Gamma distribution

In probability theory and

Gamma
statistics, the gamma
distribution is a versatile two- Probability density function
parameter family of continuous
probability distributions.[1] The
exponential distribution, Erlang
distribution, and chi-squared
distribution are special cases of
the gamma distribution.[2] There
are two equivalent
parameterizations in common
use:

1. With a shape parameter k

and a scale parameter θ
Cumulative distribution function
2. With a shape parameter
and an inverse
scale parameter ⁠ ⁠,
called a rate parameter.
In each of these forms, both
parameters are positive real
numbers.

The distribution has important

applications in various fields,
including econometrics, Bayesian
statistics, life testing.[3] In
econometrics, the (k, θ)
Parameters
parameterization is common for k > 0 shape α > 0 shape
modeling waiting times, such as θ > 0 scale β > 0 rate
the time until death, where it
Support
often takes the form of an Erlang
PDF
distribution for integer k values.
Bayesian statistics prefer the (α,
CDF
β) parameterization, utilizing the
gamma distribution as a
Mean
conjugate prior for several
inverse scale parameters, Median No simple closed form No simple closed form
facilitating analytical tractability Mode ,
in posterior distribution
computations. The probability
Variance
density and cumulative
distribution functions of the Skewness
gamma distribution vary based on
the chosen parameterization, both Excess
offering insights into the behavior kurtosis
of gamma-distributed random Entropy
variables. The gamma
distribution is integral to MGF
modeling a range of phenomena
due to its flexible shape, which CF
can capture various statistical
distributions, including the
Fisher
exponential and chi-squared
information
distributions under specific
Method of
conditions. Its mathematical
moments
properties, such as mean,
variance, skewness, and higher
moments, provide a toolset for
statistical analysis and inference. Practical applications of the distribution span several disciplines,
underscoring its importance in theoretical and applied statistics.[4]

The gamma distribution is the maximum entropy probability distribution (both with respect to a uniform
base measure and a base measure) for a random variable X for which E[X] = kθ = α/β is fixed and
greater than zero, and E[ln X] = ψ(k) + ln θ = ψ(α) − ln β is fixed (ψ is the digamma function).[5]

Definitions
The parameterization with k and θ appears to be more common in econometrics and other applied fields,
where the gamma distribution is frequently used to model waiting times. For instance, in life testing, the
waiting time until death is a random variable that is frequently modeled with a gamma distribution. See
Hogg and Craig[6] for an explicit motivation.

The parameterization with α and β is more common in Bayesian statistics, where the gamma distribution
is used as a conjugate prior distribution for various types of inverse scale (rate) parameters, such as the λ
of an exponential distribution or a Poisson distribution[7] – or for that matter, the β of the gamma
distribution itself. The closely related inverse-gamma distribution is used as a conjugate prior for scale
parameters, such as the variance of a normal distribution.

If k is a positive integer, then the distribution represents an Erlang distribution; i.e., the sum of k
independent exponentially distributed random variables, each of which has a mean of θ.

Characterization using shape α and rate β

The gamma distribution can be parameterized in terms of a shape parameter α = k and an inverse scale
parameter β = 1/θ, called a rate parameter. A random variable X that is gamma-distributed with shape α
and rate β is denoted
The corresponding probability density function in the shape-rate parameterization is

where is the gamma function. For all positive integers, .

The cumulative distribution function is the regularized gamma function:

where is the lower incomplete gamma function.

If α is a positive integer (i.e., the distribution is an Erlang distribution), the cumulative distribution
function has the following series expansion:[8]

Characterization using shape k and scale θ

A random variable X that is gamma-distributed with shape k and scale θ is denoted by

The probability density function using the shape-

scale parametrization is

Illustration of the gamma PDF for parameter values

over k and x with θ set to 1, 2, 3, 4, 5, and 6. One
can see each θ layer by itself here [2] (https://commo
ns.wikimedia.org/wiki/File:Gamma-PDF-3D-by-k.png)
as well as by k [3] (https://commons.wikimedia.org/wi
ki/File:Gamma-PDF-3D-by-Theta.png) and x. [4] (http
s://commons.wikimedia.org/wiki/File:Gamma-PDF-3D
-by-x.png).
Here Γ(k) is the gamma function evaluated at k.

