BETA DISTRIBUTION HISTORY The distribution has a very long history.

The "problem in the doctrine of chances" that Bayes treated produced a beta distribution for the posterior density of the probability of a success in Bernoulli trials. In the early 20th century English literature it was usual to refer to the distribution by its designation in the Pearson family of curves. However the new text-books of the 1940s did not favour the Pearson classification and the beta designation has become standard. An Essay towards solving a Problem in the Doctrine of Chances is a work on the mathematical theory of probability by the Reverend Thomas Bayes, published in 1763, two years after its author's death. It included a statement of a special case of what is now called Bayes' theorem. In 18th-century English, the phrase "doctrine of chances" meant the theory of probability. It had been introduced as the title of a book by Abraham Demoivre. Bayes supposed a sequence of independent experiments, each having as its outcome either success or failure, the probability of success being some number p between 0 and 1. But then he supposed p to be an uncertain quantity, whose probability of being in any interval between 0 and 1 is the length of the interval. In modern terms, p would be considered a random variable uniformly distributed between 0 and 1. Conditionally on the value of p, the trials resulting in success or failure are independent, but unconditionally (or "marginally") they are not. That is because if a large number of successes are observed, then p is more likely to be large, so that success on the next trial is more probable. The question Bayes addressed was: what is the conditional probability distribution of p, given the numbers of successes and failures so far observed. The answer is that its probability density function is

(and (p) = 0 for p < 0 or p > 1) where k is the number of successes so far observed, and n is the number of trials so far observed. This is what today is called the Beta distribution with parameters k + 1 and n k + 1.

P.D.F. OR P.F. Probability density function The probability density function of the beta distribution is:

where (z) is the gamma function. The beta function, B, appears as a normalization constant to ensure that the total probability integrates to unity. A random variable X that is Beta-distributed with shape and is denoted XBe(,) Cumulative distribution function The cumulative distribution function is

where Bx(,) is the incomplete beta function and Ix(,) is the regularized incomplete beta function

PARAMETER Parameter estimation Let

be the sample mean and

be the sample variance. The method-of-moments estimates of the parameters are

When the distribution is required over an interval other than [0, 1], say

, then replace

with

and

with

in the above equations.

There is no closed-form of the maximum likelihood estimates for the parameters. Reference:

EXAMPLE OF P.F. OR P.D.F. PLOT Probability density function

Cumulative distribution function

MEAN AND VARIANCE The expected value (mean) (), variance (second central moment), skewness (third central moment), and kurtosis excess (fourth central moment) of a Beta distribution random variable X with parameters and are:

The skewness is

The kurtosis excess is:

or:

In general, the kth raw moment is given by

where (x)k is a Pochhammer symbol representing rising factorial. It can also be written in a recursive form as

One can also show that

EXAMPLE 1 Important computational aids for the numerical evaluation of incomplete integrals of gamma and beta distributions involve expressing such integrals as sums of probabilities of particular Poisson and binomial distributions. a) Prove that

where b) Prove that and

and where is a positive integer.

where and are positive integers and where SOLUTION 1 a) With , we have

which is when .

b) With

, we have

Thus, since we have

which is when .

EXAMPLE 2 Let be a random sample of binary random variables with , show that a level . Using the confidence interval for

cumulative distribution function of is

where defined to be . SOLUTION 2 Since

is the

th quantile of the F-distribution

, and

is

has the binomial distribution with size

and probability

and the binomial family has , is decreasing is the solution to

monotone likelihood ratio in , the cumulative distribution function of in for fixed . A level and confidence interval for is . Let , where

is the solution to

be a random variable having

the beta distribution with parameter

. Using integral by parts, we obtain that

Therefore,

is the if

th quantile of the beta distribution with parameter . For , it is the solution to if .Then, . Hence,

if is the

and is equal to

th quantile of the beta distribution with parameter to if . Let be a random variable having the F-distribution . Hence

and is equal has

the beta distribution with parameter

when

is defined to be . Similarly,

Note that

has the F-distribution

. Hence,