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Characterizations of the Beta Distribution

Saralees Nadarajah
a

a c

& Arjun K. Gupta

Department of Mathematics, University of South Florida, Tampa, Florida, USA

Department of Mathematics and Statistics, Bowling Green State University, Bowling

Green, Ohio, USA
c

Department of Statistics, University of Nebraska, Lincoln, NE, 68583, USA

Version of record first published: 15 Feb 2007.

To cite this article: Saralees Nadarajah & Arjun K. Gupta (2004): Characterizations of the Beta Distribution,
Communications in Statistics - Theory and Methods, 33:12, 2941-2957
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200038859_LSTA33_12_R2_112704

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COMMUNICATIONS IN STATISTICS
Theory and Methods
Vol. 33, No. 12, pp. 29412957, 2004

Characterizations of the Beta Distribution

Saralees Nadarajah1,* and Arjun K. Gupta2
1

Department of Mathematics, University of South Florida,

Tampa, Florida, USA
2
Department of Mathematics and Statistics, Bowling Green State
University, Bowling Green, Ohio, USA

ABSTRACT
The beta distribution has a received considerable amount of attention in the statistical literature, mainly because of its applications
in many elds. The purpose of this article is to review the characterizations of this distribution. The characterizations are based on the
closure property under products, geometric and trigonometric relationships, failure rate function, mean residual life function, order statistics, records, and the relationship to the gamma distribution.
Key Words:
distribution.

Beta

distribution;

Mathematics Subject Classication:

Characterizations;

Gamma

62E99.

*Correspondence: Saralees Nadarajah, Department of Statistics, University of

Nebraska, Lincoln, NE 68583, USA; E-mail: snadaraj@un1serve.un1.edu.
2941
DOI: 10.1081/STA-200038859
Copyright # 2004 by Marcel Dekker, Inc.

0361-0926 (Print); 1532-415X (Online)

www.dekker.com

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1. INTRODUCTION
Characterizations of distributions in statistics are of great interest
and are widely published in the literature. The survey book by Kagan
et al. (1973) and the notes by Galambos and Kotz (1978) cover many
results. A good discussion of the major directions of characterizations
is in the Kotz survey (Kotz, 1974).
In this article we provide a review of the known characterizations of
the beta distribution. Beta distributions are very versatile and a variety of
uncertainties can be usefully modeled by them. Many of the nite range
distributions encountered in practice can be easily transformed into the
standard distribution. In reliability and life testing experiments, many
times the data are modeled by nite range distributions; see for example
Barlow and Proschan (1975).
The probability density function (pdf) of the beta distribution is
given by:
fx; a; b

1
xa
1 1
xb
1 ;
Ba; b

0 < x < 1;

1:1

where a > 0, b > 0 and Ba; b denote the beta function dened by
Z
Ba; b

ta
1 1
tb
1 dt:

The parameters a and b are symmetrically related by fx; a; b

f1
x; b; a. This implies that if X has the beta distribution with parameters a and b, then 1
X has the beta distribution with parameters b
and a. The pdf (1.1) corresponds to type I distribution in the system of
Pearson curves. The special case of (1.1) for a b 1 is the uniform distribution. The special case for a b 1=2 is the arc-sine distribution
with the pdf
1
fx p ;
p x1
x

0 < x < 1:

1:2

When b 1, the beta distribution is known as the power function distribution. A four-parameter generalization of (1.1) which accommodates
different nite sample spaces is:
 y
c a
1 
1
y
c b
1
fy
1

; c  y  d: 1:3
d
cBa; b d
c
d
c

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2943

We can see c and d as location parameters and d
c as a scale parameter.

Since the transformation X Y
c=d
c reduces (1.3) to (1.1), the
mathematical properties of (1.3) can be deduced easily.
The aim of this article is to review characterizations of (1.1), (1.2),
and (1.3) known in the literature. The characterizations are based on: closure property under products (Sec. 2), order statistics (Sec. 3), records
(Sec. 4), failure rate and mean residual life functions (Sec. 5), and the
relationship to the gamma distribution (Sec. 6). Some characterizations
specic to the arc-sine distribution are presented in Sec. 7.

