Friday, 15 December 2006

pr.probability - devise a joint distribution of alphaalpha and betabeta

I am not entirely certain what your question is. It might be



(i) Is it always possible to find a joint distribution of (alpha,beta)(alpha,beta) for any prescribed distributions of alpha,betaalpha,beta and alpha/betaalpha/beta ?



(ii) Is it possible to find/calculate a joint distribution from the three distributions when you know the joint distribution exists e.g. because these are observations in an experiment?



(i) is not possible in general. Set alpha=exp(X)alpha=exp(X) and beta=exp(Y)beta=exp(Y) then log(alpha/beta)=X+Ylog(alpha/beta)=X+Y.
Now let XX and YY be uniform on [0,1][0,1] and choose a distribution for X+YX+Y so that P(X+Y<0.5)=1P(X+Y<0.5)=1. This means P(X>0.5)=0P(X>0.5)=0 a contradiction to uniform. A way to visualize this might be looking at mass distributions on the square [0,1]times[0,1][0,1]times[0,1]. Prescribing the margins (here uniform) is a restriction on the projections to the axes (i.e. 0times[0,1]0times[0,1] and [0,1]times0[0,1]times0) and the remaining freedom is distributing the mass in the square.



(ii) Looks more like statistics than probability. There are a number of ways of coming up with a joint distribution. But you would need to specify more context to find a reasonable approach.

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