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    Part 4 Chapter 1

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    Anon Me
    The document discusses the beta distribution, a family of continuous probability distributions defined on the interval [0-1] parameterized by two positive shape parameters α and λ. The beta distribution can model random variables limited to finite intervals and is used to model percentages and proportions. It has a density function involving the gamma function and beta function. The mean and variance of the beta distribution are also provided. The moment generating function for the beta distribution is derived. Normal and standard normal distributions are briefly mentioned. Methods for testing normality, both graphical and formal statistical tests, are outlined.

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    Part 4 Chapter 1

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    Anon Me
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    The document discusses the beta distribution, a family of continuous probability distributions defined on the interval [0-1] parameterized by two positive shape parameters α and λ. The beta distribution can model random variables limited to finite intervals and is used to model percentages and proportions. It has a density function involving the gamma function and beta function. The mean and variance of the beta distribution are also provided. The moment generating function for the beta distribution is derived. Normal and standard normal distributions are briefly mentioned. Methods for testing normality, both graphical and formal statistical tests, are outlined.

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    The document discusses the beta distribution, a family of continuous probability distributions defined on the interval [0-1] parameterized by two positive shape parameters α and λ. The beta distribution can model random variables limited to finite intervals and is used to model percentages and proportions. It has a density function involving the gamma function and beta function. The mean and variance of the beta distribution are also provided. The moment generating function for the beta distribution is derived. Normal and standard normal distributions are briefly mentioned. Methods for testing normality, both graphical and formal statistical tests, are outlined.

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    15 views12 pages

    Part 4 Chapter 1

    Uploaded by

    Anon Me
    The document discusses the beta distribution, a family of continuous probability distributions defined on the interval [0-1] parameterized by two positive shape parameters α and λ. The beta distribution can model random variables limited to finite intervals and is used to model percentages and proportions. It has a density function involving the gamma function and beta function. The mean and variance of the beta distribution are also provided. The moment generating function for the beta distribution is derived. Normal and standard normal distributions are briefly mentioned. Methods for testing normality, both graphical and formal statistical tests, are outlined.

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    B.

    CONTINUOUS DISTRIBUTIONS

    BETA DISTRIBUTION
    The beta distribution is a family of continuous probability distribution defined on
    the interval [0, 1] parameterized by two positive shape parameters, denoted by α and λ,
    that appear as exponents of the random variable and control the shape of the 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 and it is used in many applications such as conversation rate of customer
    actually purchasing on your website.

    The density function is

    𝟏
    𝒇(𝒙) = 𝒙𝜶−𝟏 (𝟏 − 𝒙)𝝀−𝟏 𝟎≤𝒙≤𝟏
    𝚩(𝜶, 𝝀)
    𝟏
    𝚪(𝜶)𝚪(𝝀)
    𝒇(𝒙) = ∫ 𝒙𝜶−𝟏 (𝟏 − 𝒙)𝝀−𝟏 𝒅𝒙 = 𝚩(𝜶, 𝝀) =
    𝟎 𝚪(𝜶 + 𝝀)

    where Γ(z) is the gamma function. The beta function, В, is normalization constant at
    𝛼 and 𝜆 ≥10 the beta distribution can be approximated using the normal distribution.
    MEAN AND VARIANCE FOR BETA
    𝟏 𝟏
    𝑬[𝑿] = ∫𝟎 𝒙 𝒙𝜶−𝟏 (𝟏 − 𝒙)𝝀−𝟏 𝒅𝒙
    𝚩(𝜶,𝝀)

    𝟏 𝟏
    𝑬[𝑿] = ∫𝟎
    𝒙𝜶 (𝟏 − 𝒙)𝝀−𝟏 𝒅𝒙 → В(𝜶 + 𝟏, 𝝀)
    𝚩(𝜶,𝝀)

    В(𝜶+𝟏,𝝀) 𝜶
    = →
    𝚩(𝜶,𝝀) 𝜶+𝝀

    𝟏 𝟏
    𝑬[𝑿𝟐 ] = ∫𝟎 𝒙𝟐 𝒙𝜶−𝟏 (𝟏 − 𝒙)𝝀−𝟏 𝒅𝒙
    𝚩(𝜶,𝝀)

