In
probability
Probability is the branch of mathematics concerning numerical descriptions of how likely an Event (probability theory), event is to occur, or how likely it is that a proposition is true. The probability of an event is a number between 0 and ...
and
statistics
Statistics (from German language, German: ''wikt:Statistik#German, Statistik'', "description of a State (polity), state, a country") is the discipline that concerns the collection, organization, analysis, interpretation, and presentation of ...
, the generalized beta distribution
[McDonald, James B. & Xu, Yexiao J. (1995) "A generalization of the beta distribution with applications," ''Journal of Econometrics'', 66(1–2), 133–152 ] is a
continuous probability distribution
In probability theory and statistics, a probability distribution is the mathematical function that gives the probabilities of occurrence of different possible outcomes for an experiment. It is a mathematical description of a random phenomenon i ...
with four
shape parameter
In probability theory and statistics, a shape parameter (also known as form parameter) is a kind of numerical parameter of a parametric family of probability distributionsEveritt B.S. (2002) Cambridge Dictionary of Statistics. 2nd Edition. CUP.
...
s (however it's customary to make explicit the
scale parameter
In probability theory and statistics, a scale parameter is a special kind of numerical parameter of a parametric family of probability distributions. The larger the scale parameter, the more spread out the distribution.
Definition
If a family o ...
as a fifth parameter, while the
location parameter
In geography, location or place are used to denote a region (point, line, or area) on Earth's surface or elsewhere. The term ''location'' generally implies a higher degree of certainty than ''place'', the latter often indicating an entity with an ...
is usually left implicit), including more than thirty named distributions as
limiting
In electronics, a limiter is a circuit that allows signals below a specified input power or level to pass unaffected while attenuating (lowering) the peaks of stronger signals that exceed this threshold. Limiting is a type of dynamic range compr ...
or
special case
In logic, especially as applied in mathematics, concept is a special case or specialization of concept precisely if every instance of is also an instance of but not vice versa, or equivalently, if is a generalization of . A limiting case is ...
s. It has been used in the modeling of
income distribution
In economics, income distribution covers how a country's total GDP is distributed amongst its population. Economic theory and economic policy have long seen income and its distribution as a central concern. Unequal distribution of income causes eco ...
, stock returns, as well as in
regression analysis
In statistical modeling, regression analysis is a set of statistical processes for estimating the relationships between a dependent variable (often called the 'outcome' or 'response' variable, or a 'label' in machine learning parlance) and one ...
. The exponential generalized beta (EGB) distribution follows directly from the GB and generalizes other common distributions.
Definition
A generalized beta random variable, ''Y'', is defined by the following probability density function:
: