If X has the Gamma distribution with parameters α and β; i.e., if its p.d.f. is given
Question:
x > 0 (and0 for x ¤ 0),
Where the Gamma function ᴦ (α) is given
Then show that
fx(t) = 1/(1 iβt) α
In particular, for α = 1 and β = 1/λ, we get the ch.f. of the Negative Exponential distribution with parameter λ; i.e., fx(t) = 1/(1 it/λ) and for α = r/2 (r > 0 integer) and β = 2, we get the ch.f. of the chi-square distribution with r degrees of freedom; i.e.,
fx(t) = 1/(1 - 2it)r/2.
DistributionThe word "distribution" has several meanings in the financial world, most of them pertaining to the payment of assets from a fund, account, or individual security to an investor or beneficiary. Retirement account distributions are among the most...
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
An Introduction to Measure Theoretic Probability
ISBN: 978-0128000427
2nd edition
Authors: George G. Roussas
Question Posted: