Professional Documents
Culture Documents
a c
To cite this article: Saralees Nadarajah & Arjun K. Gupta (2004): Characterizations of the Beta Distribution,
Communications in Statistics - Theory and Methods, 33:12, 2941-2957
To link to this article: http://dx.doi.org/10.1081/STA-200038859
200038859_LSTA33_12_R2_112704
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
COMMUNICATIONS IN STATISTICS
Theory and Methods
Vol. 33, No. 12, pp. 29412957, 2004
ABSTRACT
The beta distribution has a received considerable amount of attention in the statistical literature, mainly because of its applications
in many elds. The purpose of this article is to review the characterizations of this distribution. The characterizations are based on the
closure property under products, geometric and trigonometric relationships, failure rate function, mean residual life function, order statistics, records, and the relationship to the gamma distribution.
Key Words:
distribution.
Beta
distribution;
Characterizations;
Gamma
62E99.
ORDER
REPRINTS
200038859_LSTA33_12_R2_112704
2942
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
1. INTRODUCTION
Characterizations of distributions in statistics are of great interest
and are widely published in the literature. The survey book by Kagan
et al. (1973) and the notes by Galambos and Kotz (1978) cover many
results. A good discussion of the major directions of characterizations
is in the Kotz survey (Kotz, 1974).
In this article we provide a review of the known characterizations of
the beta distribution. Beta distributions are very versatile and a variety of
uncertainties can be usefully modeled by them. Many of the nite range
distributions encountered in practice can be easily transformed into the
standard distribution. In reliability and life testing experiments, many
times the data are modeled by nite range distributions; see for example
Barlow and Proschan (1975).
The probability density function (pdf) of the beta distribution is
given by:
fx; a; b
1
xa1 1 xb1 ;
Ba; b
0 < x < 1;
1:1
where a > 0, b > 0 and Ba; b denote the beta function dened by
Z
Ba; b
0 < x < 1:
1:2
When b 1, the beta distribution is known as the power function distribution. A four-parameter generalization of (1.1) which accommodates
different nite sample spaces is:
y c a1
1
y c b1
fy
1
; c y d: 1:3
d cBa; b d c
dc
ORDER
REPRINTS
200038859_LSTA33_12_R2_112704
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
2943
1=2i
Xi
i1
1 a1
i ;
2
2
b
2i
for i 1; 2; . . . :
ORDER
REPRINTS
200038859_LSTA33_12_R2_112704
2944
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
Yr ;
k 1; 2; . . . ; n;
r2Rk
0 < y < 1:
Then it can be shown that the product X1 X2 Xn has the beta distribution with the parameters a and b. Another construct is to dene
Y
Yr ; k 1; 2; . . . ; n;
Xk
r2Nk
0<y<1
3. ORDER STATISTICS
The beta distribution arises naturally in the theory of uniform order
statistics. Suppose X1 ; X2 ; . . . ; Xn is a random sample from the uniform
distribution on 0; 1. Let X1:n X2:n Xn:n be the corresponding
order statistics. Then the following facts are well known:
W1 Xi:n =Xj:n and W2 Xj:n are statistically independent.
Moreover, W1 and W2 are beta distributed with parameters
i; j i and j; n j 1, respectively.
ORDER
REPRINTS
200038859_LSTA33_12_R2_112704
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
2945
ORDER
REPRINTS
200038859_LSTA33_12_R2_112704
2946
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
4. RECORDS
Given an innite sequence X1 ; X2 ; . . . of iid random variables, an
observation Xj is called an upper record value (or simply a record) if
Xj > Xi for every i < j. The times at which records appear fTn ; n 0g
(known as the record time sequence) is dened by:
T0 1 with probability 1
and, for n 1,
Tn minfj : Xj > XTn1 g:
The record value sequence fRn g is then dened by
Rn X T n ;
n 0; 1; 2; . . . :
e n g.
An analogous denition deals with the lower record value sequence fR
If the iid sequence X1 ; X2 ; . . . is assumed to come from the power
function distribution (the special case of the beta distribution for
b 1), then it can be shown that
Rn
1
n
Y
1=a
1 Uk
k0
Y
n
1=a
Uk
k0
ORDER
REPRINTS
200038859_LSTA33_12_R2_112704
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
2947
5. RELIABILITY MEASURES
For the beta pdf (1.1), the failure rate function and the mean residual
life function dened, respectively, as
lt
ft
1 Ft
and
mt EX t j X > t
take the forms
lt
ta1 1 t
Ba; b Bt a; b
5:1
and
R1
mt
fBa; b Bx a; bgdx
;
Ba; b Bt a; b
5:2
These expressions were derived by Gupta and Gupta (2000), who also studied
their monotonicity properties.