The cumulative distribution function is the regularized gamma function:

where is the lower incomplete gamma function.

It can also be expressed as follows, if k is a positive integer (i.e., the distribution is an Erlang
distribution):[8]

Both parametrizations are common because either can be more convenient depending on the situation.

Properties

Mean and variance

The mean of gamma distribution is given by the product of its shape and scale parameters:

The variance is:

The square root of the inverse shape parameter gives the coefficient of variation:

Skewness
The skewness of the gamma distribution only depends on its shape parameter, k, and it is equal to

Higher moments
The n-th raw moment is given by:
Median approximations and bounds
Unlike the mode and the mean, which have readily
calculable formulas based on the parameters, the
median does not have a closed-form equation. The
median for this distribution is the value ν such that

A rigorous treatment of the problem of

determining an asymptotic expansion and bounds
for the median of the gamma distribution was
handled first by Chen and Rubin, who proved that
(for ) Bounds and asymptotic approximations to the
median of the gamma distribution. The cyan-colored
region indicates the large gap between published
lower and upper bounds before 2021.

where is the mean and is the

median of the [9]
distribution. For other values of the scale parameter, the mean scales to
, and the median bounds and approximations would be similarly scaled by θ.

K. P. Choi found the first five terms in a Laurent series asymptotic approximation of the median by
comparing the median to Ramanujan's function.[10] Berg and Pedersen found more terms:[11]

Partial sums of these series are good approximations for high enough k; they are not plotted in the figure,
which is focused on the low-k region that is less well approximated.

Berg and Pedersen also proved many properties of the median, showing that it is a convex function of
k,[12] and that the asymptotic behavior near is (where γ is the Euler–Mascheroni
constant), and that for all the median is bounded by .[11]

A closer linear upper bound, for only, was provided in 2021 by Gaunt and Merkle,[13] relying on
the Berg and Pedersen result that the slope of is everywhere less than 1:

for (with equality at )

which can be extended to a bound for all by taking the max with the chord shown in the figure,
since the median was proved convex.[12]

An approximation to the median that is asymptotically accurate at high k and reasonable down to
or a bit lower follows from the Wilson–Hilferty transformation:
which goes negative for .

In 2021, Lyon proposed several approximations of

the form . He conjectured
values of A and B for which this approximation is
an asymptotically tight upper or lower bound for
all .[14] In particular, he proposed these
closed-form bounds, which he proved in 2023:[15]

is a Two gamma distribution median asymptotes which

were proved in 2023 to be bounds (upper solid red
lower bound, asymptotically tight as and lower dashed red), of the from
, and an interpolation between
is an upper them that makes an approximation (dotted red) that
bound, asymptotically tight as is exact at k = 1 and has maximum relative error of
about 0.6%. The cyan shaded region is the remaining
Lyon also showed (informally in 2021, rigorously gap between upper and lower bounds (or conjectured
in 2023) two other lower bounds that are not bounds), including these new bounds and the bounds
closed-form expressions, including this one in the previous figure.
involving the gamma function, based on solving
the integral expression substituting 1 for :

(approaching equality as )

and the tangent line at where the derivative

was found to be :

(with
equality at )

Log–log plot of upper (solid) and lower (dashed)

bounds to the median of a gamma distribution and
the gaps between them. The green, yellow, and cyan
regions represent the gap before the Lyon 2021
paper. The green and yellow narrow that gap with the
lower bounds that Lyon proved. Lyon's bounds
proved in 2023 further narrow the yellow. Mostly
within the yellow, closed-form rational-function-
interpolated conjectured bounds are plotted along
with the numerically calculated median (dotted)
value. Tighter interpolated bounds exist but are not
plotted, as they would not be resolved at this scale.
where Ei is the exponential integral.[14][15]

