[Math] Showing that the Gamma distribution is stochastically increasing

probabilityprobability distributionsprobability theory

I am looking at 3.41(b) of Casella and Berger, and I'm getting stuck.

It requires showing that the Gamma$(\alpha,\beta)$ family, $f(x|\alpha,\beta)=\frac{1}{\Gamma(\alpha) \beta^{\alpha}}x^{\alpha-1}e^{-x/\beta}$ is stochastically increasing in $\beta$ for fixed $\alpha$. This means showing that for $\beta_1>\beta_2$, $F(X|\alpha,\beta_1)\geq F(X|\alpha,\beta_2)$ for all $x$ and $F(X|\alpha,\beta_1)> F(X|\alpha,\beta_2)$ for some $x$.

This is proving difficult as we do not have a non-integral form of the CDF of the Gamma function, and unlike the Normal function in (a) we cannot standardize it.

Best Answer

I think you've misunderstood the definition of stochastically greater. Exercise 1.49 states that if $F_X(t) \le F_Y(t)$ then $X$ is stochastically greater than $t$, because this suggests that realizations of $X$ will be greater than realizations of $Y$. This is why I confused the parametrization in my previous version of my response.

With this in mind, the goal is to show that, for any fixed $x_0, \alpha > 0$, the function $$G(\beta) = \int_{x = 0}^{x_0} \frac{x^{\alpha-1} e^{-x/\beta}}{\beta^\alpha \Gamma(\alpha)} \, dx$$ is decreasing in $\beta$.

To this end, we perform a scaling transformation: $$x = \beta y, \quad dx = \beta \, dy$$ to obtain $$G(\beta) = \int_{y=0}^{x_0/\beta} \frac{(y \beta)^{\alpha-1} e^{-y}}{\beta^\alpha \Gamma(\alpha)} \, \beta \, dy = \int_{y=0}^{x_0/\beta} \frac{y^{\alpha-1} e^{-y}}{\Gamma(\alpha)} \, dy.$$ And now, we observe that the integrand is no longer a function of $\beta$, and that the value of $G(\beta)$ depends only on the upper limit of integration. And since $x_0 > 0$, it immediately follows that $G(\beta_1) < G(\beta_2)$ if and only if $\beta_1 > \beta_2$ for all $\beta_1, \beta_2 > 0$.

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