6More distributions

IA Probability



6.3 Beta distribution*
Suppose
X
1
, ··· , X
n
are iid
U
[0
,
1]. Let
Y
1
Y
2
··· Y
n
be the order
statistics. Then the pdf of Y
i
is
f(y) =
n!
(i 1)!(n i)!
y
i1
(1 y)
ni
.
Note that the leading term is the multinomial coefficient
n
i1,1,n1
. The formula
is obtained using the same technique for finding the pdf of order statistics.
This is the beta distribution: Y
i
β(i, n i + 1). In general
Definition (Beta distribution). The beta distribution β(a, b) has pdf
f(x; a, b) =
Γ(a + b)
Γ(a)Γ(b)
x
a1
(1 x)
b1
for 0 x 1.
This has mean a/(a + b).
Its moment generating function is
m(θ) = 1 +
X
k=1
k1
Y
r=0
a + r
a + b + r
!
θ
k
k!
,
which is horrendous!