Additionally, he showed that interpolations between bounds could provide excellent approximations or
tighter bounds to the median, including an approximation that is exact at (where )
and has a maximum relative error less than 0.6%. Interpolated approximations and bounds are all of the
form

where is an interpolating function running monotonically from 0 at low k to 1 at high k, approximating

an ideal, or exact, interpolator :

For the simplest interpolating function considered, a first-order rational function

the tightest lower bound has

and the tightest upper bound has

The interpolated bounds are plotted (mostly inside the yellow region) in the log–log plot shown. Even
tighter bounds are available using different interpolating functions, but not usually with closed-form
parameters like these.[14]

Summation
If Xi has a Gamma(ki, θ) distribution for i = 1, 2, ..., N (i.e., all distributions have the same scale
parameter θ), then

provided all Xi are independent.

For the cases where the Xi are independent but have different scale parameters, see Mathai [16] or
Moschopoulos.[17]
The gamma distribution exhibits infinite divisibility.

Scaling
If

then, for any c > 0,

by moment generating functions,

or equivalently, if

(shape-rate parameterization)

Indeed, we know that if X is an exponential r.v. with rate λ, then cX is an exponential r.v. with rate λ/c;
the same thing is valid with Gamma variates (and this can be checked using the moment-generating
function, see, e.g.,these notes (http://www.stat.washington.edu/thompson/S341_10/Notes/week4.pdf),
10.4-(ii)): multiplication by a positive constant c divides the rate (or, equivalently, multiplies the scale).

Exponential family
The gamma distribution is a two-parameter exponential family with natural parameters k − 1 and −1/θ
(equivalently, α − 1 and −β), and natural statistics X and ln X.

If the shape parameter k is held fixed, the resulting one-parameter family of distributions is a natural
exponential family.

Logarithmic expectation and variance

One can show that

or equivalently,

where ψ is the digamma function. Likewise,

where is the trigamma function.

This can be derived using the exponential family formula for the moment generating function of the
sufficient statistic, because one of the sufficient statistics of the gamma distribution is ln x.

Information entropy
The information entropy is

In the k, θ parameterization, the information entropy is given by

Kullback–Leibler divergence
The Kullback–Leibler divergence (KL-
divergence), of Gamma(αp, βp) ("true"
distribution) from Gamma(αq, βq)
("approximating" distribution) is given by[18]

Illustration of the Kullback–Leibler (KL) divergence

for two gamma PDFs. Here β = β0 + 1 which are set
to 1, 2, 3, 4, 5, and 6. The typical asymmetry for the
KL divergence is clearly visible.

Written using the k, θ parameterization, the KL-divergence of Gamma(kp, θp) from Gamma(kq, θq)
is given by

Laplace transform
The Laplace transform of the gamma PDF is
Related distributions

General
Let be independent and identically distributed random variables following
an exponential distribution with rate parameter λ, then ~ Gamma(n, λ) where n is the

shape parameter and λ is the rate, and .

If X ~ Gamma(1, λ) (in the shape–rate parametrization), then X has an exponential
distribution with rate parameter λ. In the shape-scale parametrization, X ~ Gamma(1, λ)
has an exponential distribution with rate parameter 1/λ.
If X ~ Gamma(ν/2, 2) (in the shape–scale parametrization), then X is identical to χ2(ν), the
chi-squared distribution with ν degrees of freedom. Conversely, if Q ~ χ2(ν) and c is a
positive constant, then cQ ~ Gamma(ν/2, 2c).
If θ = 1/k, one obtains the Schulz-Zimm distribution, which is most prominently used to
model polymer chain lengths.
If k is an integer, the gamma distribution is an Erlang distribution and is the probability
distribution of the waiting time until the k-th "arrival" in a one-dimensional Poisson process
with intensity 1/θ. If

then

If X has a Maxwell–Boltzmann distribution with parameter a, then

If X ~ Gamma(k, θ), then follows an exponential-gamma (abbreviated exp-gamma)

