Scribd
Upload
78 views

Gamma Distribution and Beta Distribution

This document provides an overview of the gamma distribution and beta distribution in 3 pages. It defines the gamma distribution with its probability density function involving parameters α and β. It also defines the gamma function and gives properties. Similarly, it defines the beta distribution with its probability density function involving parameters α and β and defines the related beta function. It concludes by listing the expected value and variance for both the gamma and beta distributions.

Uploaded by

shanone chloé
Copyright
© © All Rights Reserved
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
78 views

Gamma Distribution and Beta Distribution

This document provides an overview of the gamma distribution and beta distribution in 3 pages. It defines the gamma distribution with its probability density function involving parameters α and β. It also defines the gamma function and gives properties. Similarly, it defines the beta distribution with its probability density function involving parameters α and β and defines the related beta function. It concludes by listing the expected value and variance for both the gamma and beta distributions.

Uploaded by

shanone chloé
Copyright
© © All Rights Reserved
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
You are on page 1/ 6

Applied Probability and Statistics I

BSc (Hons) Data Science with Interactive Marketing


Applied Probability and Statistics I

Lecture Notes
Gamma Distribution and Beta Distribution

GAMMA DISTRIBUTION

A random variable X is said to be gamma distributed if its probability density


function is

𝑥 𝛼−1 𝑒 −𝑥/𝛽
, 𝑥>0
𝑓(𝑥) = { 𝛽 𝛼 Γ(𝛼) (𝛼, 𝛽 > 0)
0, 𝑥≤0

where Γ(𝛼) is the gamma function.

NRBA Page 1 of 6
Applied Probability and Statistics I

Gamma Function

The gamma function, denoted by Γ(𝑛), is defined by


∞

Γ(𝑛) = ∫ 𝑡 𝑛−1 𝑒 −𝑡 𝑑𝑡, 𝑛 > 0.


0

A recurrence formula is given by

Γ(𝑛 + 1) = 𝑛Γ𝑛

where Γ(1) = 1.

If n is a positive integer, then


Γ(𝑛 + 1) = 𝑛!

For example:
Γ(4) = 3Γ(3) = 3 × 2Γ(2) = 3 × 2 × 1Γ(1) = 3 × 2 × 1 = 3!

NRBA Page 2 of 6
Applied Probability and Statistics I

Theorem 11.1

If X is a random variable having a gamma distribution, then

𝐸(𝑋) = 𝛼𝛽

𝑉𝑎𝑟(𝑋) = 𝛼𝛽 2

NRBA Page 3 of 6
Applied Probability and Statistics I

BETA DISTRIBUTION

A random variable X is said to be beta distributed if its probability density


function is

𝑥 𝛼−1 (1 − 𝑥)𝛽−1
, 0 <𝑥<1
𝑓(𝑥) = { 𝐵(𝛼, 𝛽) (𝛼, 𝛽 > 0)
0, 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

where 𝐵(𝛼, 𝛽) is the beta function.

NRBA Page 4 of 6
Applied Probability and Statistics I

Beta Function

The beta function, denoted by 𝐵(𝑚, 𝑛), is defined by


1

𝐵(𝑚, 𝑛) = ∫ 𝑢𝑚−1 (1 − 𝑢)𝑛−1 𝑑𝑢, 𝑚, 𝑛 > 0.


0

It is related to the gamma function by

Γ(𝑚)Γ(𝑛)
𝐵(𝑚, 𝑛) =
Γ(𝑚 + 𝑛)

NRBA Page 5 of 6
Applied Probability and Statistics I

Theorem 11.2

If X is a random variable having a beta distribution, then

𝛼
𝐸(𝑋) =
𝛼+𝛽

𝛼𝛽
𝑉𝑎𝑟(𝑋) =
(𝛼 + 𝛽)2 (𝛼 + 𝛽 + 1)

NRBA Page 6 of 6

You might also like