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Anda di halaman 1dari 22

SARALAEES NADARAJAH

with application to drought data

introduced. Various representations are derived for its product moments, marginal

densities, marginal moments, conditional densities and conditional moments. The

methods of moments and maximum likelihood are used to derive the associated estimation procedures as well as the Fisher information matrix. A simulation scheme is

provided. Finally, an application to drought data from Nebraska is illustrated.

Key Words - Bivariate beta distribution; Drought modeling.

1. Introduction

There have been very few bivariate beta distributions proposed in the statistics literature, see Chapter 9 in Hutchinson and Lai (1991), Chapter 4 in Arnold

et al. (1999) and Chapter 49 in Kotz et al. (2000) for good reviews.

The bivariate beta distribution discussed in Olkin and Liu (2003) is actually

a particular case of a multivariate beta distribution introduced by Libby and

Novick (1982). The most recent bivariate beta distributions are those due to

Nadarajah and Kotz (2005a, 2005b) and Nadarajah (2006, 2007).

The bivariate beta distributions have attracted useful applications in several

areas; for example, in the modeling of the proportions of substances in a

mixture, brand shares, i.e. the proportions of brands of some consumer product

that are bought by customers (Chatfield, 1975), proportions of the electorate

voting for the candidate in a two-candidate election (Hoyer and Mayer, 1976)

and the dependence between two soil strength parameters (A-Grivas and Asaoka,

1982). They have also been used extensively as a prior in Bayesian statistics

(see, for example, Apostolakis and Moieni (1987)).

In this note, we introduce a new bivariate beta distribution with generalized

beta marginals, study its properties, illustrate an application and show improved

Received March 2007 and revised June 2007.

154

SARALAEES NADARAJAH

pdf of this new distribution is taken to be

f (x, y) =

C x 1 y 1 (1 x) 1 (1 y) 1

(1 x y)

(1)

for 0 < x < 1, 0 < y < 1, > > 0, > > 0 and 0 < 1, where

C = C(, , , ) denotes the normalizing constant.

Application of equation (3.1.2.5) in Prudnikov et al. (1986, volume 1)

shows that one can determine C = C(, , , ) as

()()( )( )

1

=

2 F1 (, ; ; ) ,

C

2 ( )

where

2 F1

(2)

2 F1

(a, b; c; x) =

(a)k (b)k x k

k=0

(c)k

k!

series expansion

( + j) z j

,

(1 z) =

( ) j!

j=0

one can re-express (1) by the mixture representation

f (x, y) =

C D( j) x j+1 y j+1 (1 x) 1 (1 y) 1

j=0

( )

B ( j + , ) B ( j + , )

(3)

where

j ( + j) B ( j + , ) B ( j + , )

j!

and B(, ) is the Beta function defined by

D( j) =

B(a, b) =

0

t a1 (1 t)b1 dt.

Note that (3) is a mixture of a product of independent beta distributions. Because of (2), we refer to (1) as the Gauss hypergeometric beta distribution.

The parameters and 0 < 1 introduce the correlation between the

X and Y components of the distribution. The case = 0 corresponds to zero

correlation and (1) reduces to a product of two independent beta pdfs. Smaller

values of and larger values of correspond To stronger correlation between

the components, see Figures 1 and 2.

155

= 5

1.0

y

0.2 0.4

0.0

0.0

0.2 0.4

0.6

0.8

0.6 0.8

1.0

=3

0.0

0.2

0.4

0.6

0.8

1.0

0.0

0.2

=7

0.4

0.8

1.0

0.6

0.8

1.0

0.2

0.4

0.6 0.8

1.0

=9

0.0

0.0

0.2

0.4

0.6 0.8

1.0

0.6

0.0

0.2

0.4

0.6

0.8

1.0

0.0

0.2

0.4

x

Figure 1. Contours of the pdf (1) for = 2, = 2, = 0.5 and the values of as specified above.

