{"title":"Integrals of incomplete beta functions, with applications to order statistics, random walks and string enumeration","authors":"Stephen B. Connor, C. Fewster","doi":"10.1214/21-bjps522","DOIUrl":null,"url":null,"abstract":"Abstract. We study the probability that one beta-distributed random variable exceeds the maximum of two others, allowing all three to have general parameters. This amounts to studying Euler transforms of products of two incomplete beta functions. We provide a closed form for the general problem in terms of Kampé de Fériet functions and a variety of simpler closed forms in special cases. The results are applied to derive the moments of the maximum of two independent beta-distributed random variables and to find inner products of incomplete beta functions. Restricted to positive integer parameters, our results are applied to determine an expected exit time for a conditioned random walk and also to a combinatorial problem of enumerating strings comprised of three different letters, subject to constraints.","PeriodicalId":51242,"journal":{"name":"Brazilian Journal of Probability and Statistics","volume":" ","pages":""},"PeriodicalIF":0.6000,"publicationDate":"2021-04-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Brazilian Journal of Probability and Statistics","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1214/21-bjps522","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
引用次数: 1
Abstract
Abstract. We study the probability that one beta-distributed random variable exceeds the maximum of two others, allowing all three to have general parameters. This amounts to studying Euler transforms of products of two incomplete beta functions. We provide a closed form for the general problem in terms of Kampé de Fériet functions and a variety of simpler closed forms in special cases. The results are applied to derive the moments of the maximum of two independent beta-distributed random variables and to find inner products of incomplete beta functions. Restricted to positive integer parameters, our results are applied to determine an expected exit time for a conditioned random walk and also to a combinatorial problem of enumerating strings comprised of three different letters, subject to constraints.
摘要我们研究一个β分布随机变量超过另外两个随机变量最大值的概率，允许所有三个随机变量都有一般参数。这相当于研究两个不完全函数乘积的欧拉变换。我们用kamp de fsamriet函数给出了一般问题的封闭形式，并在特殊情况下给出了各种更简单的封闭形式。结果应用于推导两个独立的β分布随机变量的极大值的矩和求不完全β函数的内积。由于受正整数参数的限制，我们的结果被应用于确定条件随机漫步的预期退出时间，以及在约束条件下枚举由三个不同字母组成的字符串的组合问题。
期刊介绍：
The Brazilian Journal of Probability and Statistics aims to publish high quality research papers in applied probability, applied statistics, computational statistics, mathematical statistics, probability theory and stochastic processes.
More specifically, the following types of contributions will be considered:
(i) Original articles dealing with methodological developments, comparison of competing techniques or their computational aspects.
(ii) Original articles developing theoretical results.
(iii) Articles that contain novel applications of existing methodologies to practical problems. For these papers the focus is in the importance and originality of the applied problem, as well as, applications of the best available methodologies to solve it.
(iv) Survey articles containing a thorough coverage of topics of broad interest to probability and statistics. The journal will occasionally publish book reviews, invited papers and essays on the teaching of statistics.
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