Integrals of incomplete beta functions, with applications to order statistics, random walks and string enumeration

DOI10.1214/21-BJPS522zbMATH Open1490.60037arXiv2104.12216WikidataQ114060473 ScholiaQ114060473MaRDI QIDQ2077458FDOQ2077458

Stephen B. Connor, Christopher J. Fewster

Publication date: 21 February 2022

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

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 Kamp'e de F'eriet 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.

Full work available at URL: https://arxiv.org/abs/2104.12216

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zbMATH Keywords

incomplete beta functionorder statisticsexit timeEuler transform[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Kamp%EF%BF%BD%EF%BF%BD+de+F%EF%BF%BD%EF%BF%BDriet+functions&go=Go Kamp�� de F��riet functions]string enumerationgeneralized Dixon identitygeneralized Whipple identity

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Generalized hypergeometric series, ({}_pF_q) (33C20) Order statistics; empirical distribution functions (62G30)

Cites Work

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Cited In (1)

• A semiclassical singularity theorem

Uses Software

• Digital Library of Mathematical Functions

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