Beta distribution: trivial question

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    Beta Distribution
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SUMMARY

The discussion addresses the inverse problem of determining the parameters α and β of a beta distribution from its mean and variance. It establishes that solving this requires addressing a cubic equation in either α or β, given the linear relationship between the two parameters. The unique solution is derived by converting the mean formula into a ratio of β to α, which simplifies the variance formula into linear equations. This method ensures that both parameters remain positive, thus eliminating extraneous solutions.

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  • Understanding of beta distribution parameters (α and β)
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  • Knowledge of statistical mean and variance concepts
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markuz
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We all know that it is easy to get the beta mean and variance given the parameters α and β of the distribution (http://en.wikipedia.org/wiki/Beta_distribution).

Can we do right the opposite? I.e. is there any way to go uniquely from mean and variance to the parameters of the beta?
 
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Based on the formulas in the link, the question can be reduced to solving a cubic equation in α or β as a function of the mean and variance. α and β are linear with respect to each other. Therefore there are at most three possible solutions. Since α and β are both required to be > 0, this could eliminate the extra solutions.
 
Yes, there's a unique way. Convert the formula for mean into one for [itex]\frac{\beta}{\alpha}[/itex], then use that formula to simplify the variance formula into something linear in [itex]\alpha[/itex] and [itex]\beta[/itex]. Then you'll have two straight-line relationships (one positively sloped, one negatively sloped) between the two parameters.
 

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