THE GAMMA DISTRIBUTION

Abstract. In these exercises we will review and explore some of

the properties of the Gamma distribution. For more information
on the gamma distribution see Section 3.3 of your text.

1. Introduction
Recall the integration by parts formula:
Z
a


b
u(x)v (x)dx = u(x)v(x) a
0

u0 (x)v(x)dx.

A useful fact (which can be obtained from lhopitals rule) is that for
any s 0 we have
lim xs ex = 0.
x

The Gamma function is defined for all > 0 via the following integral:
Z
x1 ex dx.
() =
0

Exercise 1. Check that for > 0, we have that

Z 1
x1 ex dx < .
0

Exercise 2. Check that (1) = 1.

Exercise 3. Check that (2) = 1.
Exercise 4. Check that for > 1, we have
() = ( 1)( 1).
Exercise 5. Conclude that for a positive integer n, we have
(n) = (n 1)!.

Exercise
6.
Check
that
(1/2)
=
. Hint: Use a change of variables

y = 2x, and recall that

1
2
1
f (x) = e 22 (x)
2
is the pdf for a normal random variable with mean and variance 2 .

THE GAMMA DISTRIBUTION

A continuous random variable X is said to have a gamma distribution with parameters > 0 and > 0 if it has a pdf given by
(
1
x1 ex/ if x > 0,

f (x; , ) = ()
0
otherwise;
in which case, we also write X (, ). By taking = 1, we
see that the gamma distribution is a generalization of the exponential
distribution
Exercise 7. Check that f (x; , ) is indeed a pdf.
Exercise 8. Check that if X has the gamma distribution with parameters > 0 and > 0, then EX = .
Exercise 9. Check that if X has the gamma distribution with parameters > 0 and > 0, then Var(X) = 2 .
Exercise 10. Let X have the gamma distribution with parameters >
1 and > 0. Compute E(1/X).
Theorem 11 (Additive property). If X1 , . . . , Xn are independent random variables, where Xi (i , ), then if T = X1 + + Xn and
= 1 + + n , then T (, ).
Exercise 12. Prove Theorem 11 by using characteristic functions.
2. Statistics
Exercise 13. Let X (, ), where is known, and is unknown.
Compute the Fisher information I().
Exercise 14. Let X = (X1 , . . . , Xn ) be a random sample, where Xi
(, ), where is known, and > 0 is unknown.
(a) Find the mle for .
(b) Is the mle efficient?
(c) Show that the sample sum given by T = X1 + +Xn is a sufficient
statistics by appealing to the Neyman factorization theorem.
(d) Show, directly, that the sample sum is a sufficient statistic by appealing to Theorem 11.
(e) By appealing to the theory of Laplace transforms, show that T is a
complete statistic.
(f ) Find the MVUE for 2 .
(g) Set = 1/. Find the MVUE for .