DISTRIBUTION OF A LINEAR FUNCTION AND THE RATIO OF TWO

INDEPENDENT LINEAR FUNCTIONS O F INDEPENDENT GENERALIZED

GAMMA VARIABLES *

Henrick John Malik

University of Guelph
Guelph, Ontario

ABSTRACT
In this paper the exact distribution of a linear function and the ratio of two independent
linear functions of independent generalized gamma variables is given.

1. INTRODUCTION
Let X be a random variable whose frequency function is

Form (1.1) is Stacy’s [6] generalization of the gamma distribution. The familiar gamma, chi, chi-squared,
exponential and Weibull variates are special cases, as are certain functions of normal variates. Form
(1.1) is also a function introduced by Amoroso [l] in analyzing the distribution of income. Stacy [6]
has studied some of the elementary properties of (1.1). Parr and Webster [5] have obtained expressions
for the maximum likelihood estimators of the parameters of (1.1) and for their asymptotic variances and
covariances. There are several problems in physical sciences where one needs the distribution of a prod-
uct, quotient, linear function, and the ratio of two independent linear functions of independent random
variables. Miller [4] mentions a number of such problems. Malik [2, 31 gives the exact distribution of
the quotient and of the product of two independent generalized gamma variables. In this note the exact
distribution of a linear function and the ratio of two independent linear functions of independent gener-
alized gamma variables is given.

* Research supported by National Research Council of Canada.

339
340 H.J. MALIK

2. DISTRIBUTION OF A LINEAR FUNCTION OF INDEPENDENT GENERALIZED

GAMMA VARIABLES
Xz,. . .,X, be independently distributed with respective frequency functions given by
Let XI,

Let the linear function be

n
Y= 2 x j x j
j= 1

where the Xj are defined as above. We may assume, without any loss of generality, that all the h j are
positive and greater than unity.
Now the characteristic function for the distribution of X j is given by

(2.3)

Hence the characteristic function for the distribution of Y is given by

(2.4)

Hence the distribution of Y is given by

(2.5)

where Rn=rl+r2+. . .+rn.

 GENERALIZED GAMMA VARIABLES 341

Now it may be shown that

It is well known that

(2.7)

n
Now using (2.5), (2.6), and (2.7), we have the exact distribution of a linear function Y = C AjXj .
j=1

3. DISTRIBUTION OF THE RATIO OF TWO INDEPENDENT LINEAR FUNCTIONS

m n
Let U = 2 AjXj/C AjX(i where the Xj and the Xi are independent generalized gamma variables.
j= 1 j =1
We shall assume, without any loss of generality, that all the A j and the A; are positive and greater than
unity.
For simplicity, let us write U = Y/Z, where

Using (2.8), the distributions of Y and Z are given by

We shall first derive the distribution of

W=log U=log Y-l0gZ.

342 H. J. MALIK

The characteristic function of W=log U is given by

(3.3)

x r [ r - Rrn + it] I‘ [r’ - Rh + i t ]

Hence t..e distribution o W is given by

r m

(3.4)

Now note from (3.3) that in order to find f(w),we need to calculate the following integral I:

(3.5) I=- 1 m ,-iwtr +

[ -R m i t ] [r’ - Rk - it]&.
2lr -m

If we make the transformation r’ =Rh- it = - z , (3.5) may be written as

(3.6) Z=e-w[r’-Rk] -
ZIT
/m
-m
e-mZr[(r+r’) - (Rm+Rh) + z ] .

Using a well known result from Whittaker and Watson [7], (3.6) may be written as

-[(r+r)
(3.7) I= e-w[+’-Ry [ I + e-W] ’ - ( R m + R 3 1 r [ ( r + r ’ ) -( R ~ + R ~ ) I .
 GENERALIZED GAMMA VARIABLES 343

Now using (3.3), (3.5), and (3.7) and making the transformation U = e W , the distribution of the ratio
U is given by

R‘n
x Pn(aj, dj, p j , F;) (::n)(-l)r’+R’n
r;, . . . , r‘ r‘ = 0

REFERENCES
[l] Amoroso, L., “Richerche Intorno Alla Curva dei Redditi,” Ann. Mat. Pura Appl. Ser. 4 21: 123-159
(1925).
[2] Malik, H. J., “Exact Distribution of the Quotient of Independent Generalized Gamma Variables,”
Canad. Math. Bull. 10: 463-465 (1967).
[3] Malik, H. J., “Exact Distribution of the Product of Independent Generalized Gamma Variables
with the Same Shape Parameter,” Ann. Math. Statist. 39: 1751-1752 (1968).
[4] Miller, K. S., Multi-dimensional Gaussian Distributions (John Wiley & Sons, New York, 1964).
[5] Parr, V. B. and J. T. Webster, “A Method for Discriminating Between Failure Density Functions
Used in Reliability Predictions,” Technometrics 7: 1-10 (1965).
[6] Stacy, E. W., “A Generalization of the Gamma Distribution,” Ann. Math. Statist. 33: 1187-1192
(1962).
[7] Whittaker, E. T. and G. N. Watson, A Course of Modern Analysis (Cambridge University Press,
1920).