distribution. [19] It is sometimes referred to as the log-gamma distribution.[20] Formulas for its
mean and variance are in the section #Logarithmic expectation and variance.
If X ~ Gamma(k, θ), then follows a generalized gamma distribution with parameters
p = 2, d = 2k, and .
More generally, if X ~ Gamma(k,θ), then for follows a generalized gamma
distribution with parameters p = 1/q, d = k/q, and .
If X ~ Gamma(k, θ) with shape k and scale θ, then 1/X ~ Inv-Gamma(k, θ−1) (see
Inverse-gamma distribution for derivation).
 Parametrization 1: If are independent, then , or

equivalently,

Parametrization 2: If are independent, then , or

equivalently,

If X ~ Gamma(α, θ) and Y ~ Gamma(β, θ) are independently distributed, then X/(X + Y)

has a beta distribution with parameters α and β, and X/(X + Y) is independent of X + Y,
which is Gamma(α + β, θ)-distributed.
If and , then converges in distribution to
defined under parametrization 2.
If Xi ~ Gamma(αi, 1) are independently distributed, then the vector (X1/S, ..., Xn/S), where
S = X1 + ... + Xn, follows a Dirichlet distribution with parameters α1, ..., αn.
For large k the gamma distribution converges to normal distribution with mean μ = kθ and
variance σ2 = kθ2.
The gamma distribution is the conjugate prior for the precision of the normal distribution with
known mean.
The matrix gamma distribution and the Wishart distribution are multivariate generalizations
of the gamma distribution (samples are positive-definite matrices rather than positive real
numbers).
The gamma distribution is a special case of the generalized gamma distribution, the
generalized integer gamma distribution, and the generalized inverse Gaussian distribution.
Among the discrete distributions, the negative binomial distribution is sometimes considered
the discrete analog of the gamma distribution.
Tweedie distributions – the gamma distribution is a member of the family of Tweedie
exponential dispersion models.
Modified Half-normal distribution – the Gamma distribution is a member of the family of
Modified half-normal distribution.[21] The corresponding density is

, where denotes

the Fox–Wright Psi function.

For the shape-scale parameterization , if the scale parameter
where denotes the Inverse-gamma distribution, then the marginal distribution
where denotes the Beta prime distribution.

Compound gamma
If the shape parameter of the gamma distribution is known, but the inverse-scale parameter is unknown,
then a gamma distribution for the inverse scale forms a conjugate prior. The compound distribution,
which results from integrating out the inverse scale, has a closed-form solution known as the compound
gamma distribution.[22]
If, instead, the shape parameter is known but the mean is unknown, with the prior of the mean being
given by another gamma distribution, then it results in K-distribution.

Weibull and stable count

The gamma distribution can be expressed as the product distribution of a Weibull
distribution and a variant form of the stable count distribution. Its shape parameter can be regarded as
the inverse of Lévy's stability parameter in the stable count distribution:

where is a standard stable count distribution of shape , and is a standard Weibull

distribution of shape .

Statistical inference

Parameter estimation

Maximum likelihood estimation

The likelihood function for N iid observations (x1, ..., xN) is

from which we calculate the log-likelihood function

Finding the maximum with respect to θ by taking the derivative and setting it equal to zero yields the
maximum likelihood estimator of the θ parameter, which equals the sample mean divided by the shape
parameter k:

Substituting this into the log-likelihood function gives

We need at least two samples: , because for , the function increases without bounds as
. For , it can be verified that is strictly concave, by using inequality properties of the
polygamma function. Finding the maximum with respect to k by taking the derivative and setting it equal
to zero yields

where ψ is the digamma function and is the sample mean of ln x. There is no closed-form solution
for k. The function is numerically very well behaved, so if a numerical solution is desired, it can be found
using, for example, Newton's method. An initial value of k can be found either using the method of
moments, or using the approximation

If we let

then k is approximately

which is within 1.5% of the correct value.[23] An explicit form for the Newton–Raphson update of this
initial guess is:[24]

At the maximum-likelihood estimate , the expected values for x and agree with the empirical
averages:

Caveat for small shape parameter

For data, , that is represented in a floating point format that underflows to 0 for values
smaller than , the logarithms that are needed for the maximum-likelihood estimate will cause failure if
there are any underflows. If we assume the data was generated by a gamma distribution with cdf
, then the probability that there is at least one underflow is:
This probability will approach 1 for small k and large N. For example, at , and
, . A workaround is to instead have the data in logarithmic
format.

