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Consider a Poisson process $\hat{n}$ with with parameter $t$ and distribution

$$f_t(n) = e^{-t} \frac{t^n}{n!}$$

Now instead suppose to have a random variable $\hat{t} \in \mathbb{R}^+$ whose distribution, for some integer parameter $n$, is again

$$f_n(t) = f_t(n) = e^{-t} \frac{t^n}{n!}$$

How is this distribution called? Just "power law with exponential cutoff", or there exists some better name? Also, apart from nomenclature, do you know of applications where two related processes $\hat{n}$ and $\hat{t}$ appear together in a sensible manner?

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    $\begingroup$ chi-squared distribution $\endgroup$ Commented Jan 26, 2021 at 21:10

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This distribution is called Gamma distribution https://en.wikipedia.org/wiki/Gamma_distribution

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This simply is the density of the $\Gamma$-distribution with parameter $\nu = n+1$ and $1$, often abbreviated by $\Gamma_{1,n+1}$. For a Poisson-process with parameter $\lambda = 1$ $\Gamma_{1,n+1}$ is the distribution of the $n$-th arrival.

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  • $\begingroup$ Are you sure it's the distribution of the $n$th arrival and not the $n+1$st? Take $n=1$, say. $\endgroup$
    – Will Sawin
    Commented Jan 27, 2021 at 3:44

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