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Generalized integer gamma distribution : ウィキペディア英語版
Generalized integer gamma distribution

In probability and statistics, the generalized integer gamma distribution (GIG) is the distribution of the sum of independent
gamma distributed random variables, all with integer shape parameters and different rate parameters. This is a special case of the generalized chi-squared distribution. A related concept is the generalized near-integer gamma distribution (GNIG).
==Definition==

The random variable X\! has a gamma distribution with shape parameter r
and rate parameter \lambda if its probability density function is
:
f^\,e^ x^~~~~~~(x>0;\,\lambda,r>0)

and this fact is denoted by X\sim\Gamma(r,\lambda)\!.
Let X_j\sim\Gamma(r_j,\lambda_j)\!, where (j=1,\dots,p), be p independent
random variables, with all r_j being positive integers and all \lambda_j\! different. In other words, each variable has
the Erlang distribution with different shape parameters. The uniqueness of each shape parameter comes without loss of generality, because any case where some of the \lambda_j are equal would be treated by first adding the corresponding variables:
this sum would have a gamma distribution with the same rate parameter and a shape parameter which is equal to the sum of
the shape parameters in the original distributions.
Then the random variable ''Y'' defined by
:
Y=\sum^p_ X_j

has a GIG (generalized integer gamma) distribution of depth p with shape parameters
r_j\! and rate parameters \lambda_j\! (j=1,\dots,p).
This fact is denoted by
:Y\sim GIG(r_j,\lambda_j;p)\! .
It is also a special case of the generalized chi-squared distribution.

抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)
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