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Variance of exp(X) for a gamma variable

Question

Let XX follow a gamma distribution with shape 88 and scale 13\tfrac13 (equivalently rate 33), written Gamma(8,13)\text{Gamma}(8,\tfrac13). The variance of eXe^{X} can be expressed as ab−(a2)ca^{b}-\left(\tfrac{a}{2}\right)^{c} with integers a,b,ca,b,c. Find abcabc.

Short answer

384384. Use the moment generating function M(t)=(1−t/3)−8M(t)=(1-t/3)^{-8}: Var⁡(eX)=M(2)−M(1)2=38−(3/2)16\operatorname{Var}(e^X)=M(2)-M(1)^2=3^8-(3/2)^{16}. So a=3a=3, b=8b=8, c=16c=16 and abc=384abc=384.

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