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{{Probability distribution | | |||
name =Arcsine| | |||
type =density| | |||
pdf_image =[[Image:Arcsin density.svg|350px|Probability density function for the arcsine distribution]]| | |||
cdf_image =[[Image:Arcsin cdf.svg|350px|Cumulative distribution function for the arcsine distribution]]| | |||
parameters =none| | |||
support =<math>x \in [0,1]</math>| | |||
pdf =<math>f(x) = \frac{1}{\pi\sqrt{x(1-x)}}</math> | | |||
cdf =<math>F(x) = \frac{2}{\pi}\arcsin\left(\sqrt x \right)</math> | | |||
mean =<math>\frac{1}{2}</math> | | |||
median =<math>\frac{1}{2}</math> | | |||
mode =<math>x \in {0,1}</math> | | |||
variance =<math>\tfrac{1}{8}</math> | | |||
skewness =<math>0</math>| | |||
kurtosis =<math>-\tfrac{3}{2}</math>| | |||
entropy = | | |||
mgf = <math>1 +\sum_{k=1}^{\infty} \left( \prod_{r=0}^{k-1} \frac{2r+1}{2r+2} \right) \frac{t^k}{k!}</math>| | |||
char = <math>{}_1F_1(\tfrac{1}{2}; 1; i\,t)\ </math>| | |||
}} | |||
In [[probability theory]], the '''arcsine distribution''' is the [[probability distribution]] whose [[cumulative distribution function]] is | |||
:<math>F(x) = \frac{2}{\pi}\arcsin\left(\sqrt x\right)=\frac{\arcsin(2x-1)}{\pi}+\frac{1}{2}</math> | |||
for 0 ≤ ''x'' ≤ 1, and whose probability density function is | |||
:<math>f(x) = \frac{1}{\pi\sqrt{x(1-x)}}</math> | |||
on (0, 1). The standard arcsine distribution is a special case of the [[beta distribution]] with ''α'' = ''β'' = 1/2. That is, if <math>X</math> is the standard arcsine distribution then <math>X \sim {\rm Beta}(\tfrac{1}{2},\tfrac{1}{2}) \ </math> | |||
The arcsine distribution appears | |||
* in the [[Lévy arcsine law]]; | |||
* in the [[Erdős arcsine law]]; | |||
* as the [[Jeffreys prior]] for the probability of success of a [[Bernoulli trial]]. | |||
==Generalization== | |||
{{Probability distribution | | |||
name =Arcsine – bounded support| | |||
type =density| | |||
pdf_image = Need image| | |||
cdf_image = Need image| | |||
parameters =<math>-\infty < a < b < \infty \,</math>| | |||
support =<math>x \in [a,b]</math>| | |||
pdf =<math>f(x) = \frac{1}{\pi\sqrt{(x-a)(b-x)}}</math> | | |||
cdf =<math>F(x) = \frac{2}{\pi}\arcsin\left(\sqrt \frac{x-a}{b-a} \right)</math> | | |||
mean =<math>\frac{a+b}{2}</math> | | |||
median =<math>\frac{a+b}{2}</math> | | |||
mode =<math>x \in {a,b}</math> | | |||
variance =<math>\tfrac{1}{8}(b-a)^2</math> | | |||
skewness =<math>0</math>| | |||
kurtosis =<math>-\tfrac{3}{2}</math>| | |||
entropy = | | |||
mgf = | | |||
char = | | |||
}} | |||
===Arbitrary bounded support=== | |||
The distribution can be expanded to include any bounded support from ''a'' ≤ ''x'' ≤ ''b'' by a simple transformation | |||
:<math>F(x) = \frac{2}{\pi}\arcsin\left(\sqrt \frac{x-a}{b-a} \right)</math> | |||
for ''a'' ≤ ''x'' ≤ ''b'', and whose [[probability density function]] is | |||
:<math>f(x) = \frac{1}{\pi\sqrt{(x-a)(b-x)}}</math> | |||
on (''a'', ''b''). | |||
===Shape factor=== | |||
The generalized standard arcsine distribution on (0,1) with probability density function | |||
:<math> | |||
\begin{align} | |||
f(x;\alpha) & = \frac{\sin \pi\alpha}{\pi}x^{-\alpha}(1-x)^{\alpha-1} \\[6pt] | |||
\end{align} | |||
</math> | |||
is also a special case of the [[beta distribution]] with parameters <math>{\rm Beta}(1-\alpha,\alpha)</math>. | |||
Note that when <math>\alpha = \tfrac{1}{2}</math> the general arcsine distribution reduces to the standard distribution listed above. | |||
==Properties== | |||
* Arcsine distribution is closed under translation and scaling by a positive factor | |||
** If <math>X \sim {\rm Arcsine}(a,b) \ \text{then } kX+c \sim {\rm Arcsine}(ak+c,bk+c) </math> | |||
* The square of an arc sine distribution over (-1, 1) has arc sine distribution over (0, 1) | |||
** If <math>X \sim {\rm Arcsine}(-1,1) \ \text{then } X^2 \sim {\rm Arcsine}(0,1) </math> | |||
==Related distributions== | |||
* If U and V are [[Independent and identically distributed random variables|i.i.d]] [[Uniform distribution (continuous)|uniform]] (−π,π) random variables, then <math>\sin(U)</math>, <math>\sin(2U)</math>, <math>-\cos(2U)</math>, <math>\sin(U+V)</math> and <math>\sin(U-V)</math> all have a standard arcsine distribution | |||
* If <math>X</math> is the generalized arcsine distribution with shape parameter <math>\alpha</math> supported on the finite interval [a,b] then <math>\frac{X-a}{b-a} \sim {\rm Beta}(1-\alpha,\alpha) \ </math> | |||
==See also== | |||
* [[Arcsine]] | |||
==References== | |||
*{{eom|id=A/a013160|first=B.A.|last= Rogozin}} | |||
{{ProbDistributions|continuous-bounded}} | |||
{{Common univariate probability distributions}} | |||
[[Category:Continuous distributions]] | |||
[[Category:Probability distributions]] |
Revision as of 17:28, 5 December 2013
Template:Probability distribution
In probability theory, the arcsine distribution is the probability distribution whose cumulative distribution function is
for 0 ≤ x ≤ 1, and whose probability density function is
on (0, 1). The standard arcsine distribution is a special case of the beta distribution with α = β = 1/2. That is, if is the standard arcsine distribution then
The arcsine distribution appears
- in the Lévy arcsine law;
- in the Erdős arcsine law;
- as the Jeffreys prior for the probability of success of a Bernoulli trial.
Generalization
Template:Probability distribution
Arbitrary bounded support
The distribution can be expanded to include any bounded support from a ≤ x ≤ b by a simple transformation
for a ≤ x ≤ b, and whose probability density function is
on (a, b).
Shape factor
The generalized standard arcsine distribution on (0,1) with probability density function
is also a special case of the beta distribution with parameters .
Note that when the general arcsine distribution reduces to the standard distribution listed above.
Properties
- Arcsine distribution is closed under translation and scaling by a positive factor
- The square of an arc sine distribution over (-1, 1) has arc sine distribution over (0, 1)
Related distributions
- If U and V are i.i.d uniform (−π,π) random variables, then , , , and all have a standard arcsine distribution
- If is the generalized arcsine distribution with shape parameter supported on the finite interval [a,b] then
See also
References
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Template:Common univariate probability distributions