In order to test an implementation of a maximum-likelihood estimator that takes logarithmic data as

input, it is useful to be able to generate non-underflowing logarithms of random gamma variates, when
. Following the implementation in scipy.stats.loggamma, this can be done as follows:[25]
sample and independently. Then the required logarithmic
sample is , so that .

Closed-form estimators
There exist consistent closed-form estimators of k and θ that are derived from the likelihood of the
generalized gamma distribution.[26]

The estimate for the shape k is

and the estimate for the scale θ is

Using the sample mean of x, the sample mean of ln x, and the sample mean of the product x·ln x
simplifies the expressions to:

If the rate parameterization is used, the estimate of .

These estimators are not strictly maximum likelihood estimators, but are instead referred to as mixed type
log-moment estimators. They have however similar efficiency as the maximum likelihood estimators.

Although these estimators are consistent, they have a small bias. A bias-corrected variant of the estimator
for the scale θ is

A bias correction for the shape parameter k is given as[27]

Bayesian minimum mean squared error
With known k and unknown θ, the posterior density function for theta (using the standard scale-invariant
prior for θ) is

Denoting

Integration with respect to θ can be carried out using a change of variables, revealing that 1/θ is gamma-
distributed with parameters α = Nk, β = y.

The moments can be computed by taking the ratio (m by m = 0)

which shows that the mean ± standard deviation estimate of the posterior distribution for θ is

Bayesian inference

Conjugate prior
In Bayesian inference, the gamma distribution is the conjugate prior to many likelihood distributions:
the Poisson, exponential, normal (with known mean), Pareto, gamma with known shape σ, inverse
gamma with known shape parameter, and Gompertz with known scale parameter.

The gamma distribution's conjugate prior is:[28]

where Z is the normalizing constant with no closed-form solution. The posterior distribution can be found
by updating the parameters as follows:
where n is the number of observations, and xi is the i-th observation.

Occurrence and applications

Consider a sequence of events, with the waiting time for each event being an exponential distribution
with rate β. Then the waiting time for the n-th event to occur is the gamma distribution with integer
shape . This construction of the gamma distribution allows it to model a wide variety of
phenomena where several sub-events, each taking time with exponential distribution, must happen in
sequence for a major event to occur.[29] Examples include the waiting time of cell-division events,[30]
number of compensatory mutations for a given mutation,[31] waiting time until a repair is necessary for a
hydraulic system,[32] and so on.

In biophysics, the dwell time between steps of a molecular motor like ATP synthase is nearly exponential
at constant ATP concentration, revealing that each step of the motor takes a single ATP hydrolysis. If
there were n ATP hydrolysis events, then it would be a gamma distribution with degree n.[33]

The gamma distribution has been used to model the size of insurance claims[34] and rainfalls.[35] This
means that aggregate insurance claims and the amount of rainfall accumulated in a reservoir are modelled
by a gamma process – much like the exponential distribution generates a Poisson process.

The gamma distribution is also used to model errors in multi-level Poisson regression models because a
mixture of Poisson distributions with gamma-distributed rates has a known closed form distribution,
called negative binomial.

In wireless communication, the gamma distribution is used to model the multi-path fading of signal
power; see also Rayleigh distribution and Rician distribution.

In oncology, the age distribution of cancer incidence often follows the gamma distribution, wherein the
shape and scale parameters predict, respectively, the number of driver events and the time interval
between them.[36][37]

In neuroscience, the gamma distribution is often used to describe the distribution of inter-spike
intervals.[38][39]

In bacterial gene expression, the copy number of a constitutively expressed protein often follows the
gamma distribution, where the scale and shape parameter are, respectively, the mean number of bursts per
cell cycle and the mean number of protein molecules produced by a single mRNA during its lifetime.[40]

In genomics, the gamma distribution was applied in peak calling step (i.e., in recognition of signal) in
ChIP-chip[41] and ChIP-seq[42] data analysis.
In Bayesian statistics, the gamma distribution is widely used as a conjugate prior. It is the conjugate prior
for the precision (i.e. inverse of the variance) of a normal distribution. It is also the conjugate prior for the
exponential distribution.

