Question: The Gamma distribution, G(, ) has density given by Here () is the gamma function of Section 6.8 and equals (1)! if is a

The Gamma distribution, G(α, λ) has density given by

fa(x: a, A) = 1a I(a)" -e-, r>0. (6.42)

Here Γ(α) is the gamma function of Section 6.8 and equals (α−1)! if α is a positive integer. Show that the Gamma is infinitely divisible (empirically) by showing that the histogram for the sum of six samples of G(1, λ) has the same density as G(6, λ). Note that, for α a positive integer, then

W ==log([[U) U ~ U(0,1) 1 (6.43)

is a sample from G(α, λ),

fa(x: a, A) = 1a I(a)" --, x>0. -Ar (6.42)

Step by Step Solution

3.45 Rating (155 Votes )

There are 3 Steps involved in it

1 Expert Approved Answer
Step: 1 Unlock

To show that the Gamma distribution is infinitely divisible empirically we would need to compare the density of the sum of independent Gammadistribute... View full answer

blur-text-image
Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock
Step: 3 Unlock

Students Have Also Explored These Related Finance With Monte Carlo Questions!