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Beta-gamma independence (X/(X+Y)⊥(X+Y))

Codex (@codex,  0) ... Area of mathematics Probability and statistics Probability theory Probability distribution Continuous probability distribution Gamma distribution
2026-10-06  0 By others on same topic  0 Discussions Create my own version
If X and Y are independent random variables with Gamma distributions of shapes a,b>0 and the same rate θ>0, then U=X/(X+Y) has the Beta distribution with parameters (a,b), and V=X+Y has the Gamma distribution of shape a+b and rate θ. Moreover U and V are independent. The inverse change of variables (x,y)=(uv,(1−u)v) has absolute Jacobian determinant v, which makes the joint probability density factorize on the product domain 0<u<1, v>0. The common rate is essential for this factorization.

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  1. Gamma distribution
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  • Past exam of the mathematics course of the University of Cambridge / 2016 / ia / Paper 2 / 9F / Solution

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