In probability theory and statistics, the beta prime distribution (also known as inverted beta distribution or beta distribution of the second kind) is an absolutely continuous probability distribution defined for with two parameters α and β, having the probability density function:
where B is a Beta function. While the related beta distribution is the conjugate prior distribution of the parameter of a Bernoulli distribution expressed as a probability, the beta prime distribution is the conjugate prior distribution of the parameter of a Bernoulli distribution expressed in odds. The distribution is a Pearson type VI distribution.
The mode of a variate X distributed as is . Its mean is if (if the mean is infinite, in other words it has no well defined mean) and its variance is if .
For, the k-th moment is given by
For with, this simplifies to
The cdf can also be written as
where is the Gauss's hypergeometric function 2F1 .
Read more about Beta Prime Distribution: Generalization, Properties, Related Distributions
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