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Question

Find the density of cX when X follows a gamma distribution. Show that only λ\lambda is affected by such a transformation, which justifies calling λ\lambda a scale parameter.

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Answered 2 years ago
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Y=cXY=cX

Definition gamma density of XX:

fX(t)=λαtα1eλtΓ(α)f_X(t)=\dfrac{\lambda^{\alpha}t^{\alpha-1}e^{-\lambda t}}{\Gamma(\alpha)}

with

Γ(x)=0+ux1eudu\Gamma(x)=\int_0^{+\infty}u^{x-1}e^{-u}du

Definition cumulative distribution function of YY:

FY(y)=P(Yy)F_Y(y)=P(Y\leq y)

YY is defined as the Y=cXY=cX:

FY(y)=P(cXy)F_Y(y)=P(cX\leq y)

Let c>0c>0. Divide each side of the inequality by cc:

FY(y)=P(Xyc)F_Y(y)=P\left(X\leq \dfrac{y}{c}\right)

Use the definition of the cumulative distribution function of XX:

FY(y)=FX(yc)F_Y(y)=F_X\left(\dfrac{y}{c}\right)

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