2. CLOSURE UNDER PRODUCTS

Under certain mild conditions, the product of two or more independent beta variables also follow the same distribution. This property has
been studied in various forms by Jambunathan (1954) and Krysicki
(1999). Some of the known results are:
 If X1 ; X2 ; . . . ; Xn are independent beta random variables with
parameters a ai , b bi , i 1; 2; . . . ; n, and if ai1 ai bi
for i 1; 2; . . . ; n
1, then the product X1 X2    Xn is also a beta
random variable with parameters a a1 and b b1    bn .
 The pdf of a beta random variable with parameters a a, b b is
equal to the pdf of the geometric mean of n beta random variables
with parameters a a i=n, b b=n for i 0; 1; . . . ; n
1.
 The pdf of a beta random variable with parameters a a, b b is
equal to the pdf of the innite product
1
Y

1=2i

Xi

i1

where Xi is a beta random variable with parameters

a

1 a
1
i ;
2
2

b
2i

for i 1; 2; . . . :

These results present a beta random variable as a nite or innite product

of independent random variables of the same kind. The following question arises: If the product X1 X2    Xn of n independent random variables
has a beta distribution then must each Xk also have a beta distribution?

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Kotlarski (1962) showed that the answer to this question is negative.

He constructed groups of independent random variables which do not
have a beta distribution but their product has a beta distribution. For
instance, if R1 ; R2 ; . . . ; Rn are mutually exclusive and exhaustive subsets
of the set R f1; 2; . . . ; mg m > n, then dene
Xk

Yr ;

k 1; 2; . . . ; n;

r2Rk

where Yr are independent random variables with the pdf

b
m
 yar
1 1
ym m
1 ;
fy 
b
B ar
1
m ;m

0 < y < 1:

Then it can be shown that the product X1 X2    Xn has the beta distribution with the parameters a and b. Another construct is to dene
Y
Yr ; k 1; 2; . . . ; n;
Xk
r2Nk

where Yr are independent random variables with the pdf

2r
r
1
r b
 y2
a
1 1
y2 2r
1 ;
fy  r
1
B 2 2a
1
; 2br
r

0<y<1

and N1 ; N2 ; . . . ; Nn are mutually exclusive and exhaustive subsets of the

set N f1; 2; . . .g.
The above results on closure under products have applications to
sampling problems.

3. ORDER STATISTICS
The beta distribution arises naturally in the theory of uniform order
statistics. Suppose X1 ; X2 ; . . . ; Xn is a random sample from the uniform
distribution on 0; 1. Let X1:n  X2:n      Xn:n be the corresponding
order statistics. Then the following facts are well known:
 W1 Xi:n =Xj:n and W2 Xj:n are statistically independent.
Moreover, W1 and W2 are beta distributed with parameters
i; j
i and j; n
j 1, respectively.

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2945

 W3 Xi:n =1 Xi:n
Xj:n and W4 Xj:n
Xi:n are statistically

independent. Moreover, W3 and W4 are beta distributed with
parameters i; n
j 1 and j
r; n
j i 1, respectively.
 For 1  i1 < i2 <    < ij  n, the random variables dened
by Wk Xik :n =Xik1 :n , k 1; 2; . . . ; j
1 and Wj Xij :n are
statistically independent. Moreover, Wk and Wj are beta
distributed with parameters ik ; ik1
ik and ij ; n
ij 1,
respectively.
Two characterizations of the beta distribution based on the rst-order
statistic X1:n are:
 Suppose X1 ; X2 ; . . . ; Xn are independent and identically distributed (iid) random variables from a uniform distribution
dened over the unit interval. Then X1:n has the beta distribution with parameters a 1 and b n. Conversely, if X1:n
has the uniform distribution over the unit interval then
each Xi has the beta distribution with parameters a 1 and
b 1=n.
 Suppose X1 ; X2 ; . . . ; Xn are iid random variables from the power
function distribution a a (recall that power function distribution is the particular case of the beta distribution when b 1).
a
Then X1:n
has the beta distribution with parameters a 1 and
b n. Conversely, if X1:n has the power function distribution with
a b then each Xib has the beta distribution with parameters
a 1 and b 1=n.
The beta distribution also arises in connection with fractional uniform
order statistics (Stigler, 1977). For a random sample of size n from the
uniform distribution on 0; 1, Stigler dened the fractional uniform
order statistic (denoted by Ua:n , 0 < a < n 1) as a quantity following
the beta distribution with parameters a and n 1
a. If U1:n 
U2:n      Un:n are the uniform order statistics from the sample then
Jones (2002) showed that
Ua:n 1
CUa:n CUa1:n ;
where C is beta distributedindependently of the Uswith parameters
a
a and 1
a a. A practical use of fractional uniform order statistics is in providing high-quality non parametric condence intervals for
quantiles (see, for example, Huston, 1999).

