TITLE: Probability Density Function of Scaled Gamma Random Variable
QUESTION [7 upvotes]: Assume we have a Gamma Random Variable $X$ with the following pdf
$$ \frac{m^mx^{m-1}}{\Gamma(m)}\text{exp}(-mx)$$
If I am asked to find the distribution of the following 
$$Y= aX$$ 
where a is non-negative constant, how will the distribution change?
Thanks

REPLY [14 votes]: If $Y=aX$ then it follows that $$\begin{align}
f_Y(y) & = f_{aX}(y) \\[1ex] & = \frac{f_X(y/a) }{ a }
\end{align}$$

Note: This is analogous to $\mathsf P(Y=y) = \mathsf P(aX=y) = \mathsf P(X=y/a)$ for a discrete RV; though scaling a probability density distribution is slightly different from scaling a probability mass distribution.

A gamma distribution has two parameters, shape $\alpha$ and rate $\beta$.
$$Z\sim \operatorname{Gamma}(\alpha, \beta) \iff  f_Z(z) = \dfrac{\beta^\alpha z^{\alpha - 1} e^{-\beta z}}{\Gamma (\alpha)}$$
So...
$$\begin{align}
f_X(x) & = \dfrac{m^m x^{m - 1} e^{-m x}}{\Gamma (m)} 
\\\
\therefore X & \sim \operatorname{Gamma}(m, m)
\\[3ex]
f_Y(y) & = \frac{f_X(y/a)}{a}
\\[1ex]
 & = \dfrac{1}{a} \dfrac{m^m a^{1-m} y^{m - 1} e^{-m y /a}}{\Gamma (m)}
\\[1ex]
 & = \dfrac{(m/a)^m y^{m - 1} e^{-(m/a) y}}{\Gamma (m)}
\\[2ex] 
 \therefore Y &\sim \operatorname{Gamma}(m, m/a)
\end{align}$$