1

Lecture 12:
The Exponential, Gamma
and Chi-Squared PDFs
Devore, Ch. 4.4
Topics
I. Properties of Gamma Distribution

II. Computing Probabilities with Gamma

III.Exponential Distribution and
Applications

IV.Chi-Squared Distribution

I. The Gamma Distribution
Gamma family represents a variety of skewed
distributions based on a shape and scale parameter.
Shape parameter~ o; Scale parameter ~ |

0.0
0.2
0.4
0.6
0.8
1.0
0 2 4 6 8
f
(
x
;

)

o=2; |=1/3
o=1; |=1
o=2; |=1
o=2; |=2
Scale Parameter:
| < 1 compresses f(x) in x
| = 1 standard gamma
| > 1 stretches f(x) in x
Shape Parameter:
o 1 f(x) strictly
decreases
o > 1 f(x) rises to a
maximum and then
decreases
The Gamma Function
For o > 0, the Gamma function is defined by:



Useful Gamma function properties:
For any o > 1, I(o) = (o1) - I(o1)
For any positive integer, n, I(n) = (n-1)!

}

= I
0
1
) ( dx e x
x o
o
H = I ) 2 / 1 (
5
The Gamma and the Standard
Gamma PDFs
Gamma distribution pdf
Satisfies both conditions of a pdf.
If o takes an integer value gamma becomes the
Erlang distribution
Gamma Distribution (|>0) Standard Gamma Distribution (|=1)
Note: o > 0; | > 0
E(X) = = o|
V(X) = o
2
= o|
2
( )
( )

>
I
=

otherwise
x e x
x f
x
0
0
1
, ;
1 | o
o
o |
| o ( )
( )

>
I
=

otherwise
x e x
x f
x
0
0
1
, ;
1 o
o
| o
II. Computing Probs Using Gamma
Suppose X is a continuous rv, then the cdf for the
standard gamma rv is:



Above equation also known as incomplete gamma
function. Cumulative Gamma Tables: A.4 (Page 742)
For non-standard Gamma, the cdf can be found as:
0 X
) (
) ; (
1
0
>
I
=

}
dy
e y
x F
y
x
o
o
o
( ) function gamma incomplete the is ; where
; ) , ; (
o
o
|
| o

|
|
.
|

\
|
=
F
x
F x F
Gamma Applications
Reliability Assessment, Queuing Theory, Computer
Evaluations, Biological Studies
X represents the time of occurrence of an event that
depends on a series of independent sub-events.
Example: suppose emails are sent to a central
processor and then are released in batches.
Let X equal the time (in seconds) that it takes for an email
message to be released after arrival at the central
processor. Lets assume X follows a gamma distribution:
Shape parameter = 4.
Scale parameter = 2.
What is the expected time between batches?
What is the prob that an individual message will wait more
than 20 sec before being sent from the central processor?
95% of messages will take longer than how many secs?
Useful Excel / Minitab Commands
Excel
cdf =gammadist(x,o,|,true)
=GAMMADIST(20,4,2,TRUE)

Inverse =gammainv(prob,o,|)
=GAMMAINV(0.05,4,2)

Minitab
CALC >> Prob Distributions
III. Exponential Distribution
Exponential pdf is a special case of gamma pdf
where the shape parameter, o = 1.

Derive Exponential from Gamma (o = 1)

If you let = 1/| then X is exponential if pdf

f(x; ) = ?
( )
( )

>
I
=

otherwise
x e x
x f
x
0
0
1
, ;
1 | o
o
o |
| o
( )

> >
=

otherwise
x e
x f
x
0
0 , 0
;

Exponential: Expected Value and CDF

Similar to gamma (with o = 1)
E(X) = = o| = 1/
V(X) = o
2
= o|
2 =
1/
2


cdf of X if exponential:

( )

>
<
=

0 1
0 0
;
x e
x
x F
x

Computer Processor Example

Solve the prior example (slide 7) assuming that e-
mails are sent immediately upon arrival at central
processor assuming that the shape parameter equals
1 and the scale parameter equals 8.

Define X
What is = ?

What is the probability that the time between
messages sent from the central processor will
exceed 20 sec?

Compare this answer with the batch process?
Constant Failure Rate Model
One application of the exponential distribution occurs in
reliability (relates to Poisson distribution).