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4. RECORDS
Given an innite sequence X1 ; X2 ; . . . of iid random variables, an
observation Xj is called an upper record value (or simply a record) if
Xj > Xi for every i < j. The times at which records appear fTn ; n  0g
(known as the record time sequence) is dened by:
T0 1 with probability 1
and, for n  1,
Tn minfj : Xj > XTn
1 g:
The record value sequence fRn g is then dened by
Rn X T n ;

n 0; 1; 2; . . . :

e n g.
An analogous denition deals with the lower record value sequence fR
If the iid sequence X1 ; X2 ; . . . is assumed to come from the power
function distribution (the special case of the beta distribution for
b 1), then it can be shown that

Rn

1

n
Y

1=a
1
Uk

k0

where fUk ; k  0g is a sequence of iid uniform random variables on

e n g, admits a slightly simpler repre0; 1. The lower record sequence, fR
sentation:
e n d
R

Y
n

1=a
Uk

k0

In the particular case a 1, one notes the properties:

(i) 1
Rn =1
Rn
1 and 1
Rn
1 are independent.
(ii) ERn j Rn
1 rn
1 1=2 1=2rn
1 .
(iii) 1
Rn =1
Rn
1 d 1
R0 .
All of these are characteristic properties of the uniform distribution.

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5. RELIABILITY MEASURES
For the beta pdf (1.1), the failure rate function and the mean residual
life function dened, respectively, as
lt

ft
1
Ft

and
mt EX
t j X > t
take the forms
lt

ta
1 1
t
Ba; b
Bt a; b

5:1

and
R1
mt

fBa; b
Bx a; bgdx
;
Ba; b
Bt a; b

5:2

respectively, where Bx a; b denotes the incomplete beta function dened by

Z x
Bx a; b
ta
1 1
tb
1 dt:
0

These expressions were derived by Gupta and Gupta (2000), who also studied
their monotonicity properties.
The mean residual life function has been used in lifetime studies by,
for example, Bryson and Siddiqui (1969), Hollander and Proschan (1975),
and Muth (1980). Gupta (1987) showed that mean residual life function
determines the distribution uniquely. Ahmed (1991) provided a characterization of the beta distribution in terms of (5.1) and (5.2). Namely, if
X is a nonnegative continuous random variable with cumulative distribution function (cdf ) F, pdf f and, mean m, then X has the beta distribution
given by (1.1) if and only if
mt m
m

a
:
ab

m
t1
tlt
t;
a

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For the generalized beta distribution (1.3) with parameters a; b; c; d,

these conditions become
mt m
m

m
t
cd
tlt
t;
bc ad

bc ad
:
ab

For the power function distribution (the special case of the beta
distribution for b 1), the conditions reduce to:
mt m
m

m
t1
tlt
t;
a

a
:
a1

Ahmed (1991) also derived similar characterizations for the binomial

and Poisson distributions. These characterizations are useful since
the knowledge of failure rate is more often available than the knowledge
of the probability distribution as a whole. These results can be easily
applied to practical problems. For example, in the characterization for
the uniform distribution (a particular case of the beta family), let it be
required to check the randomness of a given sample of real numbers
t 2 a; b truncated below at a given y. One can calculate the mean of
t over the truncated sample and then compare it with b y=2. In a
more general context, characterizations of beta distributions are
quite useful in project evaluation and review techniques (Hillier and
Lieberman, 1989).

6. GAMMA DISTRIBUTION
Suppose that X has the gamma distribution with parameters a and r,
that Y has the gamma distribution with parameters b and r, and that X
and Y are independent. Then it is well known that X=X Y has the beta
distribution with parameters a and b (Cramer, 1946). This relationship
has been studied further by several authors.
Laha (1964) studied the converse of the above relationship: If X and
Y are two iid random variables with common cdf F and if X=X Y has
the beta distribution then the question is whether F is necessarily a
gamma distribution. This question was originally posed by Mauldon
(1956). Laha (1964) showed that under the conditions of the question

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2949

F must have the following general properties:

 Either Fx 0 for x  0 or Fx 1 for x  0, and
 Fx is absolutely continuous and has a continuous pdf
0
fx F x > 0.
However, if in addition to the conditions of the question one has the
following conditions satised:
 F has nite absolute moments of all orders, and
 F is innitely divisible.
then F must be gamma distributed.
The above result can be generalized to more than two variables.
Suppose X1 , X2 and X3 are three independent positive random variables,
and suppose U1 ; U2 are given by
U1

