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For random variable $Z$ from a $Gamma(p), p > 0$ distribution we know that the expected value of $E[Z^s]$ is simply the gamma function at $p+s$ divided by the gamma function at $p$, for $p+s$ > 0.

But what if we are interested in calculating $E[Z^{-2}]$ and the variance of $Z^{-2}$ ? We can just use the same method requiring $p > 2$, but is there a more general way of evaluating in the case that $p < 2$?

Ator
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  • The variance is infinite in all those cases, so there's no need for any calculation. For a proof of this assertion, see https://stats.stackexchange.com/a/299765/919. – whuber Oct 03 '23 at 17:06
  • Consider $p=1$ (i.e. an exponential random variable). Its reciprocal does not have a mean, let alone a finite second moment or variance. – Henry Oct 03 '23 at 17:08

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