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Math Help - Characteristic Function of a Gamma Distribution

  1. #1
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    Characteristic Function of a Gamma Distribution

    Suppose that X ~ G (n, l). Obtain the characteristic function of X, and use it to compute the mean and variance of X.

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  2. #2
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    You might want to show us what you have done so far.

    The characteristic function is just \phi_X(t)=E[e^{itX}].

    To compute the mean, just differentiate the characteristic function, set t to zero and divide by i. Similarly, to get the variance, differentiate the characteristic function twice, set t to zero and divide by i^2
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