X1
X1 X2

U2

X1 X2
:
X1 X2 X3

and

Then Kotlarski (1967) showed that Xk are gamma distributed with

parameters pk and a (a common k 1; 2; 3) if and only if U1 and U2
are independently beta distributed, U1 with parameters p1 ; p2 , and U2
with parameters p1 p2 ; p3 .
Yeo and Milne (1991) provided two relationships between the
gamma and beta distributions based on products of independent random
variables.
(1) Suppose that X and Y are independent, absolutely continuous
and non negative random variables such that X has bounded
support. Then for any a > 0 and b > 0, any two of the following
three conditions imply the third.
(i) XY is gamma distributed with parameters a and 1=m,
where 0 < m < 1.
(ii) X is beta distributed with parameters a and b.
(iii) Y is gamma distributed with parameters a b and 1=m.

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(2) Suppose for a xed positive integer m that X1 ; X2 ; . . . ; Xm1 are

iid nonnegative random variables which are independent of
another nonnegative random variable X with bounded support,
and that
Y XX1 X2    Xm1 :
Then any two of the following three conditions imply the third.
(i) Y has the same distribution, determined by its moments, as each
of X1 , X2 , . . ., Xm1 .
(ii) X is beta distributed with parameters a 1 and b m.
(iii) Y is exponentially distributed.
This result also holds if (i) is replaced by
(i)0 X1 ; X2 ; . . . ; Xm1 are each exponentially distributed
(i)00 or the weaker condition that Y has the same distribution as each
of X1 , X2 ; . . . ; Xm1 and belongs to the class of distributions
whose characteristic function is of the form
ft 1
A j t j f1 otg;

t ! 0;

where A is a real constant.

This result generalizes the relationship between the exponential and
uniform distributions established in Kotz and Steutel (1988) and Yeo
and Milne (1989).
Given these two statements, it is natural to ask the question: If the
product XY has the gamma distribution then must X and Y have the beta
and the gamma distributions specied in the statement 1 above?
Kotlarski (1965) addressed this question and constructed examples to
show that the answer is negative. If one takes R1 , R2 as mutually exclusive
and exhaustive subsets of R f1; 2; . . . ; ng, then one example is:
X

Y
k2R1

Vk ;

Vk ;

k2R2

where Vk are independent random variables with the pdfs

n  v n o
1
fk v qk
1 vqk
2 exp

; v > 0:
n
G n

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2951

If one takes R1 , R2 as mutually exclusive and exhaustive subsets of

R f1; 2; . . .g, then another example is obtained by:
Y
Y
X
Vk ; Y
Vk ;
k2R1

k2R2

where Vk are independent random variables with the pdfs

f0 v qvq
1 ;

0<v<1

and

1 
qk qk
1
fk v q k 1
v
;
k

0<v<1

1
k

for k  1. In both examples the product XY has a gamma distribution

with parameter q while the marginals of X; Y are not gamma or beta
distributed.
Bailey (1992) provided the following geometric interpretation of
the beta distribution based on chi-squared random variables. Let Xk ,
k 1; 2; . . . ; n be independent random variables such that Xk2 has
the chi-squared distribution with degrees of freedom 2pk . Dene the
corresponding spherical coordinates R  0, Yk 2 0; p=2, j 1; 2; . . . ;
n
1 by
X1 R
X2 R
X3 R
..
.

cos Y1
sin Y1

Xn
1 R
Xn R

cos Y2
cos Y2
sin Y2

   cos Yn
2
   cos Yn
2
   cos Yn
2
..
.
sin Yn
2

cos Yn
1 ;
cos Yn
1 ;
cos Yn
1 ;
cos Yn
1 ;
sin Yn
1 :

Then R, Y1 ; Y2 ; . . . ; Yn
1 are independent. Moreover, R2 has the

chi-squared distribution with degrees of freedom p1 p2    pn and
Uk cos2 Yk has the beta distribution with parameters a p1
p2    pk and b pk1 . Note that the product
U1 U2    Un
1

w22p1
X12 d

:
R2
w2p1 p2 pn

Hence, a consequence of the above geometric representation is that the

product of the independent beta random variables Uk also has the beta
distribution with parameters a p1 and b p1 p2    pn . Another