By Theorem 1 below, the Pearson correlation coefficient between the components is given by

Corr(X, Y )

= C B ( + 1, ) B ( + 1, )

3 F2

( + 1, , + 1; + 1, +1; )

C 2 B (, ) B ( + 1, ) B ( + 1, ) B (, )

2 F1

(, + 1; + 1; )

2 F1

( + 1, ; + 1; )

Var(X ) Var(Y ) ,

(4)

where

Var (X ) = C B (, ) B ( + 2, )

2 F1

(, + 2; + 2; )

C 2 B 2 (, ) B 2 ( + 1, ) { 2 F1 (, + 1; + 1; )}2

156

SARALAEES NADARAJAH

= 0.2

1 .0

0.8

0 .6

y

0.4

0 .2

0.0

0.0

0 .2

0.4

0 .6

0.8

1 .0

= 0.4

0.0

0 .2

0.4

0 .6

0.8

1 .0

0.0

0 .2

0.4

0 .6

0.8

1 .0

= 0.6

1 .0

0.8

0 .6

0.4

0 .2

0.0

0.0

0 .2

0.4

0 .6

0.8

1 .0

= 0.8

0.0

0 .2

0.4

0 .6

0.8

1 .0

0.0

0 .2

0.4

0 .6

0.8

1 .0

Figure 2. Contours of the pdf (1) for = 2, = 2, = 4 and the values of as specified above.

and

Var (Y ) = C B ( + 2, ) B (, )

2 F1

( + 2, ; + 2; )

C B (, ) B ( + 1, ) { 2 F1 ( + 1, ; + 1; )}2 ,

2

where

3 F2

3 F2 (a, b, c; d, e; x) =

(a)k (b)k (c)k x k

k=0

(d)k (e)k

k!

distributions of (X, Y ). By equation (13) below, the conditional distribution of

X given Y = y belongs to Libby and Novick (1982)s generalized beta family

with the parameters , , y and .

157

The parameters and provide the scale variation from the standard beta.

By equation (14) below, the conditional distribution of Y given X = x belongs

to Libby and Novick (1982)s generalized beta family with the parameters ,

, x and . The parameters and again provide the scale variation from

the standard beta. The parameters and control the marginal characteristics

of X and Y , respectively.

In fact, by equations (11) and (12) below, the marginal distributions of X

and Y are identical if and only if = . Thus, and /( + ) could

be used as measures of asymmetry of (1). The parameters and also have

some say on the correlation between the components.

For example, < 1 or < 1 implies weak dependence between the

components, see Figure 3. On the other hand, if > 1 and > 1 then the

correlation is strong and getting stronger with larger values of and , see

Figure 4.

= 0.6 & = 0.6

1.0

0.6 0.8

0.2 0.4

0.0

0.0

0.2 0.4

0.6 0.8

1.0

0.4

0.6

0.8

1.0

0.0

0.2

0.4

0.6

= 0.9 & = 2

= 0.9 & = 3

0.8

1.0

0.8

1.0

0.6 0.8

y

0.2 0.4

0.0

0.0

0.2

0.4

0.6 0.8

1.0

0.2

1.0

0.0

0.0

0.2

0.4

0.6

x

0.8

1.0

0.0

0.2

0.4

0.6

x

Figure 3. Contours of the pdf (1) for = 4, = 0.5 and the values of and as specified above.

158

SARALAEES NADARAJAH

= 2& = 2

1 .0

0.8

0 .6

y

0.4

0 .2

0.0

0.0

0 .2

0.4

0 .6

0.8

1 .0

= 3& =3

0.4

0 .6

0.8

1 .0

0.0

0 .2

0.4

0 .6

= 4& = 4

= 5& = 5

0.8

1 .0

0.8

1 .0

0.8

0 .6

y

0.4

0 .2

0.0

0.0

0 .2

0.4

0 .6

0.8

1 .0

0 .2

1 .0

0.0

0.0

0 .2

0.4

0 .6

0.8

1 .0

0.0

0 .2

0.4

0 .6

x

Figure 4. Contours of the pdf (1) for = 10, = 0.5 and the values of and as specified above.

pdf f (x, y) satisfies

f (x1 , y1 ) f (x2 , y2 )

1

(5)

f (x1 , y2 ) f (x2 , y1 )

for all x1 > x2 and y1 > y2 (see Tong (1980)).

