Let X have a Weibull distribution with the pdf below:
f(x; a, B) = (a/B)(x/B)^(a-1)e^(-(x/B)^a) for x ≥ 0, 0 otherwise.
Verify that E(X) = BΓ(1 + 1/a).
[Hint: In the integral for E(X), make the change of variable y
so that x = By^(1/a).
Using the substitution, Y = (x/B)^(1/a), we have
dy = (1/a)(x/B)^(1/a - 1)(1/B) dx.
Now we can simplify E(X) as follows:
E(X) = ∫[0,∞] x f(x; a, B) dx
= ∫[0,∞] x (a/B)(x/B)^(a-1)e^(-(x/B)^a) dx
= ∫[0,∞] (By^(1/a))(a/B)(By^(1/a)/B)^(a-1)e^(-(By^(1/a)/B)^a) (1/a)(By^(1/a - 1))(1/B) dy
= ∫[0,∞] (a/B)(By^(1/a))^a e^(-(By^(1/a))^a) (1/a)(By^(1/a - 1))(1/B) dy
= (a/B)(1/a)(1/B) ∫[0,∞] y^a e^(-y^a) y^(1/a - 1) dy
= (1/B^2) ∫[0,∞] y^(a + 1/a - 1) e^(-y^a) dy
= (1/B^2) ∫[0,∞] y^(1 + 1/a) e^(-y^a) dy
= (1/B^2) Γ(1 + 1/a).