The mean residual life function has been used in lifetime studies by,
for example, Bryson and Siddiqui (1969), Hollander and Proschan (1975),
and Muth (1980). Gupta (1987) showed that mean residual life function
determines the distribution uniquely. Ahmed (1991) provided a characterization of the beta distribution in terms of (5.1) and (5.2). Namely, if
X is a nonnegative continuous random variable with cumulative distribution function (cdf ) F, pdf f and, mean m, then X has the beta distribution
given by (1.1) if and only if
mt m
m
a
:
ab
m
t1 tlt t;
a
ORDER
REPRINTS
200038859_LSTA33_12_R2_112704
2948
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
m
t cd tlt t;
bc ad
bc ad
:
ab
For the power function distribution (the special case of the beta
distribution for b 1), the conditions reduce to:
mt m
m
m
t1 tlt t;
a
a
:
a1
6. GAMMA DISTRIBUTION
Suppose that X has the gamma distribution with parameters a and r,
that Y has the gamma distribution with parameters b and r, and that X
and Y are independent. Then it is well known that X=X Y has the beta
distribution with parameters a and b (Cramer, 1946). This relationship
has been studied further by several authors.
Laha (1964) studied the converse of the above relationship: If X and
Y are two iid random variables with common cdf F and if X=X Y has
the beta distribution then the question is whether F is necessarily a
gamma distribution. This question was originally posed by Mauldon
(1956). Laha (1964) showed that under the conditions of the question
ORDER
REPRINTS
200038859_LSTA33_12_R2_112704
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
2949
X1
X1 X2
U2
X1 X2
:
X1 X2 X3
and
ORDER
REPRINTS
200038859_LSTA33_12_R2_112704
2950
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
t ! 0;
Y
k2R1
Vk ;
Vk ;
k2R2
ORDER
REPRINTS
200038859_LSTA33_12_R2_112704
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
2951
k2R2
0<v<1
and
1 qk qk1
fk v q k 1
v
;
k
0<v<1
1
k
cos Y1
sin Y1
Xn1 R
Xn R
cos Y2
cos Y2
sin Y2
cos Yn2
cos Yn2
cos Yn2
..
.
sin Yn2
cos Yn1 ;
cos Yn1 ;
cos Yn1 ;
cos Yn1 ;
sin Yn1 :
w22p1
X12 d
:
R2
w2p1 p2 pn
ORDER
REPRINTS
200038859_LSTA33_12_R2_112704
2952
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
ORDER
REPRINTS
200038859_LSTA33_12_R2_112704
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
2953
7. ARC-SINE DISTRIBUTION
As mentioned in Sec. 1, the arc-sine distribution is the particular
case of the Beta distribution when a b 1=2. The general form of
the arc-sine pdf is:
fx
8
1
< q
2 ;
j x j <
2c
;
j x j
2c
;
2
c
x2
0;
1 < x < 1:
7:1
The arc-sine distribution arises in the study of the simple random walk.
(Feller, 1967, Chapter 3) showed that the limiting distribution of the
proportion of time spent on the positive side of the x axis by a simple
symmetric random walk has the pdf (1.2). More generally, Erdos and
Kac (1947) proved that if X1 ; X2 ; . . . are independent random variables,
each having mean zero and variance one then
Nn
n
X
k1
(
I
k
X
)
Xi > 0
i1
n!1
Nn
2
p
< y arcsin y;
p
n
7:2
which is the cdf of (7.1). The proof of this limiting result given by Erdos
and Kac is complicated. Recently, Hoffmann-Jorgensen (1999) provided
a simple and elementary proof of a more general version of (7.2). For
other work on how the arc-sine distribution arises in stochastic processes
and their applications, see Chung and Feller (1949), Andersen (1953),
ORDER
REPRINTS
200038859_LSTA33_12_R2_112704
2954
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
Spitzer (1964), Chen et al. (1981), Karlin and Taylor (1981), Pitman and
Yor (1992), Getoor and Sharpe (1994), Breitung and Gourieroux (1997),
Neuts et al. (1999), and Breitung (2001).
Norton (1975) showed that if X1 and X2 are iid and nondegenerate
with a symmetric and moment-determined distribution then X1 X2
and X1 X2 =2 have the same distribution if and only if the common
pdf is (7.1). Arnold and Groeneveld (1980) provided three alternative
characterizations based on the trigonometric relationships:
sin2 U 1 cos 2U=2;
sin 2U 2 sin U cos U
and
sin2 U sin2 V sinU V sinU V :
If U and V are taken to be iid uniform p; p then sin U, sin 2U,
cos 2U, sinU V , and sinU V have arc-sine distributions. This
suggests the three characterizations:
(1) If X is a symmetric random variable then X2 and 1 X=2 are
identically distributed if and only if X has the pdf (7.1).
(2) If X is a symmetric random variable with the property that
distributed, then the random
X2 and 1 X2 are pidentically
ACKNOWLEDGMENTS
The authors would like to thank the referee for carefully reading the
article and for his=her help in improving the article.