Many products are assumed to have constant failure
rates (average time between failures, ).

Under a constant failure rate model, there is no
wearout, so that the distribution of additional lifetime
at any time is exactly the same as when new
(memoryless property!!).

TV Example
Example:
Suppose you sell 1000 televisions on 1/1/02 and your failure
rate is 10% every year. Calculate the expected number of
failures each time period.

of Units Left Time Period, yr Failure Rate # of Failures
1000 1 0.10 100
900 2 0.10 90
810 3 0.10 ?
? 4 0.10 ?

Distribution of Failures
What distribution function models the # of failures per time period if
failure rate is assumed constant? So, we have the same rate per time
period (example: 0.1/year)
0.0
20.0
40.0
60.0
80.0
100.0
120.0
0 2 4 6 8 10 12 14 16 18 20
time period, t
#

o
f

F
a
i
l
u
r
e
s
Poisson models # of
failures, while
exponential models
the time between
successive
failures!
Reliability Prediction -
Exponential
Given a constant failure rate (0.1 failures/yr),
what is the probability that a unit will experience
its first failure after 10 years?

1 ) ; ( ) Pr(
t
e t F t T

= = s
R(t) = probability that the time to failure is greater
than time t.

So, R(t) = 1 P(T<=t) R(t) = e
-t

R(t) - Reliability Function
Probability unit will not fail in first 6 months = .9512
Probability unit will not fail after 2 years = .8
What is R(10)?
Time
Period
R(t)
0.5 0.9512
1 0.9048
1.5 0.8607
2 0.8187
2.5 0.7788
3 0.7408
0
0.2
0.4
0.6
0.8
1
0 5 10 15 20
time period, year
R
(
t
)
Service Calls Example
Suppose you work for service operation and
receive 0.5 calls per hour.
Let T equal the time between successive calls
Assume T ~ EXP(=0.5)

What is the probability that more than 3 hours
will elapse between calls?
What is the probability that more than mean +
3o hours will elapse between calls?
What is the probability that less than the mean -
3o hours will elapse between calls?

The Exponential RV and its
memoryless property
A very useful property of the
exponential RV is its memoryless
property.
Exponential and Poisson Number of
occurrences ~ Poisson. Time between
occurrences ~ Exponential
Return to TV example:
Suppose your TV has lasted 2 years. What is
the probability it will last another year?
Hint: Find P(X >= t + t
o
| X>= t
o
)


Memoryless Property and
Useful Life
Memoryless property is used to model
products treated as good as new
until failure.

Can you think of any such products?

Does the constant failure rate model
become a less effective assumption
with longer periods of time where
products start to degrade with age?

IV. Chi-Squared Distribution
Used in statistical inference analysis
v represents the degrees of freedom (n-1)




Chi-squared tests are used in statistical
inference (related to normal distribution):
If X ~ N(0,1), X
2
~ chi-squared distribution
We will cover the topic in more detail later!
Typically we use tables (or software function) for
analysis.
( )
( )

0 x 0
0 x
2 / 2
1
) ; ( pdf
2 / 1 2 /
2 /
2

<
>
I
=
x
e x
x f
v
v
v
v _
Solutions
Slide 7
E(X)=o|=4(2)=8
P(X>20)=1-F(20/2;4)=1-0.99=0.01
95
th
percentile= F(q(.95))=gammainv(0.05,4,2)=2.73

Slide 11
X ~ Time between messages, =1/|=1/8
P(X>20)=1-F(20)=1-(1-e
-x
)= 1-(1-e
-20/8
)=0.082
0.01 (gamma) vs. 0.08 (exponential)

Slide 13

# of Units Left Time Period, yr Failure Rate # of Failures
1000 1 0.10 100
900 2 0.10 90
810 3 0.10 81
729 4 0.10 72.9~73
Solutions
Slide 16
R(10)=e
-0.1(10)
=0.368

Slide 17
P(X>3)=1-F(3;0.5)=0.2231
=1/=2,
2
=1/
2
=4, =2
P(X>2+3(2))=P(X>8)=e
-0.5(8)
=0.018
P(X<2-3(2))=P(X<-4)=P(X<=0)=0, R(0)=1