AP Statistics Curriculum 2007 Gamma
From Socr
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'''Definition''': Gamma distribution is a distribution that arises naturally in processes for which the waiting times between events are relevant. It can be thought of as a waiting time between Poisson distributed events. | '''Definition''': Gamma distribution is a distribution that arises naturally in processes for which the waiting times between events are relevant. It can be thought of as a waiting time between Poisson distributed events. | ||
- | <br />'''Probability density function''': The waiting time until the hth Poisson event with a rate of change <math>\lambda</math> is | + | <br />'''Probability density function''': The waiting time until the hth Poisson event with a rate of change <font size="3"><math>\lambda</math></font> is |
:<math>P(x)=\frac{\lambda(\lambda x)^{h-1}}{(h-1)!}{e^{-\lambda x}}</math> | :<math>P(x)=\frac{\lambda(\lambda x)^{h-1}}{(h-1)!}{e^{-\lambda x}}</math> | ||
- | For X | + | For <math>X\sim Gamma(k,\theta)</math>, where <font size="3"><math>k=h</math></font> and <font size="3"><math>\theta=1/\lambda</math></font>, the gamma probability density function is given by |
:<math>\frac{x^{k-1}e^{-x/\theta}}{\Gamma(k)\theta^k}</math> | :<math>\frac{x^{k-1}e^{-x/\theta}}{\Gamma(k)\theta^k}</math> | ||
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*k is the number of occurrences of an event | *k is the number of occurrences of an event | ||
*if k is a positive integer, then <font size="3"><math>\Gamma(k)=(k-1)!</math></font> is the gamma function | *if k is a positive integer, then <font size="3"><math>\Gamma(k)=(k-1)!</math></font> is the gamma function | ||
- | *<math>\theta=1/\lambda</math> is the mean number of events per time unit, where <math>\lambda</math> is the mean time between events. For example, if the mean time between phone calls is 2 hours, then you would use a gamma distribution with <math>\theta</math>=1/2=0.5. If we want to find the mean number of calls in 5 hours, it would be 5 <math>\times</math> 1/2=2.5. | + | *<font size="3"><math>\theta=1/\lambda</math></font> is the mean number of events per time unit, where <font size="3"><math>\lambda</math></font> is the mean time between events. For example, if the mean time between phone calls is 2 hours, then you would use a gamma distribution with <font size="3"><math>\theta</math>=1/2=0.5</font>. If we want to find the mean number of calls in 5 hours, it would be <font size="3">5 <math>\times</math> 1/2=2.5</font>. |
*x is a random variable | *x is a random variable | ||
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where | where | ||
- | *if k is a positive integer, then <math>\Gamma(k)=(k-1)!</math> is the gamma function | + | *if k is a positive integer, then <font size="3"><math>\Gamma(k)=(k-1)!</math></font> is the gamma function |
*<math>\gamma(k,x/\theta)=\int_0^{x/\theta}t^{k-1}e^{-t}dt</math> | *<math>\gamma(k,x/\theta)=\int_0^{x/\theta}t^{k-1}e^{-t}dt</math> | ||
Revision as of 20:40, 11 July 2011
Gamma Distribution
Definition: Gamma distribution is a distribution that arises naturally in processes for which the waiting times between events are relevant. It can be thought of as a waiting time between Poisson distributed events.
Probability density function: The waiting time until the hth Poisson event with a rate of change λ is
For X˜Gamma(k,θ), where k = h and θ = 1 / λ, the gamma probability density function is given by
where
- e is the natural number (e = 2.71828…)
- k is the number of occurrences of an event
- if k is a positive integer, then Γ(k) = (k − 1)! is the gamma function
- θ = 1 / λ is the mean number of events per time unit, where λ is the mean time between events. For example, if the mean time between phone calls is 2 hours, then you would use a gamma distribution with θ=1/2=0.5. If we want to find the mean number of calls in 5 hours, it would be 5 1/2=2.5.
- x is a random variable
Cumulative density function: The gamma cumulative distribution function is given by
where
- if k is a positive integer, then Γ(k) = (k − 1)! is the gamma function
Moment generating function: The gamma moment-generating function is
Expectation: The expected value of a gamma distributed random variable x is
Variance: The gamma variance is
Applications
The gamma distribution can be used a range of disciplines including queuing models, climatology, and financial services. Examples of events that may be modeled by gamma distribution include:
- The amount of rainfall accumulated in a reservoir
- The size of loan defaults or aggregate insurance claims
- The flow of items through manufacturing and distribution processes
- The load on web servers
- The many and varied forms of telecom exchange
The gamma distribution is also used to model errors in a multi-level Poisson regression model because the combination of a Poisson distribution and a gamma distribution is a negative binomial distribution.
Example
Suppose you are fishing and you expect to get a fish once every 1/2 hour. Compute the probability that you will have to wait between 2 to 4 hours before you catch 4 fish.
One fish every 1/2 hour means we would expect to get θ = 1 / 0.5 = 2 fish every hour on average. Using θ = 2 and k = 4, we can compute this as follows:
The figure below shows this result using SOCR distributions