ORDER
REPRINTS
200038859_LSTA33_12_R2_112704
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
2955
REFERENCES
Ahmed, A. N. (1991). Characterization of beta, binomial and Poisson
distributions. IEEE Trans. Reliab. 40:290295.
Andersen, E. S. (1953). On the uctuations of sums of random variables.
Mathematica Scandinavica 1:262285.
Arnold, B. C., Groeneveld, R. A. (1980). Some properties of the arcsine
distribution. J. Am. Statist. Assoc. 75:173175.
Bailey, R. W. (1992). Distributional identities of beta and chi-squared
variables: A geometric interpretation. Am. Statist. 46:117120.
Barlow, R. E., Proschan, F. (1975). Statistical Theory of Reliability and
Life Testing: Probability Models. New York: Holt, Rinehart and
Winston.
Breitung, J. (2001). Rank tests for nonlinear cointegration. J. Bus. Econ.
Statist. 19:331340.
Breitung, J., Gourieroux, C. (1997). Rank tests for unit roots. J. Econometrics 81:728.
Bryson, M., Siddiqui, M. (1969). Some criteria for ageing. J. Am. Statist.
Assoc. 64:14721483.
Chen, R., Lin, E., Zame, A. (1981). Another arc sine law. Sankhy
a, A
43:371373.
Chung, K. L., Feller, W. (1949). Fluctuations in coin tossing. Proc. Natl.
Acad. Sci. USA 35:605608.
Cramer, H. (1946). Mathematical Methods of Statistics.
Princeton: Princeton University Press.
Dufresne, D. (1998). Algebraic properties of beta and gamma distributions, and applications. Adv. Appl. Math. 20:285299.
Erdos, P., Kac, M. (1947). On the number of positive sums of independent random variables. Bull. Am. Mathe. Soc. 53:10111020.
Feller, W. (1967). An Introduction to Probability Theory and Its Applications. Vol. 1. 3rd ed. New York: John Wiley and Sons.
Galambos, J., Kotz, S. (1978). Characterization of Probability Distributions. New York. Springer Verlag.
Getoor, R. K., Sharpe, M. J. (1994). Local times on rays for a class of
planar Levy processes. J. Theor. Prob. 7:799811.
Gupta, R. (1987). On the monotonic properties of the residual variance
and their applications in reliability. J. Statist. Plan. Infer. 16:
329335.
Gupta, P. L., Gupta, R. C. (2000). The monotonicity of the probability of
the beta distribution. Appl. Math. Lett. 13:59.
Hillier, F., Lieberman, G. (1989). Introduction to Operations Research.
London: McGraw Hill.
ORDER
REPRINTS
200038859_LSTA33_12_R2_112704
2956
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
ORDER
REPRINTS
200038859_LSTA33_12_R2_112704
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
2957
Pitman, J., Yor, M. (1992). Arcsine laws and interval partitions derived
from a stable subordinator. Proc. London Math. Soc. 65:326356.
Spitzer, F. (1964). Principles of Random Walks. Princeton: D. van
Nostrand Company.
Stigler, S. M. (1977). Fractional order statistics, with applications. J. Am.
Statist. Assoc. 72:544550.
Yeo, G. F., Milne, R. K. (1989). On characterizations of exponential
distributions. Statist. Prob. Lett. 7:303305.
Yeo, G. F., Milne, R. K. (1991). On characterizations of beta and gamma
distributions. Statist. Prob. Lett. 11:239242.
Interested in copying and sharing this article? In most cases, U.S. Copyright
Law requires that you get permission from the articles rightsholder before
using copyrighted content.
All information and materials found in this article, including but not limited
to text, trademarks, patents, logos, graphics and images (the "Materials"), are
the copyrighted works and other forms of intellectual property of Marcel
Dekker, Inc., or its licensors. All rights not expressly granted are reserved.
Get permission to lawfully reproduce and distribute the Materials or order
reprints quickly and painlessly. Simply click on the "Request Permission/
Order Reprints" link below and follow the instructions. Visit the
U.S. Copyright Office for information on Fair Use limitations of U.S.
copyright law. Please refer to The Association of American Publishers
(AAP) website for guidelines on Fair Use in the Classroom.
The Materials are for your personal use only and cannot be reformatted,
reposted, resold or distributed by electronic means or otherwise without
permission from Marcel Dekker, Inc. Marcel Dekker, Inc. grants you the
limited right to display the Materials only on your personal computer or
personal wireless device, and to copy and download single copies of such
Materials provided that any copyright, trademark or other notice appearing
on such Materials is also retained by, displayed, copied or downloaded as
part of the Materials and is not removed or obscured, and provided you do
not edit, modify, alter or enhance the Materials. Please refer to our Website
User Agreement for more details.