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240概率困难derivationlong

Beta Distribution and the Beta Function from Independent Gammas

题目

Let XGamma(α,1)X \sim \text{Gamma}(\alpha, 1) and YGamma(β,1)Y \sim \text{Gamma}(\beta, 1) be independent.

(a) Define U=XX+YU = \frac{X}{X+Y} and V=X+YV = X + Y. Compute the Jacobian of the transformation (X,Y)(U,V)(X, Y) \mapsto (U, V).

(b) Derive the joint PDF of (U,V)(U, V) and show that UU and VV are independent.

(c) Identify the marginal distribution of UU and prove that B(α,β)=Γ(α)Γ(β)Γ(α+β)B(\alpha, \beta) = \frac{\Gamma(\alpha)\,\Gamma(\beta)}{\Gamma(\alpha+\beta)}, where B(α,β)=01uα1(1u)β1duB(\alpha,\beta) = \int_0^1 u^{\alpha-1}(1-u)^{\beta-1}\,du.

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beta_function_identity