For the pdf given by (1), (5) is equivalent to x1 y2 + x2 y1 x1 y1 + x2 y2 ,

which clearly holds. The PLRD has many implications. It implies:

1. Pr(X x | Y = y) is nonincreasing in y for all x;

2. Pr(Y y | X = x) is nonincreasing in x for all y;

3. Pr(Y > y | X > x) is nondecreasing in x for all y;

4. Pr(Y y | X x) is nonincreasing in x for all y;

159

6. Pr(Y y | X x) Pr(Y y) Pr(X x).

In particular, X and Y are positive quadrant dependent. Let us now briefly

discuss the shape of (1). The derivatives of log f with respect to x and y are

and

1 1

y

log f

=

+

x

x

1x

1 x y

(6)

log f

1 1

x

=

+

,

y

y

1y

1 x y

(7)

respectively.

Setting (6) and (7) to zero, one notes that the critical points of (1) are

given by the simultaneous solutions of the two quadratic equations

2yx 2 + { y + 2 ( 1)y} x + 1 = 0

and

2xy 2 + { x + 2 ( 1)x} y + 1 = 0.

Thus, (1) can exhibit up to four critical points. The relationship of (1) to

recently developed bivariate beta distributions is as follows: Olkin and Liu

(2003)s bivariate beta distribution is the particular case of (1) for = a,

= b, = a + b + c and = 1.

However, (1) is not a particular case of Libby and Novick (1982)s multivariate beta distribution, so (1) is indeed a new bivariate beta distribution while

that given by Olkin and Liu (2003) is not.

The bivariate F1 beta and the bivariate F3 beta distributions (Nadarajah

and Kotz, 2005b; Nadarajah, 2006) are defined over the unit simplex, {(x, y) :

0 < x < 1, 0 < y < 1 x}.

The bivariate F2 beta distribution (Nadarajah, 2007) defined over [0, 1]2

has no relationship with (1) and involves the Appell hypergeometric function

of the second kind.

Two of the three bivariate beta distributions introduced by Nadarajah and

Kotz (2005a) are defined over the unit simplex. The one defined over [0, 1]2 has

no relationship with (1) and involves a doubly infinite series of the incomplete

beta function.

Of the three bivariate beta distributions defined over [0, 1]2 (i.e. the bivariate F2 beta distribution and the ones given by Nadarajah and Kotz (2005a)

and (1)), the one given by (1) is the simplest and most tractable, both mathematically and computationally.

160

SARALAEES NADARAJAH

The rest of this note is organized as follows. In Sections 2 to 4, various representations are derived for the product moments, marginal densities,

marginal moments, conditional densities and the conditional moments associated

with (1).

The associated estimation procedures by the methods of moments and

maximum likelihood as well as the Fisher information matrix are presented in

Section 5. A simulation procedure is discussed in Section 6. Finally, improved

performance of the model given by (1) is illustrated in Section 7. Drought data

from the State of Nebraska are used.

2. Product moments

Theorem 1 and Corollary 1 derive two representations for the product

moments of (1).

The first is expressed in terms of the 3 F2 hypergeometric function while

the second is an infinite series of elementary functions.

Theorem 1. The product moment of X and Y associated with (1) is given by

E (X m Y n )

= C B( + n, )B( + m, ) 3 F2 ( + n, , + m; + n, + m; )

(8)

for any real m > 0 and n > 0. In particular,

E (X m ) = C B (, ) B ( + m, ) 2 F1 (, + m; + m; )

and

E (Y n ) = C B ( + n, ) B (, ) 2 F1 ( + n, ; + n; )

for any real m > 0 and n > 0.

Proof. One can write

E (X m Y n )

=C

=C

x m+1 (1 x) 1

0

y n+1 (1 y) 1

d yd x

(1 x y)

x m+1 (1 x) 1 B ( + n, )

2 F1

( + n, ; + n; x) d x,

to calculate the integral with respect to y. The result of the theorem follows

by using equation (2.21.1.4) in Prudnikov et al. (1986, volume 3) to calculate

the integral in (9).

161

( + n) j ( ) j j

E (X Y ) = C B ( + n, )

m

( + n) j j!

j=0

B ( + m + j, ) (10)

Proof. Using the definition of the Gauss hypergeometric function, one can

rewrite (9) as

1

( + n) j ( ) j (x) j

m n

m+1

1

dx

(1x)

B( + n, )

E(X Y ) = C x

( + n) j j!

