\[\renewcommand{\var}{\operatorname{Var}} \renewcommand{\corr}{\operatorname{Corr}} \renewcommand{\dd}{\mathrm{d}} \renewcommand{\bb}[1]{\mathbb{#1}} \renewcommand{\vv}[1]{\boldsymbol{#1}} \renewcommand{\rv}[1]{\mathsf{#1}} \renewcommand{\vrv}[1]{\vv{\rv{#1}}} \renewcommand{\disteq}{\stackrel{d}{=}} \renewcommand{\gvn}{\mid} \renewcommand{\Ex}{\mathbb{E}} \renewcommand{\Pr}{\mathbb{P}}\]

Processes with Gamma marginals.
Usually when we discuss *Gamma processes* we mean Gamma-*Lévy* processes.
Such processes have independent Gamma *increments*, much like a Wiener process has independent Gaussian increments and a Poisson process has independent Poisson increments.
Gamma processes provide the classic
subordinator models,
i.e. non-decreasing Lévy processes.

There are other processes with Gamma marginals.

OK but if a process’s marginals are “Gamma-distributed”, what does that even mean? First, go an read about Gamma distributions. THEN go and read about Beta and Dirichlet distributions. We need both. And especially the Gamma-Dirichlet algebra.

For more, see the Gamma-Beta notebook.

## The Lévy-Gamma process

Every divisible distribution induces an associated Lévy process by a standard procedure This works on the Gamma process too.

Ground zero for treating these processes specifically appears to be Ferguson and Klass (1972), and then the weaponisation of these processes to construct the Dirichlet process prior occurs in Ferguson (1974). Tutorial introductions to Gamma(-Lévy) processes can be found in (Applebaum 2009; Asmussen and Glynn 2007; Rubinstein and Kroese 2016; Kyprianou 2014). Existence proofs etc are deferred to those sources. You could also see Wikipedia, although that article was not particularly helpful for me.

The univariate Lévy-Gamma *process* \(\{\rv{g}(t;\alpha,\lambda)\}_t\)
is an independent-increment process,
with time index \(t\) and parameters by \(\alpha, \lambda.\)
We assume it is started at \(\rv{g}(0)=0\).

The marginal density \(g(x;t,\alpha, \lambda )\) of the process at time \(t\) is a Gamma RV, specifically, \[ g(x;t, \alpha, \lambda) =\frac{ \lambda^{\alpha t} } { \Gamma (\alpha t) } x^{\alpha t\,-\,1}e^{-\lambda x}, x\geq 0. \] We can think of the Gamma distribution as the distribution at time 1 of a Gamma process.

That is, \(\rv{g}(t) \sim \operatorname{Gamma}(\alpha(t_{i+1}-t_{i}), \lambda)\). which corresponds to increments per unit time in terms of \(\bb E(\rv{g}(1))=\alpha/\lambda\) and \(\var(\rv{g}(1))=\alpha/\lambda^2.\)

Aside: Note that the useful special case that \(\alpha t=1,\) then we have that \(\rv{g}(t;1,\lambda )\sim \operatorname{Exp}(\lambda).\)

The increment distirbution leads to a method for simulating a path of a Gamma process at a sequence of increasing times, \(\{t_1, t_2, t_3, \dots, t_L\}.\) Given \(\rv{g}(t_1;\alpha, \lambda),\) we know that the increments are distributed as independent variates \(\rv{g}_i:=\rv{g}(t_{i+1})-\rv{g}(t_{i})\sim \operatorname{Gamma}(\alpha(t_{i+1}-t_{i}), \lambda)\). Presuming we may simulate from the Gamma distribution, it follows that \[\rv{g}(t_i)=\sum_{j < i}\left( \rv{g}(t_{i+1})-\rv{g}(t_{i})\right)=\sum_{j < i} \rv{g}_j.\]

### Lévy characterisation

For arguments \(x, t>0\) and parameters \(\alpha, \lambda>0,\) we have the increment density as simply a Gamma density:

\[ p_{X}(t, x)=\frac{\lambda^{\alpha t} x^{\alpha t-1} \mathrm{e}^{-x \lambda}}{ \Gamma(\alpha t)}, \]

This gives us a spectrally positive Lévy measure \[ \pi_{\rv{x}}(x)=\frac{\alpha}{x} \mathrm{e}^{-\lambda x} \] and Laplace exponent \[ \Phi_{\rv{x}}(z)=\alpha \ln (1+ z/\lambda), z \geq 0. \]

That is, the Poisson
rate, with respect to time \(t\)
of jumps whose size is in the range \([x, x+dx)\),
is \(\pi(x)dx.\)
We think of this as an infinite superposition of Poisson processes
driving different sized jumps, where the jumps are mostly tiny.
This is how *I* think about Lévy process theory, at least.