    𝟏 𝟏
    𝑬[𝑿𝟐 ] = ∫𝟎
    𝒙𝜶+𝟏 (𝟏 − 𝒙)𝝀−𝟏 𝒅𝒙 → В(𝜶 + 𝟐, 𝝀)
    𝚩(𝜶,𝝀)

    В(𝜶+𝟐,𝝀) 𝜶(𝜶+𝟏)
    →
    𝚩(𝜶,𝝀) (𝜶+𝝀)(𝜶+𝝀+𝟏)

    𝜶(𝜶+𝟏) 𝜶 𝟐 𝜶𝝀
    Var(x)= −( ) =
    (𝜶+𝝀)(𝜶+𝝀+𝟏) 𝜶+𝝀 (𝜶+𝝀)𝟐 (𝜶+𝝀+𝟏)

    MOMENT GENRATING FUNCTION FOR BETA

    1
    1
    𝑀𝑥 (𝑡) = 𝐸[𝑒𝑥𝑡 ] = ∫ 𝑒 𝑡𝑥 𝑥 𝛼−1 (1 − 𝑥)𝜆−1 𝑑𝑥
    Β(𝛼, 𝜆) 0
    1 ∞
    1 (𝑡𝑥 )𝑘 𝛼−1
    ∫ (∑ )𝑥 (1 − 𝑥)𝜆−1 𝑑𝑥
    Β(𝛼, 𝜆) 0 𝑘!
    𝑘=0
    ∞
    1 (𝑡)𝑘 1 𝛼+𝑘−1
    = ∑ ∫ 𝑥 (1 − 𝑥)𝜆−1 𝑑𝑥
    Β(𝛼, 𝜆) 𝑘! 0
    𝑘=0
    ∞
    (𝑡 )𝑘
    Β(𝛼 + 𝑘, 𝜆)
    =∑ ( )
    𝑘! Β(𝛼, 𝜆)
    𝑘=0
    ∞
    Β(𝛼, 𝜆) 𝑡 0 (𝑡)𝑘 Β(𝛼 + 𝑘, 𝜆)
    = +∑ ( )
    Β(𝛼, 𝜆) 0! 𝑘! Β(𝛼, 𝜆)
    𝑘=1
    ∞
    𝛤(𝛼 + 𝐾)𝛤(𝜆) Γ(𝛼, 𝜆) (𝑡)𝑘
    = 1+∑( . )
    𝛤(𝛼 + 𝜆 + 𝐾) 𝛤(𝛼)𝛤(𝜆) 𝑘!
    𝑘=1
    ∞
    𝛤(𝛼 + 𝐾) 𝛤(𝛼 + 𝜆) (𝑡)𝑘
    = 1+∑( . )
    𝛤(𝛼) 𝛤(𝛼 + 𝜆 + 𝐾) 𝑘!
    𝑘=1
    =1
    ∞
    𝛤(𝛼) ∏𝑘𝑟=0(𝛼 + 𝑟) 𝛤(𝛼 + 𝜆) (𝑡)𝑘
    +∑( . 𝑘 )
    𝛤(𝛼) 𝛤(𝛼 + 𝜆) 𝑟=0(𝛼 + 𝜆 + 𝑟) 𝑘!
    ∏
    𝑘=1
    ∞ 𝑘−1
    𝛼+𝑟 (𝑡)𝑘
    = 1 + ∑ (∏ )
    𝛼 + 𝜆 + 𝑟 𝑘!
    𝑘=1 𝑟=0
    NORMAL AND STANDARD NORMAL DISTRIBUTIONS
    TEST OF NORMALITY
    There are two methods to obtain test of normality informal method(graphs) formal
    method(test) The histogram below is NOT normally distributed, and the Normal
    Probability Plot for the same data (right) is therefore NOT a straight line.
     If your sample size is greater than 2000, then look at the Kolmogorov-Smirnov
    and if your sample size is less than 2000, then look at the Shapiro-Wilk.
     If the value for “Sig.” (Which is the p-value) is greater than 0.05, then your data
    are
    Normally distributed and if the value for “Sig.” is less than 0.05, then your data are NOT
    Normally distribute.

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