If and are independent random variables with Gamma distributions of shapes and the same rate , then has the Beta distribution with parameters , and has the Gamma distribution of shape and rate . Moreover and are independent. The inverse change of variables has absolute Jacobian determinant , which makes the joint probability density factorize on the product domain , . The common rate is essential for this factorization.
If independent random variables have gamma distributions with shapes and one common rate , thenTheir Laplace transforms of nonnegative random variables multiply to , which is the transform of the displayed gamma distribution; uniqueness of the Laplace transform proves the claim.
Writing , , and puts the gamma density into exponential dispersion family formIts mean is and its variance is .
An inverse-gamma random variable is the reciprocal of a gamma distribution random variable up to scale. In shape-scale parameters its density is proportional to on .
The sum of independent exponential variables of rate has the Erlang distribution with densityConvolving with one more exponential proves the formula inductively.
If is a positive integer and are independent uniform variables, thenhas the gamma distribution with shape and rate , because each summand is exponential with rate .
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The Gamma distribution is a continuous probability distribution defined by two parameters: shape (often denoted as \( k \) or \( \alpha \)) and scale (denoted as \( \theta \) or \( \beta \)). It is widely used in various fields, including statistics, finance, and engineering, due to its ability to model waiting times and processes that are characterized by events that occur independently at a constant average rate.