Back to Scipy

Beta Prime Distribution

doc/source/tutorial/stats/continuous_betaprime.rst

1.17.11.9 KB
Original Source

.. _continuous-betaprime:

Beta Prime Distribution

There are two shape parameters :math:a,b > 0 and the support is :math:x \in [0,\infty). Note the CDF evaluation uses Eq. 3.194.1 on pg. 313 of Gradshteyn & Ryzhik (sixth edition).

.. math:: :nowrap:

\begin{eqnarray*} f\left(x;\alpha,\beta\right) & = & \frac{\Gamma\left(\alpha+\beta\right)}{\Gamma\left(\alpha\right)\Gamma\left(\beta\right)}x^{\alpha-1}\left(1+x\right)^{-\alpha-\beta}\\
F\left(x;\alpha,\beta\right) & = & \frac{\Gamma\left(\alpha+\beta\right)}{\alpha\Gamma\left(\alpha\right)\Gamma\left(\beta\right)}x^{\alpha}\,_{2}F_{1}\left(\alpha+\beta,\alpha;1+\alpha;-x\right)\\
G\left(q;\alpha,\beta\right) & = & F^{-1}\left(x;\alpha,\beta\right)\end{eqnarray*}

.. math::

\mu_{n}^{\prime}=\left\{
  \begin{array}{ccc}
    \frac{\Gamma\left(n+\alpha\right)\Gamma\left(\beta-n\right)}{\Gamma\left(\alpha\right)\Gamma\left(\beta\right)}=\frac{\left(\alpha\right)_{n}}{\left(\beta-n\right)_{n}} &  & \beta>n\\
    \infty &  & \mathrm{otherwise}
  \end{array}\right.

Therefore,

.. math:: :nowrap:

\begin{eqnarray*} \mu & = & \frac{\alpha}{\beta-1}\quad\textrm{for }\beta>1\\
\mu_{2} & = & \frac{\alpha\left(\alpha+1\right)}{\left(\beta-2\right)\left(\beta-1\right)}-\frac{\alpha^{2}}{\left(\beta-1\right)^{2}}\quad\textrm{for }\beta>2\\
\gamma_{1} & = & \frac{\frac{\alpha\left(\alpha+1\right)\left(\alpha+2\right)}{\left(\beta-3\right)\left(\beta-2\right)\left(\beta-1\right)}-3\mu\mu_{2}-\mu^{3}}{\mu_{2}^{3/2}}\quad\textrm{for }\beta>3\\
\gamma_{2} & = & \frac{\mu_{4}}{\mu_{2}^{2}}-3\\
\mu_{4} & = & \frac{\alpha\left(\alpha+1\right)\left(\alpha+2\right)\left(\alpha+3\right)}{\left(\beta-4\right)\left(\beta-3\right)\left(\beta-2\right)\left(\beta-1\right)}-4\mu\mu_{3}-6\mu^{2}\mu_{2}-\mu^{4}\quad\textrm{for }\beta>4\end{eqnarray*}

Implementation: scipy.stats.betaprime