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Gamma Distribution

This document defines the Erlang or general Gamma distribution and provides examples of its use. The Erlang distribution generalizes the exponential distribution to describe the time interval between any event and the following event. It has a probability density function defined in terms of parameters k and λ. The mean and variance of the Erlang distribution are also defined in terms of k and λ. Examples are provided to illustrate calculating the probability that a random variable exceeds a given value or that available stock is insufficient, when the random variable follows an Erlang distribution.

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Kavi Sanjai
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38 views4 pages

Gamma Distribution

This document defines the Erlang or general Gamma distribution and provides examples of its use. The Erlang distribution generalizes the exponential distribution to describe the time interval between any event and the following event. It has a probability density function defined in terms of parameters k and λ. The mean and variance of the Erlang distribution are also defined in terms of k and λ. Examples are provided to illustrate calculating the probability that a random variable exceeds a given value or that available stock is insufficient, when the random variable follows an Erlang distribution.

Uploaded by

Kavi Sanjai
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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General Gamma Distribution or Erlang distribution

Definition:

A continuous random variable is said to follow an Erlang or general Gamma distribution


with parameters if its probability density function is given by

( ) { ( ) }

Moment Generating Function:

( ) ( ) ( ) ( )
∫ ∫ ( ) ( )
∫

( )
( ) ( )

( ) ∫ ( )
( ) ( )

( ) ( ) ∫
( )

( ) ( ) ( ) ( ) ( )
( )

Mean:

( ) ( )
( ( )) ( ( ) ) ( ( )( ) ( ))

Variance:

( ) ( )
( ( )) ( ( ) ) ( ( )( ) ( ))

( )) ( ) ( )
( ( )( ( ))( )

( )
( ) ( ) * ( )+ ( )
Note:
1. The Erlang distribution is a generalisation of the exponential distribution. While
the exponential random variable describes the time between adjacent events,
the Erlang random variable describes the time interval between any event and
the following event.
2. When the Erlang distribution is called simple Gamma distribution with

parameter whose probability density function is ( ) { ( )

3. When the Erlang distribution reduces to the exponential distribution with


parameter
4. Sometimes Erlang distribution itself is called Gamma distribution.

Example: 1
Find the probability that the value of a random variable will exceed 4, if it has a general
Gamma distribution with parameters

Solution:
Given: The random variable follows a Gamma distribution. Then its probability density
function is given by

( ) { ( ) }

Given:

( )
( ) { }
( )

We know that ( ) ( ) ( )

( )

( ) ∫ {( ) ( ) ( )( )} * +
Example: 2
The daily consumption of milk in a town in excess of 20,000 litres is approximately
distributed as an Gamma distribution with parameters The town has

a daily stock of 30,000 litres. What is the probability that the stock is insufficient on a
particular day?
Solution:
Let be the daily consumption of a milk in town.
Let be the daily consumption of milk in a town in excess of 20,000 litres.
Given follows a Gamma distribution with parameters

( ) { ( ) }

( ) {( ) }

The probability that the stock is insufficient on a particular day ( )

( ) ( ) ∫ ( )

( ) {( ) ( ) ( )( )}
( )

( ) ( )

Example: 3
In a certain city, the daily consumption of electric power in millions of kilowatt hours can be
treated as a random variable having a Gamma distribution with parameters

If the power plant of this city has a daily capacity of 12 millions kilowatt hours, what is
the probability that this power supply will be inadequate on any given day?

Solution:
Let be the daily consumption of electric power in millions of kilowatt hours.
Given: follows a Gamma distribution with parameter Then the

probability density function of is given by


( ) { ( ) }

Given:

( )
( ) { }
( )

( ) { }

The probability that this power supply will be inadequate on any given day ( )

( ) ∫

( ) {( )( ) ( )( ) ( )( )}

( ) * +

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