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easy consequence of the above representation is that if S is chi-squared

distributed with degrees of freedom 2a 2b and if W is beta distributed
(with parameters a and b) independently of S then both SW and S1
W
have the chi-squared distribution with degrees of freedom 2a and 2b,
respectively.
Dufresne (1998) derived three of the most recent properties connecting the beta and gamma distributions. Let Xa, Y a; b, and U denote
random variables having the gamma distribution (with shape parameter
a and scale parameter 1), the beta distribution with parameters a & b, and
an arbitrary distribution. Then the following properties hold:
(1) For any a > 0 and b > 0,
UXa Xb d Xa b f1 U
1Y a; bg:
(2) For any a > 0, b > 0, c > 0, and d > 0,
Y a; bXc Xd d Xc df1
Y b; aY c; dg:
In particular, for any a > 0, b > 0, and c > 0,
Y a; b cXb Xc d Xb cY a c; b
d Xa cY b c; a:
(3) For any a > 0, b > 0, c > 0, and d > 0,


Xa
Y a; b
d
Xb Xa b
1
Y a; b
Y c; d
Y c; d


Xd
d Xa b 1 Y a; b
:
Xc
In particular, for any a > 0, b > 0, and c > 0,
Xa
Xa c
Xc
;
Y b; a c
Y b; a
where it is assumed throughout that all the variables are independent.
These properties have applications to Markov chains and time series with
random coefcients.

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For other relationships between the gamma and beta distributions,

see Huang and Chen (1989).

7. ARC-SINE DISTRIBUTION
As mentioned in Sec. 1, the arc-sine distribution is the particular
case of the Beta distribution when a b 1=2. The general form of
the arc-sine pdf is:

fx

8
1
< q
 2 ;

j x j <
2c
;

j x j 
2c
;

2
c

x2

0;

where c 6 0. When c 2, the distribution is said to be in its standard

form with the pdf
1
fx p ;
p 1
x2

1 < x < 1:

7:1

The arc-sine distribution arises in the study of the simple random walk.
(Feller, 1967, Chapter 3) showed that the limiting distribution of the
proportion of time spent on the positive side of the x axis by a simple
symmetric random walk has the pdf (1.2). More generally, Erdos and
Kac (1947) proved that if X1 ; X2 ; . . . are independent random variables,
each having mean zero and variance one then
Nn

n
X
k1

(
I

k
X

)
Xi > 0

i1

has the limiting distribution


lim Pr

n!1

Nn
2
p
< y arcsin y;
p
n

7:2

which is the cdf of (7.1). The proof of this limiting result given by Erdos
and Kac is complicated. Recently, Hoffmann-Jorgensen (1999) provided
a simple and elementary proof of a more general version of (7.2). For
other work on how the arc-sine distribution arises in stochastic processes
and their applications, see Chung and Feller (1949), Andersen (1953),

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Spitzer (1964), Chen et al. (1981), Karlin and Taylor (1981), Pitman and
Yor (1992), Getoor and Sharpe (1994), Breitung and Gourieroux (1997),
Neuts et al. (1999), and Breitung (2001).
Norton (1975) showed that if X1 and X2 are iid and nondegenerate
with a symmetric and moment-determined distribution then X1 X2
and X1 X2 =2 have the same distribution if and only if the common
pdf is (7.1). Arnold and Groeneveld (1980) provided three alternative
characterizations based on the trigonometric relationships:
sin2 U 1
cos 2U=2;
sin 2U 2 sin U cos U
and
sin2 U
sin2 V sinU V sinU
V :
If U and V are taken to be iid uniform
p; p then sin U, sin 2U,

cos 2U, sinU V , and sinU
V have arc-sine distributions. This
suggests the three characterizations:
(1) If X is a symmetric random variable then X2 and 1 X=2 are
identically distributed if and only if X has the pdf (7.1).
(2) If X is a symmetric random variable with the property that
distributed, then the random
X2 and 1
X2 are pidentically

variables X and 2X 1
X2 are identically distributed if and

only if X has the pdf (7.1).
(3) If X1 ; X2 are symmetric iid random variables with the property
that Xi2 and 1
Xi2 are identically distributed, then the random
variables X12
X22 and X1 X2 are identically distributed if and
only if the common pdf of X1 ; X2 is (7.1).
These characterizations are useful in quantifying the unusual heavy-tailed
nature of (7.1). In addition, these results are potentially useful for inference concerning whether data arise from a random walk. Such questions
are important in consideration of economic data (see, for example, Hsu
et al., 1974).

ACKNOWLEDGMENTS
The authors would like to thank the referee for carefully reading the
article and for his=her help in improving the article.

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