In phylogenetics, the gamma distribution is the most commonly used approach to model among-sites rate
variation[43] when maximum likelihood, Bayesian, or distance matrix methods are used to estimate
phylogenetic trees. Phylogenetic analyzes that use the gamma distribution to model rate variation
estimate a single parameter from the data because they limit consideration to distributions where α = β.
This parameterization means that the mean of this distribution is 1 and the variance is 1/α. Maximum
likelihood and Bayesian methods typically use a discrete approximation to the continuous gamma
distribution.[44][45]

Random variate generation

Given the scaling property above, it is enough to generate gamma variables with θ = 1, as we can later
convert to any value of β with a simple division.

Suppose we wish to generate random variables from Gamma(n + δ, 1), where n is a non-negative
integer and 0 < δ < 1. Using the fact that a Gamma(1, 1) distribution is the same as an Exp(1)
distribution, and noting the method of generating exponential variables, we conclude that if U is
uniformly distributed on (0, 1], then −ln U is distributed Gamma(1, 1) (i.e. inverse transform
sampling). Now, using the "α-addition" property of gamma distribution, we expand this result:

where Uk are all uniformly distributed on (0, 1] and independent. All that is left now is to generate a
variable distributed as Gamma(δ, 1) for 0 < δ < 1 and apply the "α-addition" property once more.
This is the most difficult part.

Random generation of gamma variates is discussed in detail by Devroye,[46]: 401–428 noting that none are
uniformly fast for all shape parameters. For small values of the shape parameter, the algorithms are often
not valid.[46]: 406 For arbitrary values of the shape parameter, one can apply the Ahrens and Dieter[47]
modified acceptance-rejection method Algorithm GD (shape k ≥ 1), or transformation method[48] when
0 < k < 1. Also see Cheng and Feast Algorithm GKM 3[49] or Marsaglia's squeeze method.[50]

The following is a version of the Ahrens-Dieter acceptance–rejection method:[47]

1. Generate U, V and W as iid uniform (0, 1] variates.

2. If then and . Otherwise, and .

3. If then go to step 1.
4. ξ is distributed as Γ(δ, 1).
A summary of this is
where is the integer part of k, ξ is generated via the algorithm above with δ = {k} (the fractional part
of k) and the Uk are all independent.

While the above approach is technically correct, Devroye notes that it is linear in the value of k and
generally is not a good choice. Instead, he recommends using either rejection-based or table-based
methods, depending on context.[46]: 401–428

For example, Marsaglia's simple transformation-rejection method relying on one normal variate X and
one uniform variate U:[25]

1. Set and .

2. Set .

3. If and return , else go back to step 2.

With generates a gamma distributed random number in time that is approximately

constant with k. The acceptance rate does depend on k, with an acceptance rate of 0.95, 0.98, and 0.99 for
k=1, 2, and 4. For k < 1, one can use to boost k to be usable with this method.

In Matlab numbers can be generated using the function gamrnd(), which uses the k, θ representation.

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External links
"Gamma-distribution" (https://www.encyclopediaofmath.org/index.php?title=Gamma-distribut
ion), Encyclopedia of Mathematics, EMS Press, 2001 [1994]
Weisstein, Eric W. "Gamma distribution" (https://mathworld.wolfram.com/GammaDistributio
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examples in Excel (http://www.epixanalytics.com/modelassist/AtRisk/Model_Assist.htm#Dist
ributions/Continuous_distributions/Gamma.htm) Archived (https://web.archive.org/web/2017
0509042425/http://www.epixanalytics.com/modelassist/AtRisk/Model_Assist.htm#Distributio
ns/Continuous_distributions/Gamma.htm) 2017-05-09 at the Wayback Machine.
 Engineering Statistics Handbook (http://www.itl.nist.gov/div898/handbook/eda/section3/eda3
66b.htm)

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