0

j=0

= C B( + n, )

( + n) j ( ) j j

= C B ( + n, )

j=0

j=0

( + n) j j!

x m+ j+1 (1x) 1 d x

( + n) j ( ) j

B (m + j + , ) .

( + n) j j!

j

3. Marginal PDFs

Theorem 2 derives the marginal pdfs of (1).

Theorem 2. If X and Y have the joint pdf (1) then the marginal pdfs are given by

(11)

f X (x) = C B(, )x 1 (1 x) 1 (1 x)

and

(12)

f Y (y) = C B(, )y 1 (1 y) 1 (1 y)

for 0 < x < 1 and 0 < y < 1.

Proof. The marginal pdf of X can be written as

f X (x) = C x 1 (1 x) 1

y 1 (1 y) 1 (1 x y) dy

= C x 1 (1 x) 1 B (, ) 2 F1 (, ; ; x) ,

which follows by equation (2.2.6.15) in Prudnikov et al. (1986, volume 1).

The result in (11) follows by noting that

2 F1 (, ; ; x) = (1 x)

The result in (12) can be determined similarly.

The pdfs in (11) and (12) belong to Libby and Novick (1982)s generalized

beta family. If = 0 then both (11) and (12) reduce to standard beta pdfs.

Note further that the pdfs of 1 X and 1 Y belong to the same family of

pdfs as (11) and (12).

162

SARALAEES NADARAJAH

Theorems 3 and 4 derive the conditional pdfs and conditional moments of

(1). As in the previous section, expressions for the moments involve the Gauss

hypergeometric function.

Theorem 3. If X and Y have the joint pdf (1) then the conditional pdf of X given

Y = y is given by

f X |Y (x | y) =

x 1 (1 x) 1 (1 y)

B (, ) (1 x y)

(13)

The conditional pdf of Y given X = x is given by

f Y |X (y | x) =

y 1 (1 y) 1 (1 x)

B (, ) (1 x y)

(14)

Proof. follows immediately from (1) and Theorem 2.

The conditional pdfs in (13) and (14) also belong to Libby and Novick

(1982)s generalized beta family. If = 0 then both (13) and (14) reduce to

standard beta pdfs.

Theorem 4. The moments of the conditional pdfs in (13) and (14) are given by

E (X m | y) =

B ( + m, )

(1 y) 2 F1 ( + m, ; + m; y)

B (, )

and

E (Y n | x) =

B ( + n, )

(1 x) 2 F1 ( + n, ; + n; x)

B (, )

Proof. follows immediately from Theorem 3 since both (13) and (14) belong

to Libby and Novick (1982)s generalized beta family.

163

5. Estimation

The basic model of the paper is (1) parameterized by (, , , ). Here,

we consider the estimation of the four parameters by the methods of moments

and maximum likelihood. We also compute the associated Fisher information

matrix.

Suppose (x1 , y1 ), . . . , (xn , yn ) is a random sample from (1). The method of

moments estimators of the four parameters can be obtained as the simultaneous

solutions of the equations:

C B( +1, )B(+1, ) 3 F2 ( +1, , +1; +1, +1;) =

C B( +2, )B(+2, ) 3 F2 ( +2, , +2; +2, +2;) =

n

1

x j yj ,

n j=1

n

1

x 2 y2,

n j=1 j j

n

1

x j3 yj3 ,

C B( +3, )B(+3, ) 3 F2 ( +3, , +3; +3, +3; ) =

n j=1

and

C B(+4, )B(+4, ) 3 F2 (+4, , +4; +4, +4; ) =

n

1

x 4 y4,

n j=1 j j

log L (, , , ) = n log C + ( 1)

n

log x j + ( 1)

j=1

+ ( 1)

+ ( 1)

n

j=1

n

n

log yj

j=1

log(1 x j )

log(1 yj )

j=1

n

log(1 x j yj ).

j=1

The first-order derivatives of this with respect to the four parameters are:

n

n

log L

n C

=

+

log x j

log 1 x j ,

C

j=1

j=1

(15)

n

n

log L

n C

log yj

log 1 yj ,

=

+

C

j=1

j=1

(16)

n

n

n

log L

n C

log(1x j ) +

log(1 yj )

log(1x j yj ), (17)

=

+

C j=1

j=1

j=1

164

SARALAEES NADARAJAH

and

n

n C

x j yj

log L

=

+

.

