A decomposition of the beta distribution, related order and asymptotic behavior

Probability distributions: general theory (60E05) Infinitely divisible distributions; stable distributions (60E07) Limit theorems in probability theory (60F99) Exact distribution theory in statistics (62E15) Asymptotic distribution theory in statistics (62E20) Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10)

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Let \(\beta_{v,w}\) be a random variable distributed according to the beta distribution with parameters v and w. The authors prove that \(U_{v,w}=^{def}-\log \beta_{v,w}=U^{CM}+U^{PF}\), where \(U^{CM}\) and \(U^{PF}\) are independent with completely monotone and \(PF_{\infty}\) densities, respectively. It is shown that \(U_{v,w}\) is infinitely divisible and \(\beta_{v,w}\) correspondingly infinitely factorizable. The asymptotic behavior of \(U_{v,w}\) and \(\beta_{v,w}\) for different modes of increase of v and w is studied. The decomposition is employed to provide an algorithm for generating random beta distributed numbers.

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