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

\(\ds \)

\(=\)

\(\ds \dfrac {\beta^\alpha \alpha \paren {\alpha + 1} \paren {\alpha + 2} } {\paren {\beta - t}^{\alpha + 3} }\)

$\blacksquare$