C

1

x j yj

j=1

(18)

The maximum likelihood estimators of (, , , ) are the simultaneous solutions of the equations log L/ = 0, log L/ = 0, log L/ = 0

and log L/ = 0. The associated Fisher information matrix requires the

second-order derivatives of log L which can be calculated as:

n

n 2C

n C C

x j yj

2 log L

=

2

+

C C

1 x j yj

j=1

and

2 log L

n 2C

n

=

2

2

C

C2

2

n

j=1

x j yj

2

1 x j yj

2 .

2 log L

n 2C

n C C

=

2

.

i j

C i j

C i j

Thus, by noting that

E

and

XY

1 XY

X 2Y 2

(1 X Y )2

C (, , , )

C ( + 1, + 1, + 1, )

C (, , , )

,

C ( + 2, + 2, + 2, )

2 log L

E

2 log L

E

2

and

n C C

nC (, , , )

n 2C

+ 2

,

C C

C ( + 1, + 1, + 1, )

n 2C

n

2 +

C

C2

2 log L

E

i j

2

n C (, , , )

,

C ( + 2, + 2, + 2, )

n 2C

n C C

+ 2

.

C i j

C i j

165

The computation of these elements requires the first and second order derivatives

of C. The first order derivatives of C can be expressed as

2 F1 (,; ;)

()()( )( )( 2 F1 (, ; ; ))2 ,

C

= 2 ( ) () 2 F1 (,; ;)( ) 2 F1 (,; ;)+

2 F1 (,; ;)

()()( )( )( 2 F1 (, ; ; ))2 ,

C

= 2 ( ) ( ) 2 F1 (,; ;)( ) 2 F1 (,; ;)

2 F1 (,; ;) + 2( ) 2 F1 (,; ;)

() () ( ) ( ) ( 2 F1 (, ; ; ))2 ,

and

C

= 2 ( ) 2 F1 ( + 1, + 1; + 1; )

() () ( ) ( ) ( 2 F1 (, ; ; ))

derivatives of C are

2

C

2

2

2

2

2 = ( ) ()( 2 F1 (, ; ; )) 2()( )( 2 F1 (, ; ; ))

2

+ 2()

F

(,

;

;

)

2 1

2 F1 (,; ;) ()( 2 F1 (, ; ; ))

+ 2 ( )( 2 F1 (, ; ; ))2

2( )

2 F1 (, ; ; ) 2 F1 (, ; ; )

2

;

;

)

F

( ) ( 2 F1 (, ; ; ))2 + 2

(,

2 1

2

2 F1 (, ; ; )

2 F1 (, ; ; )

2

() () ( ) ( ) ( 2 F1 (, ; ; ))

166

SARALAEES NADARAJAH

2C

= 2 ( ) ()()( 2 F1 (,; ;))2 ()( )( 2 F1 (,; ;))2

2

+ ()

2 F1 (,; ;) 2 F1 (,; ;)( )()( 2 F1 (,; ;))

F

(,;

;)

2 1

2 F1 (,; ;)

F

(,;;)

()

F

(,;;)

F

(,;;)

() 2 F1 (,;;)

+

2 1

2 1

2 1

2

+2

2 F1 (,; ;)

2 F1 (,; ;)

2 F1 (,; ;) 2 F1 (,; ;)

() () ( ) ( ) ( 2 F1 (, ; ; ))

2C

= 2 ( )

() ( ) ( 2 F1 (, ; ; ))2

()( )( 2 F1 (,; ;)) ()

2 F1 (,; ;) 2 F1 (,; ;)

2

+ ( ) ( ) ( 2 F1 (, ; ; ))2

+ ( )

F

;

;

)

(,

2 1

2 F1 (, ; ; )

2 ( ) ( ) ( 2 F1 (, ; ; ))2 ( ) ( 2 F1 (, ; ; ))2

( )

