2.2 The Gamma Distribution

2.
2 The Gamma Distribution
In this section we look at some of the basic properties of gamma random variables; see
Hogg and Tanis [6].
A random variable X is said to have a gamma distribution with parameters m > 0 and
 > 0 if its probability density function has the form
(1) f(t) = f(t; m,) =
In this case we shall say X is a gamma random variable with parameters m and  and
write X ~ (m,). Sometimes m is called the shape parameter and  the scale parameter.
In general, m might not be an integer.
Gamma random variables are used to model a number of physical quantities. Some
examples are
1. The time it takes for something to occur, e.g. a lifetime or the service time
in a queue.
2. The rate at which some physical quantity is accumulating during a certain
period of time, e.g. the excess water flowing into a dam during a certain
period of time due to rain or the amount of grain harvested during a certain
season.
Sometimes it is convenient to use  = 1/ as a parameter instead of . The pdf then has
the form
(2) f(t) = f(t; m,) =
for t > 0. We shall also write X ~ (m,1/) in this case. It should be clear from the
context whether f(t; m,) or f(t; m,) stands for (1) or (2).
Proposition 1. If m > 0 and  > 0 then
(3) = 1
which confirms that f(t) defined by (1) is a valid density function.
2.2 - 1
Proof. = = 1 since  (m) = . 
Proposition 2. If X has a gamma distribution with parameters m and , then the mean of
X is
(4) X = E(X) = = m
Proof. = = m = m = m where we have used  (m+1) = m (m) and (3). 
Proposition 3. If X has a gamma distribution with parameters m and , then the
expected value of X2 is
(5) E(X2) = = m(m+1)2
The variance of X is
(6) (X)2 = E((X - X)2) = m2
The standard deviation of X is
(7) X = 
Proof. = = m(m+1)2 = m(m+1)2 = m(m+1)2 where we have used  (m+2) =
m(m+1) (m) and (3). This proves (5). Since E((X - X)2) = E(X2) - X2 the formula (6)
follows from (4) and (5). (7) follows from (6). 
Proposition 4. If f(t) is given by (1) then for t > 0 one has
(8) f '(t) =
(9) f(t) has a single local maximum at t = (m - 1) if m > 1.
(10) f(t) is strictly decreasing for t > 0 if m  1
Proof. (8) is a straightforward computation and (9) and (10) follow from (8). 
2.2 - 2
Proposition 5. Assume X has a gamma distribution with parameters m and  and let
Y = cX for some positive number c. Then Y has a gamma distribution with parameters m
and c.
Proof. If f(t) given by (1) is the density function of X then the density function of Y is
(1/c)f(t/c) =
which is equal to f(t; m,c). 
Proposition 5. If X and Y are independent gamma random variables and X has
parameters m and  and Y has parameters q and , then X + Y is a gamma random
variable with parameters m + q and .
Proof. We first show that

(12) = B(m, q)
where
(12) B(m, q) = = 2
is the beta function. To see this first note that  (m) (q) = . Make the change of
variables r = t + s and u = t/(t+s). Then t = ru and s = r(1-u) and dsdt = rdudr and the first
quadrant in the st-plane gets mapped into the strip {(r,u): 0 < r < , 0 < u < 1}. So
 (m) (q) = =  (m +q ) and (12) follows. Next we show that
(13) * =
To see this note that tm-1 * tq-1 = . Make the change of variables s = tu. We get tm-1 * tq-1
= = and (13) follows. It follows from (11) and (13) that
f(t; m,) * f(t; q,) = * = = f(t; m+q,)
and the propostion follows. 
2.2 - 3
Proposition 6. If X has a gamma distribution with parameters m and  = 1/, then the
Laplace transform L(s) and moment generating function M(r) of X are given by
(14) L(s) = =
(15) M(r) = =
Proof. One has
L(s) = [ (m)]-1 = [ (m)]-1
If one makes the change of variables u = (s + 1/)t one obtains
L(s) = [ (m)]-1
= (1/(1 + s))m[ (m)]-1 =
This proves (14). (15) follows from the (14) and the fact that M(r) = L(-r). 
Let
(16) G(t) = G(t;m,) = =
be the cummulative distribution function of the gamma random variable X ~ (m,) and
let
(17) H(t) = H(t;m,) = 1 - G(t) =
be the complementary distribution function (or survival function). Let
(18) m(t) =
be the upper incomplete gamma function and
(19) m(t) =
be the lower incomplete gamma function.
Proposition 7.
(20) G(t;m,) =
(21) H(t;m,) =
Proof. (20) follows by making the change of variables u = s/ in (16) and (21) follows
by making the change of variables u = s/ in (17). 
2.2 - 4

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2.

2 The Gamma Distribution

(1) f(t) = f(t; m,) =

(2) f(t) = f(t; m,) =

Proposition 1. If m > 0 and  > 0 then

which confirms that f(t) defined by (1) is a valid density function.

Proof. = = m = m = m where we have used  (m+1) = m (m) and (3). 

Proposition 3. If X has a gamma distribution with parameters m and , then the

(5) E(X2) = = m(m+1)2

(6) (X)2 = E((X - X)2) = m2

The standard deviation of X is

Proof. = = m(m+1)2 = m(m+1)2 = m(m+1)2 where we have used  (m+2) =

follows from (4) and (5). (7) follows from (6). 

Proposition 4. If f(t) is given by (1) then for t > 0 one has

(9) f(t) has a single local maximum at t = (m - 1) if m > 1.

(10) f(t) is strictly decreasing for t > 0 if m  1

which is equal to f(t; m,c). 

Proposition 5. If X and Y are independent gamma random variables and X has

parameters m and  and Y has parameters q and , then X + Y is a gamma random

variable with parameters m + q and .

Proof. We first show that

and the propostion follows. 

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