Moment Generating Function of Gamma Distribution/Examples/Third Moment

Examples of Use of Moment Generating Function of Gamma Distribution

Let $X \sim \map \Gamma {\alpha, \beta}$ for some $\alpha, \beta > 0$, where $\Gamma$ is the Gamma distribution.

Let $t < \beta$.

The third moment generating function of $X$ is given by:

$\map { {M_X}'''} t = \dfrac {\beta^\alpha \alpha \paren {\alpha + 1} \paren {\alpha + 2} } {\paren {\beta - t}^{\alpha + 3} }$

Proof

We have:

 $\ds \map { {M_X}'''} t$ $=$ $\ds \frac \d {\d t} \map { {M_X}''} t$ Definition of Moment Generating Function $\ds$ $=$ $\ds \frac \d {\d t} \frac {\beta^\alpha \alpha \paren {\alpha + 1} } {\paren {\beta - t}^{\alpha + 2} }$ Moment Generating Function of Gamma Distribution: Second Moment $\ds$ $=$ $\ds \beta^\alpha \alpha \paren {\alpha + 1} \paren {\alpha + 2} {\frac {-1} {\paren {\beta - t}^{\alpha + 3} } }$ Chain Rule for Derivatives, Derivative of Power $\ds$ $=$ $\ds \dfrac {\beta^\alpha \alpha \paren {\alpha + 1} \paren {\alpha + 2} } {\paren {\beta - t}^{\alpha + 3} }$

$\blacksquare$