## Gamma bridge

A useful associated process. Consider a univariate Gamma-Lévy process, \(\rv{g}(t)\) with \(\rv{g}(0)=0.\) The Gamma bridge, analogous to the Brownian bridge, is that process conditionalised upon attaining a fixed the value \(S=\rv{g}(1)\) at terminal time \(1.\) We write \(\rv{g}_{S}:=\{\rv{g}(t)\mid \rv{g}(1)=S\}_{0< t < 1}\) for the paths of this process.

We can simulate from the Gamma bridge easily. Given the increments of the process are independent, if we have a Gamma process \(\rv{g}\) on the index set \([0,1]\) such that \(\rv{g}(1)=S\), then we can simulate from the bridge paths which connect these points at intermediate time \(t,\, 0<t<1\) by recalling that we have known distributions for the increments; in particular \(\rv{g}(t)\sim\operatorname{Gamma}(\alpha, \lambda)\) and \(\rv{g}(1)-\rv{g}(t)\sim\operatorname{Gamma}(\alpha (1-t), \lambda)\) and these increments, as increments over disjoints sets, are themselves independent. Then, by the Beta thinning, \[\frac{\rv{g}(t)}{\rv{g}(1)}\sim\operatorname{Beta}(\alpha t, \alpha(1-t))\] independent of \(\rv{g}(1).\) We can therefore sample from a path of the bridge \(\rv{g}_{S}(t)\) for some \(t< 1\) by simulating \(\rv{g}_{S}(t)=B S,\) where \(B\sim \operatorname{Beta}(\alpha (t),\alpha (1-t)).\)

For more on that theme, see Barndorff-Nielsen, Pedersen, and Sato (2001), Émery and Yor (2004) or Yor (2007).

## Completely random measures

Random probability distributions induced by using Gamma-Lévy processes as a CDF. I laboriously reinvented these, bemused that no one seemed to use them, before discovering that they are called “completely random measures” and they are in fact pretty common. So that was a fun exercise.

## Time-warped Lévy-Gamma process

Çinlar (1980) walks us through the mechanics of (deterministically) time-warping Gamma processes, which ends up being not too unpleasant. Predictable stochastic time-warps look like they should be OK. See N. Singpurwalla (1997) for an application. Why bother? Linear superpositions of Gamma processes can be hard work, and sometime the generalisation from time-warping can come out nicer supposedly. 🏗

## References

*Computing*12 (3): 223–46.

*Communications of the ACM*25 (1): 47–54.

*Notices of the AMS*51 (11): 1336–47.

*Lévy Processes and Stochastic Calculus*. 2nd ed. Cambridge Studies in Advanced Mathematics 116. Cambridge ; New York: Cambridge University Press.

*Stochastic Simulation: Algorithms and Analysis*. 2007 edition. New York: Springer.

*Proceedings of the 35th Conference on Winter Simulation: Driving Innovation*, 319–26. WSC ’03. New Orleans, Louisiana: Winter Simulation Conference.

*Bernoulli*12 (1): 1–33.

*Advances in Applied Probability*33 (1): 160–87.

*Lévy Processes*. Cambridge Tracts in Mathematics 121. Cambridge ; New York: Cambridge University Press.

*Lectures on Probability Theory and Statistics: Ecole d’Eté de Probailités de Saint-Flour XXVII - 1997*, edited by Jean Bertoin, Fabio Martinelli, Yuval Peres, and Pierre Bernard, 1717:1–91. Lecture Notes in Mathematics. Berlin, Heidelberg: Springer Berlin Heidelberg.

*Subordinators, Lévy Processes with No Negative Jumps, and Branching Processes*. University of Aarhus. Centre for Mathematical Physics and Stochastics ….

*Stochastic Processes with Applications*. Society for Industrial and Applied Mathematics.

*Generalized Gamma Convolutions and Related Classes of Distributions and Densities*. Lecture Notes in Statistics 76. New York: Springer Science & Business Media.

*arXiv:1502.03901 [Math, q-Fin]*, February.

*Exercises in Probability: A Guided Tour from Measure Theory to Random Processes, Via Conditioning*. Cambridge University Press.

*Journal of Applied Probability*17 (2): 467–80.

*Journal of the American Statistical Association*64 (325): 194–206.

*Non-uniform random variate generation*. New York: Springer.

*Advances in Applied Mathematics*20 (3): 285–99.

*Statistics and Computing*29 (1): 67–78.

*Publications of the Research Institute for Mathematical Sciences*40 (3): 669–88.

*The Annals of Statistics*2 (4): 615–29.

*The Annals of Mathematical Statistics*43 (5): 1634–43.

*Handbook of Computational Finance*, edited by Jin-Chuan Duan, Wolfgang Karl Härdle, and James E. Gentle, 61–88. Berlin, Heidelberg: Springer Berlin Heidelberg.

*Artificial Intelligence and Statistics*, 20–28.

