistor of a certain type is
subjected to an accelerated life test, the lifetime X (in weeks) has
a gamma distribution with mean 24 weeks and standard deviation
12 weeks. What is the probability that a transistor will last
between 12 and 24 weeks? What is the probability that a transistor
will last at most 24 weeks?
Gamma distribution
Exercise: Prove that
1. Let X1 ⇠ (↵1 , ) and X2 ⇠ (↵2 , ). X1 , X2 are
independent. Then,

X1 + X2 ⇠ (↵1 + ↵2 , ).

2. Let X ⇠ (↵, ). Let k > 0 and Y = kX . Then,

Y ⇠ (↵, k ).
Exponential distribution
distribution with ↵ = 1 and = 1/
Exponential distribution
distribution with ↵ = 1 and = 1/
Definition: A random variable X is said to have exponential
distribution with parameter ( > 0) if the pdf of X is
(
e x for x 0,
f (x; ) =
0 otherwise.
Exponential distribution
distribution with ↵ = 1 and = 1/
Definition: A random variable X is said to have exponential
distribution with parameter ( > 0) if the pdf of X is
(
e x for x 0,
f (x; ) =
0 otherwise.
Exponential distribution

Theorem: Let X be a gamma random variable with parameters ↵


and . Then,
mX (t) = (1 t/ ) 1 with t< ,
1 1
E [X ] = , Var [X ] = 2 .

Theorem: The cdf of F (x; ) of exponential r.v. is given by


(
1 e x for x 0,
P(X  x) = F (x; ) =
0 otherwise.

Note that, Z Z
1 1
x
f (x; ) = e dx = 1
0 0
Exponential distribution

Example: Suppose that the length of a phone call in minutes is an


exponential random variable with parameter = 1/10. If someone
arrives immediately ahead of you at a public telephone booth, find
the probability that you will have to wait
(a) more than 10 minutes;
(b) between 10 and 20 minutes.
Exponential distribution

Proposition: Suppose that the events are occurring according to a


Poisson process with the rate ↵, that is, the number of events
occurring in any time interval of length t has a Poisson distribution
with parameter ↵t (where ↵, the rate of the event process, is the
expected number of events occurring in 1 unit of time) and that
numbers of occurrences in non-overlapping intervals are
independent of one another. Then the distribution of elapsed time
between the occurrence of two successive events is exponential
with parameter = ↵.
In other words, consider a Poisson process with parameter ↵. Let
W denote time of occurrence of first event. Then W has an
exponential distribution with parameter = ↵.
Exponential distribution

Proof: Consider cdf of W .

F (w ; ) = P(W  w ) = 1 P(W > w ).

First occurrence of the event will take place after time w only if no
occurrences of the event in [0, w ]. Let X denote the number of
occurrences of the event in this time. Then, X ⇠ Poisson(↵w ).
Hence,
↵w
P(W > w ) = P(X = 0) = e .
So, we get F (w ) = 1 e ↵w and f (w ) = ↵e ↵w with w 0,
which is the pdf of the exponential distribution with parameter
= ↵.
Exponential distribution
Example: Passengers arrive at an airport according to an
approximate Poisson process at a mean rate of 30 passengers per
hour. What is the probability that the security guard has to wait
more than 3 minutes to check the ID card of the next passenger?
Exponential distribution

Exercise: Let X1 , X2 , . . . Xk be k independent variable such that


each Xi has an exponential distribution with parameter . What is
P k
distribution of Y = Xi ?
i=1
1
Ans: Y ⇠ with parameters k and .

Lemma: Consider a Poisson process with parameter . Let T


denote time of occurrence of k-th event. Then,
✓ ◆
1
T ⇠ ↵ = k, = .

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