Beta Distribution

A distribution similar to the binomial, but where the probability of success p is not a constant

Probability Distribution Function

A random variable X has a beta distribution if and only if it has the pdf

f(x;α,β)=Γ(α+β)Γ(α)Γ(β)xα−1(1−x)β−1

for 0<x<1,α>0,β>0

Beta is the continuous Binomial Distribution, where the combination is replaced by the continuous factorials in the Gamma function

(nx)=n!(n−x)!x!=(n−x+x)!(n−x)!x!=∫01f(x;α,β)=∫

Mean

E(Xr)=∫01xrΓ(α+β)Γ(α)Γ(β)xα−1(1−x)β−1dx=Γ(α+β)Γ(α)Γ(β)Γ(r+α)Γ(β)Γ(r+α+β)∫01Γ(r+α+β)Γ(r+α)Γ(β)xr+α−1(1−x)β−1dx=Γ(α+β)Γ(α)Γ(β)Γ(r+α)Γ(β)Γ(r+α+β)⋅1=Γ(α+β)Γ(α+β+r)Γ(r+α)Γ(α)=(α+r−1)(α+r−2)…α(α+β+r−1)(α+β+r−2)…(α+β),r=1,2,3…

Uniform Distribution is a special case of the beta distribution with α=1 and β=1

X∼unif(0,1)≡Beta(1,1)f(x)=Γ(α+β)Γ(α)Γ(β)xα−1(1−x)β−1=Γ(2)Γ(1)Γ(1)x0(1−x)0=1,0<x<1