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389概率困难derivationlong

Ratio of Independent Gammas Yields a Beta Distribution

题目

Let XGamma(α,1)X \sim \operatorname{Gamma}(\alpha, 1) and YGamma(β,1)Y \sim \operatorname{Gamma}(\beta, 1) be independent. Using the transformation (W,S)=(X/(X+Y),  X+Y)(W, S) = \bigl(X/(X+Y),\; X+Y\bigr):

(a) Compute the Jacobian of the inverse map.

(b) Derive the joint density fW,Sf_{W,S} and marginalize to show WBeta(α,β)W \sim \operatorname{Beta}(\alpha, \beta).

(c) Show that WW and SS are independent.

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