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Beta Distribution

1. The document defines the beta distribution, which has probability density functions dependent on two positive parameters a and b. 2. It provides definitions and properties for the beta function, incomplete beta function, and both the first and second kinds of beta distributions. 3. Formulas are given for the probability density functions, cumulative distribution functions, moments including mean and variance, and moment generating functions for the various beta distributions. An example calculation of probability within bounds is also shown.

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Ayush Bhadauria
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1K views16 pages

Beta Distribution

1. The document defines the beta distribution, which has probability density functions dependent on two positive parameters a and b. 2. It provides definitions and properties for the beta function, incomplete beta function, and both the first and second kinds of beta distributions. 3. Formulas are given for the probability density functions, cumulative distribution functions, moments including mean and variance, and moment generating functions for the various beta distributions. An example calculation of probability within bounds is also shown.

Uploaded by

Ayush Bhadauria
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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1

Special Continuous Probability


Distributions
Beta Distribution
Instructor: Dr. Gaurav Bhatnagar
22001: PROBABILITY AND STATISTICS
2
Beta Function - Definition
In mathematics, the beta function, also called the Euler
integral of the first kind, is a special function defined by
where .
1
1 1
0
( , ) (1 ) (1)
a b
B a b u u du

=
}
0and 0 a b > >
Properties:
It is well-defined, i.e.,
It is commutative, i.e.,

( , ) B a b <
( , ) ( , ) B a b B b a =
( ,1) 1/ and (1, ) 1/ B a a B b b = =
3
Beta Function - Definition
( )
1
0
a x
a x e dx


I =
}
The main property of Beta function is
where is the Gamma function, which is defined as
An important property of Gamma function is
by which Eqn. (2) reduces to
( ) ( )
( )
( , ) (2)
a b
B a b
a b
I I
=
I +
( ) a I
( )
( 1)! a a I =
( 1)! ( 1)!
( , ) (3)
( 1)!
a b
B a b
a b

=
+
FYI: Eqn. (2) is the general form and is valid for all positive real a and b. In
contrast, Eqn. (3) needs to be consider whenever a and b are positive integers.
4
Incomplete Beta Function - Definition
It is the generalization of beta function defined by
where
1 1
0
( ; , ) (1 ) (4)
x
a b
B x a b u u du

=
}
0and 0. a b > >
It is clear that whenever , incomplete Beta function
coincides with standard Beta function.
1 x =
5
Beta Distribution of First Kind - Definition
A random variable is said to have a Beta distribution of
first kind with parameters, and , if the probability density
function is given by
Notation:
X
a b
1 1
1
(1 ) (0,1), 0, 0
( , ) ( ) (5)
0 otherwise
a b
x x x a b
B a b f x

e > >

1
~ ( , ) X a b |
If , we get
1 a b = =
1
( ) 1, (0,1)
(1,1)
f x x
B
= = e
6
Beta Distribution of First Kind - Definition
1 1
,
2 2
a b = =
2, 2 a b = =
1, 3 a b = =
5, 1 a b = =
2, 5 a b = =
7
Beta Distribution of First Kind - Definition
Cumulative Distribution Function:
( )
1 1
0
( )
( )
0 0
1
(1 ) (0,1) (6)
( , )
1 1
x
x
a b
F x P X x
f u du
x
u u du x
B a b
x


= s
=
s

= e

>

}
}
8
Beta Distribution of First Kind - Definition
Moments:
1
0
1
1 1
0
1
1 1
0
' ( ) ( )
1
(1 )
( , )
1
(1 )
( , )
( , )
(7)
( , )
r r
r
r a b
a r b
x f x dx x f x dx
x x x dx
B a b
x x dx
B a b
B a r b
B a b


+
= =
=
=
+
=
} }
}
}
9
Beta Distribution of First Kind - Definition
Moments: Recall Eqn. (7)
Mean:
( , )
'
( , )
r
B a r b
B a b

+
=
1
( 1, )
'
( , )
B a b
B a b

+
=
(8)
( )
a
a b
=
+
10
Beta Distribution of First Kind - Definition
Moments: Recall Eqn. (7)
Variance:
( , )
'
( , )
r
B a r b
B a b

+
=
( )
( ) ( )
2 2
2
2 1
2
2
( ) ( ) ' '
( 1)
( )( 1) ( )
(9)
( ) ( 1)
V X E X E X
a a a
a b a b a b
ab
a b a b
= =
| | +
=
|
+ + + +
\ .
=
+ + +
11
Beta Distribution of First Kind - Definition
Moment Generating Function:
( )
1
0
1
1 1
0
1
( ) ( )
1
(1 )
( , )
1
1 ( , ) (10)
( , ) !
xt xt
X
xt a b
k
k
M t E e e f x dx
e x x dx
B a b
t
B a k b
B a b k

=
= =
=
= + +
}
}
_
FYI: This expression is obtained by considering Taylor expansion of
exp(xt).
12
Beta Distribution of First Kind - Definition
Theorem 1: If then
Proof:
Let with pdf .
( ) ( ) (1 ) (11)
dx
h y f x f y
dy
= =
1
~ ( , ) X a b |
1
1 ~ ( , ). X b a |
1 Y X =
( ) h y
1 1
1
1
(1 ) (0,1), 0, 0
( , ) ~ ( , ) ( ) ( )
0 otherwise
a b
x x x a b
B a b X a b f x f x |

e > >

= =

1 1
1
1
(1 ) (0,1), 0, 0
( , ) ( ) ~ ( , )
0 otherwise
a b
y y y a b
B a b h y Y b a |

e > >

13
Beta Distribution of Second Kind - Definition
A random variable is said to have a Beta distribution of
second kind with parameters, and , if the probability
density function is given by
Notation:
X
a b
1
1
1
(0, ), 0, 0
( ) (12)
( , ) (1 )
0 otherwise
a
b
x
x a b
f x
B a b x

e > >

=
+

2
~ ( , ) X a b |
Origin:
2 1
1
~ ( , ) then ~ ( , )
1
X a b Y a b
X
| |
| |
=
|
+
\ .
14
Moments:
Mean:
Variance:
( , )
' (13)
( , )
r
B a r b r
B a b

+
=
1
( 1, 1)
' , 1 (14)
( , ) 1
B a b a
b
B a b b

+
= = >

( )
2
2 1
2
( ) ' '
( 1)
( 1)( 2) 1
V X
a a a
b b b
=
+
| |
=
|

\ .
2
( 1)
, 2 (15)
( 1) ( 2)
a a b
b
b b
+
= >

Beta Distribution of Second Kind - Definition
15
A utilities industry consultant predicts a cutback in the
Indian utilities industry during 2010-2015 by a percentage
specified by a beta distribution with a=1 and b=1 Calculate the
probability that Rajasthan Hydro will downsize by between
10% and 30% during the given five-year period.
Soln: First we need to identify the pdf
Example
1 1
1
( ) (1 ) , (0,1) (15)
( , )
a b
f x x x x
B a b

= e
1
( ) 1, (0,1) (16)
(1,1)
f x x
B
= = e
16
Now, the required probability is
Example
( )
0.3
0.1
0.3
0.1
0.3
0.1
(0.1 0.3) ( )
0.2
P X f x dx
dx
x
s s =
=
=
=
}
}

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