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Gamma and Beta Distribution

The document discusses the gamma and beta distributions. The gamma distribution is a two-parameter family of continuous probability distributions with a shape parameter k and scale parameter θ. It generalizes the exponential and Erlang distributions. The beta distribution is defined on the interval [0,1] with shape parameters α and β and models random behavior of percentages and proportions.

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Mahmoud Aboel3la
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14 views

Gamma and Beta Distribution

The document discusses the gamma and beta distributions. The gamma distribution is a two-parameter family of continuous probability distributions with a shape parameter k and scale parameter θ. It generalizes the exponential and Erlang distributions. The beta distribution is defined on the interval [0,1] with shape parameters α and β and models random behavior of percentages and proportions.

Uploaded by

Mahmoud Aboel3la
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as DOCX, PDF, TXT or read online on Scribd
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‫‪Gamma and beta distribution‬‬

‫االســــــــــــــم ‪ /‬أحمد السيد محمود محمد النجار‬


‫سكشن ‪13 /‬‬
‫مشروع ‪ /‬طرق‬
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‫ليـــــــــد حمدى‬
 Gamma distribution
In probability theory and statistics, the gamma distribution is a two-parameter family of
continuous probability distributions. The exponential distribution, Erlang distribution,
and chi-square distribution are special cases of the gamma distribution. There are two
different parameterizations in common use:

1. With a shape parameter k and a scale parameter θ.


2. With a shape parameter α = k and an inverse scale parameter β = 1/θ,
called a rate parameter.
In each of these forms, both parameters are positive real numbers.
The gamma distribution is the maximum entropy probability distribution (both with
respect to a uniform base measure and with respect to a 1/x base measure) for a
random variable X for which E[X] = kθ = α/β is fixed and greater than zero, and E[ln(X)]
= ψ(k) + ln(θ) = ψ(α) − ln(β) is fixed (ψ is the digamma function)

Definitions
The parameterization with k and θ appears to be more common in econometrics and
certain other applied fields, where for example the gamma distribution is frequently
used to model waiting times. For instance, in life testing, the waiting time until death is
a random variable that is frequently modeled with a gamma distribution. See Hogg and
Craig[2] for an explicit motivation.
The parameterization with α and β is more common in Bayesian statistics, where the
gamma distribution is used as a conjugate prior distribution for various types of inverse
scale (rate) parameters, such as the λ of an exponential distribution or a Poisson
distribution[3] – or for that matter, the β of the gamma distribution itself. The closely
related inverse-gamma distribution is used as a conjugate prior for scale parameters,
such as the variance of a normal distribution.
If k is a positive integer, then the distribution represents an Erlang distribution; i.e., the
sum of k independent exponentially distributed random variables, each of which has a
mean of θ.

1|P a g e
Generating gamma-distributed random variable
Given the scaling property above, it is enough to generate gamma variables with θ = 1
as we can later convert to any value of β with simple division.
Suppose we wish to generate random variables from Gamma(n + δ, 1), where n is a
non-negative integer and 0 < δ < 1. Using the fact that a Gamma(1, 1) distribution is
the same as an Exp(1) distribution, and noting the method of generating exponential
variables, we conclude that if U is uniformly distributed on (0, 1], then −ln(U) is
distributed Gamma(1, 1) (i.e. inverse transform sampling). Now, using the "α-addition"
property of gamma distribution, we expand this result:

Exercis :
Show: ∫∞0λαΓ(α)xα−1e−λxdx=1∫0∞λαΓ(α)xα−1e−λxdx=1

Answer

Properties of Gamma Distributions


If X∼gamma (α,λ) X∼gamma(α,λ), then the following hold.

1. The mgf of XX is

MX(t)=1(1−(t/λ))α,for t<λ.MX(t)=1(1−(t/λ))α,for t<λ.

2. The mean of XX is E[X]=αλE[X]=αλ.


3. The variance of XX is Var(X)=αλ2Var(X)=αλ2.

2|P a g e
Beta distribution
In probability theory and statistics, the beta distribution is a family of
continuous probability distributions defined on the interval [0, 1] parameterized by two
positive shape parameters, denoted by α and β, that appear as exponents of the
random variable and control the shape of the distribution. The generalization to
multiple variables is called a Dirichlet distribution.
The beta distribution has been applied to model the behavior of random
variables limited to intervals of finite length in a wide variety of disciplines.
In Bayesian inference, the beta distribution is the conjugate prior probability
distribution for the Bernoulli, binomial, negative binomial and geometric distributions.
The beta distribution is a suitable model for the random behavior of percentages and
proportions.
The formulation of the beta distribution discussed here is also known as the beta
distribution of the first kind, whereas beta distribution of the second kind is an
alternative name for the beta prime distribution.

Definitions
Probability density function.
The probability density function (pdf) of the beta distribution, for 0
≤ x ≤ 1, and shape parameters α, β > 0, is a power function of the
variable x and of its reflection (1 − x) as follows:
where Γ(z) is the gamma function. The beta function, , is
a normalization constant to ensure that the total probability is 1.
In the above equations x is a realization—an observed value
that actually occurred—of a random process X.
This definition includes both ends x = 0 and x = 1, which is
consistent with definitions for other continuous distributions
supported on a bounded interval which are special cases of the
beta distribution, for example the arcsine distribution, and consistent with several authors, like N.
L. Johnson and S. Kotz. However, the inclusion of x = 0 and x = 1 does not work for α, β < 1;
accordingly, several other authors, including W. Feller, choose to exclude the ends x = 0 and x =
1, (so that the two ends are not actually part of the domain of the density function) and consider
instead 0 < x < 1.
Several authors, including N. L. Johnson and S. Kotz.. use the symbols p and q (instead
of α and β) for the shape parameters of the beta distribution, reminiscent of the symbols
traditionally used for the parameters of the Bernoulli distribution, because the beta distribution
3|P a g e
approaches the Bernoulli distribution in the limit when both shape parameters α and β approach
the value of zero.

4|P a g e

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