The Gamma Distribution

A family of probability density functions that yields

a wide variety of skewed distributional shapes is the
Gamma Family.
To define the family of gamma distributions, we first
need to introduce a function that plays an important
role in many branches of mathematics, i.e., the Gamma
Function

Gamma Function

Definition
For

0 , the gamma function ( ) is defined by

( ) x 1e x dx
0

Properties of the gamma function:

1. For any 1, ( ) (
[via integration by parts]
2. For any positive integer,
3.

1

2

1) ( 1)

n, ( n) ( n 1)!

Family of Gamma Distributions

The gamma distribution defines a family of which
other distributions are special cases.
Important applications in waiting time and reliability
analysis.
Special cases of the Gamma Distribution
Exponential Distribution when = 1
Chi-squared Distribution when

and 2,
2
Where is a positive integer
3

Gamma Distribution - Definition

A continuous random variable X is said to have a gamma distribution
if the probability density function of X is

f ( x; , )

1
1
x
e

( )

for

x 0,

otherwise,

0
where the parameters and satisfy

0, 0.

The standard gamma distribution has

The parameter is called the scale parameter because values other

than 1 either stretch or compress the probability density function.
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Standard Gamma Distribution

The standard gamma distribution has 1
The probability density function of the standard
Gamma distribution is:

1 1 x
f ( x; )
x e
( )

for x 0

And is 0 otherwise
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Gamma density functions

Standard gamma density functions

Probability Distribution Function

If

X ~ G ( , ), then

the probability distribution function of

is

1
1 y
*
F ( x) P( X x)
y
e
dy

F
( y; )

( ) 0
for y=x/ and x 0.

Then use table of incomplete gamma function in Appendix A.24 in

textbook for quick computation of probability of gamma distribution.

Gamma Distribution - Properties

If x ~ G ( , ) , then
Mean or Expected Value

E ( X )
Standard Deviation

10

Gamma Distribution - Example

Suppose the reaction time X of a randomly selected
individual to a certain stimulus has a standard
gamma distribution with = 2 sec. Find the
probability that reaction time will be
(a) between 3 and 5 seconds
(b) greater than 4 seconds
Solution
Since

P (3 X 5) F (5) F (3) F * (5; 2) F * (3; 2)

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Gamma Distribution Example (continued)

Where

and

1
y
F (3;2)
ye dy 0.801
2
0
*

1
F (5;2)
ye y dy 0.960
2
0
*

P (3 x 5) 0.960 0.801 0.159

The probability that the reaction time is more than
4 sec is

P ( X 4) 1 P ( X 4) 1 F ( 4; 2) 1 0.908
0.092
*

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Incomplete Gamma Function

Let X have a gamma distribution with parameters and .
Then for any x>0, the cdf of X is given by

x
P( X x) F ( x; , ) F ( ; )

* x
F
( ; ) is the incomplete gamma function.
Where

MINTAB and other statistical packages will calculate F ( x; , )

once values of x, , and have been specified.
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Example
Suppose the survival time X in weeks of a randomly selected male
mouse exposed to 240 rads of gamma radiation has a gamma
distribution with 8 and 15
The expected survival time is E(X)=(8)(15) = 120 weeks
and

(8)(152 ) 42.43 weeks

The probability that a mouse survives between 60 and 120 weeks is

P (60 X 120) P ( X 120) P ( X 60)

F (120;8,15) F (60;8,15)
F * (8;8) F * (4;8)
0.547 0.051
0.496

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Example - continue
The probability that a mouse survives at least 30 weeks is

P( X 30) 1 P( X 30) 1 P( X 30)

1 F (30;8,15)
1 F (2;8)
1 0.001
0.999
*

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Beta Distribution Example (continue)

.4 , so E ( X ) 2 (3)(0. 4) 3.2 . For these values of

and , the probability density functions of X is a simple

polynomial function. The probability that it takes at most
3 days to lay the foundation is
2

1 4! x 2 5 x
P( X 3)

dx
3 1!2! 3 3
2
3

4
4 11 11
2
x 2 5 x 0.407 .
27 2
27 4 27
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