*Advances in Applied Probability*12 (3): 727–45.

*Journal of Forecasting*25 (2): 129–52.

*Journal of Machine Learning Research*12 (32): 1185–1224.

*Student’s t-Distribution and Related Stochastic Processes*. SpringerBriefs in Statistics. Berlin, Heidelberg: Springer Berlin Heidelberg.

*Handbook of Beta Distribution and Its Applications*. Boca Raton: CRC Press.

*Theory of Stochastic Processes : With Applications to Financial Mathematics and Risk Theory*. Problem Books in Mathematics. New York: Springer New York.

*The Annals of Applied Probability*26 (1): 328–59.

*The Annals of Statistics*18 (3): 1259–94.

*Canadian Journal of Statistics*30 (2): 269–83.

*Probability Surveys*5: 346–415.

*Poisson Processes*. Clarendon Press.

*Bayesian Analysis*14 (4): 1037–73.

*Fluctuations of Lévy Processes with Applications: Introductory Lectures*. Second edition. Universitext. Heidelberg: Springer.

*Scandinavian Journal of Statistics*9 (4): 234–36.

*Proceedings of the 26th Annual International Conference on Machine Learning*, 601–8. ICML ’09. New York, NY, USA: ACM.

*Applied Stochastic Processes*. Universitext. Springer New York.

*Stochastic Environmental Research and Risk Assessment*25 (2): 235–51.

*Annals of the Institute of Statistical Mathematics*41 (2): 227–45.

*Annals of the Institute of Statistical Mathematics*34 (3): 591–97.

*Journal of Multivariate Analysis*39 (1): 135–53.

*Linear Algebra and Its Applications*, Tenth Special Issue (Part 2) on Linear Algebra and Statistics, 410 (November): 198–216.

*Annals of the Institute of Statistical Mathematics*44 (1): 97–106.

*beyondWhittle: Bayesian Spectral Inference for Stationary Time Series*(version 1.1.1).

*Journal of Multivariate Analysis*175 (January): 104560.

*Annals of the Institute of Statistical Mathematics*37 (3): 541–44.

*Probability, Statistics, and Stochastic Processes*. Hoboken, N.J: Hoboken, N.J. : Wiley-Interscience.

*Journal of Multivariate Analysis*130 (September): 155–75.

*arXiv:1201.3256 [Math]*, January.

*Journal of the American Statistical Association*108 (504): 1339–49.

*Proceedings of the 22nd International Conference on Neural Information Processing Systems*, 1554–62. NIPS’09. Red Hook, NY, USA: Curran Associates Inc.

*Artificial Intelligence and Statistics*, 800–808. PMLR.

*Simulation and the Monte Carlo Method*. 3 edition. Wiley series in probability and statistics. Hoboken, New Jersey: Wiley.

*Lévy Processes and Infinitely Divisible Distributions*. Cambridge University Press.

*International Journal of Theoretical and Applied Finance*11 (01): 1–18.

*Artificial Intelligence and Statistics*, 877–85. PMLR.

*Journal of Applied Probability*25 (3): 501–9.

*Journal of Applied Probability*27 (2): 325–32.

*Engineering Probabilistic Design and Maintenance for Flood Protection*, edited by Roger Cooke, Max Mendel, and Han Vrijling, 67–75. Boston, MA: Springer US.

*Scandinavian Journal of Statistics*20 (3): 251–61.

*Infinite Divisibility of Probability Distributions on the Real Line*. Boca Raton: CRC Press.

*Proceedings of the Eleventh International Conference on Artificial Intelligence and Statistics*, 564–71. PMLR.

*Scandinavian Actuarial Journal*1977 (1): 31–40.

*Scandinavian Actuarial Journal*1977 (3): 121–48.

*2018 AIAA Non-Deterministic Approaches Conference*, January.

*Statistics & Probability Letters*80 (7): 697–705.

*Methodology and Computing in Applied Probability*12 (4): 695–729.

*Scandinavian Journal of Statistics*27 (3): 575–76.

*Engineering Probabilistic Design and Maintenance for Flood Protection*, edited by Roger Cooke, Max Mendel, and Han Vrijling, 77–83. Boston, MA: Springer US.

*Proceedings of the Twenty-Seventh Conference on Uncertainty in Artificial Intelligence*, 736–44. UAI’11. Arlington, Virginia, United States: AUAI Press.

*Biometrika*85 (2): 251–67.

*arXiv:2106.00087 [Math]*, May.

*arXiv:2105.14591 [Math]*, May.

*arXiv:1503.08542 [Cs, Stat]*, March.

*Advances in Mathematical Finance*, edited by Michael C. Fu, Robert A. Jarrow, Ju-Yi J. Yen, and Robert J. Elliott, 37–47. Applied and Numerical Harmonic Analysis. Birkhäuser Boston.

## No comments yet. Why not leave one?