Chapter 6: Special Probability Densities

Section 3: The Gamma, Exponential, and Chi-Square Distributions

In Chapters 3 and 4, some exercises and examples had random variables
with probability densities of the form

>
=

elsewhere
x f or e kx
x f
x
0
0
) (
1
o
o

where o > 0 and > 0, and some k so that, if we integrate the density
function for x greater than 0, we get 1 for the total area under the curve or
the total probability.
Substituting
|
x
y =
, we get
dy e y k dx e kx
y
x
} }

=
0
1
0
1 o o | o
|

( ) dy e y
y
}

= I
0
1 o
o
for o > 0 is the gamma function.
Using integration by parts, we can find
I(o) = (o 1)I( o 1)
( )
( )
( ) 1 1
1
1
0
0
1 1
= I
= I
= I
}
}

dy e
dy e y
y
y

I(o) = (o 1)! for any positive integer o.
For other values of o, you will need tables or software.
Next set the integral equal to 1 and solve for k.
( )
( ) o |
o |
o
o | o
I
=
= I =
}

1
1
0
1
k
k dx e kx
x

See p. 202.
Definition 6.2. A random variable X has a gamma distribution and it is
referred to as a gamma random variable if and only if its probability density
is given by
( )
( )

>
I
=

elsewhere
x for e x
x g
x
0
0
1
, ;
1 | o
o
o |
| o

where o > 0 and > 0.

Example:
The life of a light bulb (in hundreds of hours) is a random variable having
a gamma distribution with o = 2 and = 2.5. Find the probability that the
life of a given light bulb is at least 1000 hours.

Special Cases of The Gamma Distribution
o = 1 and =
Definition 6.3. A random variable X has an exponential distribution and it
is referred to as an exponential random variable if and only if its probability
density is given by
( )

>
=

elsewhere
x f or e
x g
x
0
0
1
;
u
u
u


where > 0.

The exponential random variable X measured in hours is the life of a
battery with = 50.
What is the probability that a battery will last at most 100 hours?




Suppose we are interested in the probability of getting x successes in a
time interval of length t and the following are true:
i) oAt is the probability of a success during some small time interval
from t to t + At
ii) The probability of more than one success in during this time
interval is negligible
iii) The probability of success during such a time interval independent
of what happened prior to time t.
In exercise 5.31, it was shown that the number of successes of the discrete
random variable is a value of the random variable X having the Poisson
distribution with = ot.

It can be shown that the probability to the next success or between
successes is

>
=

elsewhere
y f or e
y f
y
0
0
) (
o
o

which is the exponential function with
o
u
1
=
.

At a call center, the number of calls during an hour is a Poisson random
variable with = 5. What is the probability that the next call will come in at
least 6 minutes?
Show both ways that this problem can be set up.

At a factory, the number of machines that are repaired in an 8 hour shift is
a Poisson variable with = 12. What is the probability that after one
machine needs fixing, it will be at most half of an hour before the next
machine needs to be fixed?

Theorem 6.2 The rth moment about the origin of the gamma
distribution is given by

( )
( ) o
o |

I
+ I
=
'
r
r
r

Proof


Theorem 6.3. The mean and variance of the gamma distribution are given
by

= o and
2
= o
2


Corollary 6.1. The mean and the variance of the exponential distribution is

= and
2
=
2




Definition 6.4. A random variable has a chi-square distribution and it is
referred to as chi-square random variable if and only if its probability
density is given by


( )

>
=

I
elsewhere
x f or e x
x f
x
0
0
2
1
) (
2 2
2
2 / 2 /
v
v v

The parameter v is the degrees of freedom.

2
2
= = |
v
o and

We will not go over this. I am showing you this because some of you are or
will become familiar with the chi-square distribution.