What is the expected value of the logarithm of Gamma distribution?

Question

If the expected value of $\mathsf{Gamma}(\alpha, \beta)$ is $\frac{\alpha}{\beta}$, what is the expected value of $\log(\mathsf{Gamma}(\alpha, \beta))$? Can it be calculated analytically?

The parametrisation I am using is shape-rate.

Answer 1

This one (maybe surprisingly) can be done with easy elementary operations (employing Richard Feynman's favorite trick of differentiating under the integral sign with respect to a parameter).

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We are supposing $X$ has a $\Gamma(\alpha,\beta)$ distribution and we wish to find the expectation of $Y=\log(X).$ First, because $\beta$ is a scale parameter, its effect will be to shift the logarithm by $\log\beta.$ (If you use $\beta$ as a rate parameter, as in the question, it will shift the logarithm by $-\log\beta.$) This permits us to work with the case $\beta=1.$

After this simplification, the probability element of $X$ is

$$f_X(x) = \frac{1}{\Gamma(\alpha)} x^\alpha e^{-x} \frac{\mathrm{d}x}{x}$$

where $\Gamma(\alpha)$ is the normalizing constant

$$\Gamma(\alpha) = \int_0^\infty x^\alpha e^{-x} \frac{\mathrm{d}x}{x}.$$

Substituting $x=e^y,$ which entails $\mathrm{d}x/x = \mathrm{d}y,$ gives the probability element of $Y$,

$$f_Y(y) = \frac{1}{\Gamma(\alpha)} e^{\alpha y - e^y} \mathrm{d}y.$$

The possible values of $Y$ now range over all the real numbers $\mathbb{R}.$

Because $f_Y$ must integrate to unity, we obtain (trivially)

$$\Gamma(\alpha) = \int_\mathbb{R} e^{\alpha y - e^y} \mathrm{d}y.\tag{1}$$

Notice $f_Y(y)$ is a differentiable function of $\alpha.$ An easy calculation gives

$$\frac{\mathrm{d}}{\mathrm{d}\alpha}e^{\alpha y - e^y} \mathrm{d}y = y\, e^{\alpha y - e^y} \mathrm{d}y = \Gamma(\alpha) y\,f_Y(y).$$

The next step exploits the relation obtained by dividing both sides of this identity by $\Gamma(\alpha),$ thereby exposing the very object we need to integrate to find the expectation; namely, $y f_Y(y):$

$$\eqalign{ \mathbb{E}(Y) &= \int_\mathbb{R} y\, f_Y(y) = \frac{1}{\Gamma(\alpha)} \int_\mathbb{R} \frac{\mathrm{d}}{\mathrm{d}\alpha}e^{\alpha y - e^y} \mathrm{d}y \\ &= \frac{1}{\Gamma(\alpha)} \frac{\mathrm{d}}{\mathrm{d}\alpha}\int_\mathbb{R} e^{\alpha y - e^y} \mathrm{d}y\\ &= \frac{1}{\Gamma(\alpha)} \frac{\mathrm{d}}{\mathrm{d}\alpha}\Gamma(\alpha)\\ &= \frac{\mathrm{d}}{\mathrm{d}\alpha}\log\Gamma(\alpha)\\ &=\psi(\alpha), }$$

the logarithmic derivative of the gamma function (aka "polygamma"). The integral was computed using identity $(1).$

Re-introducing the factor $\beta$ shows the general result is

$$\mathbb{E}(\log(X)) = \log\beta + \psi(\alpha)$$

for a scale parameterization (where the density function depends on $x/\beta$) or

$$\mathbb{E}(\log(X)) = -\log\beta + \psi(\alpha)$$

for a rate parameterization (where the density function depends on $x\beta$).

Answer 2

The answer by @whuber is quite nice; I will essentially restate his answer in a more general form which connects (in my opinion) better with statistical theory, and which makes clear the power of the overall technique.

Consider a family of distributions $\{F_\theta : \theta \in \Theta\}$ which consitute an exponential family, meaning they admit a density $$ f_\theta(x) = \exp\left\{s(x)\theta - A(\theta) + h(x)\right\} $$ with respect to some common dominating measure (usually, Lebesgue or counting measure). Differentiating both sides of
$$ \int f_\theta(x) \ dx = 1 $$ with respect to $\theta$ we arrive at the score equation $$ \int f'_\theta(x) = \int \frac{f'_\theta(x)}{f_\theta(x)} f_\theta(x) = \int u_\theta(x) \, f_\theta(x) \ dx = 0 \tag{$\dagger$} $$ where $u_\theta(x) = \frac d {d\theta} \log f_\theta(x)$ is the score function and we have defined $f'_\theta(x) = \frac{d}{d\theta} f_\theta(x)$. In the case of an exponential family, we have $$ u_\theta(x) = s(x) - A'(\theta) $$ where $A'(\theta) = \frac d {d\theta} A(\theta)$; this is sometimes called the cumulant function, as it is evidently very closely related to the cumulant-generating function. It follows now from $(\dagger)$ that $E_\theta[s(X)] = A'(\theta)$.

We now show this helps us compute the require expectation. We can write the gamma density with fixed $\beta$ as an exponential family $$ f_\theta(x) = \frac{\beta^\alpha}{\Gamma(\alpha)} x^{\alpha-1} e^{-\beta x} = \exp\left\{\log(x) \alpha + \alpha \log \beta - \log \Gamma(\alpha) - \beta x \right\}. $$ This is an exponential family in $\alpha$ alone with $s(x) = \log x$ and $A(\alpha) = \log \Gamma(\alpha) - \alpha \log \beta$. It now follows immediately by computing $\frac d {d\alpha} A(\alpha)$ that $$ E[\log X] = \psi(\alpha) - \log \beta. $$