2 F1 (, ; ; )

2 F1 (, ; ; )

;

)

F

( ) 2 F1 (, ; ; )

(,

2 1

2

2 F1 (, ; ; )

2 F1 (, ; ; )

+2

F

(,;

;)

( ) 2 F1 (,; ;)

2 1

2

+ 2 F1 (,; ;)

2 F1 (,; ;)

() () ( ) ( ) ( 2 F1 (, ; ; ))

167

2C

= 2 ( ) () 2 F1 ( + 1, + 1; + 1; ) 2 F1 (, ; ; )

( ) 2 F1 ( + 1, + 1; + 1; ) 2 F1 (, ; ; )

+2

2 F1 (, ; ; ) 2 F1 ( + 1, + 1; + 1; )

2 F1 ( + 1, + 1; + 1; ) 2 F1 (, ; ; )

2 F1 (, ; ; )

2 F1

( + 1, + 1; + 1; )

() () ( ) ( ) ( 2 F1 (, ; ; ))3 ,

2C

= 2 ( ) 2 ()( 2 F1 (, ; ; ))2 2()( )( 2 F1 (, ; ; ))2

2

2

+ 2()

2 F1 (,; ;) 2 F1 (,; ;) ()( 2 F1 (,; ;))

+ 2 ( )( 2 F1 (,; ;))2 2( )

F

(,;

;)

2 1

2 F1 (,; ;)

2

2

( ) ( 2 F1 (, ; ; )) + 2

2 F1 (, ; ; )

2

2 F1 (, ; ; )

2 F1 (, ; ; )

2

() () ( ) ( ) ( 2 F1 (, ; ; ))

2C

= 2 ( ) ( )()( 2 F1 (,; ;))2

()( )( 2 F1 (,; ;))2

2

()

2 F1 (,; ; ) 2 F1 (, ; ; ) + 2 () ( )( 2 F1 (, ; ; ))

+ ( )( )( 2 F1 (, ; ; ))2 + 2 ( )( 2 F1 (, ; ; ))2

;

)

+ ( )

F

(,

2 1

2 F1 (, ; ; )

2 ( ) ( ) ( 2 F1 (, ; ; ))2 ( ) ( 2 F1 (, ; ; ))2

( )

2 F1 (,; ;) 2 F1 (,; ;)

168

SARALAEES NADARAJAH

( )

2 F1 (,; ;) 2 F1 (,; ;)

2

2 F1 (,; ;)

2 F1 (,; ;)

2

+2

2 F1 (,; ;) ( ) 2 F1 (,; ;)+

2 F1 (,; ;) 2 F1 (,;;)

() () ( ) ( ) ( 2 F1 (, ; ; ))

2C

= 2 ( ) () 2 F1 ( + 1, + 1; + 1; ) 2 F1 (, ; ; )

( ) 2 F1 ( + 1, + 1; + 1; ) 2 F1 (, ; ; )

F

2 F1 ( + 1, + 1; + 1; )

+2

;

;

)

(,

2 1

2 F1 ( + 1, + 1; + 1; ) 2 F1 (, ; ; )

2 F1 (, ; ; )

2 F1

( + 1, + 1; + 1; )

() () ( ) ( ) ( 2 F1 (, ; ; )) ,

3

2C

2

2

2

2 = ( ) ( ) ( 2 F1 (, ; ; ))

+ 2 ( ) ( ) ( 2 F1 (, ; ; ))2

;

)

+ 2 ( )

F

(,

2 1

2 F1 (, ; ; )

4( )( )( 2 F1 (, ; ; ))2 ( )( 2 F1 (, ; ; ))2

+ 2 ( ) ( 2 F1 (, ; ; ))2

+ 2 ( )

F

;

;

)

(,

2 1

(, ; ; )

2 F1

4( )( )( 2 F1 (, ; ; ))2 ( )( 2 F1 (, ; ; ))2

+2

2

2 F1

(, ; ; )

2 F1

(, ; ; ) ( )

2 F1

(, ; ; )

169

2

2 F1 (, ; ; )

2

2 F1 (, ; ; )

+ 4 2 ( )( 2 F1 (, ; ; ))2

+ 2 ( ) ( 2 F1 (, ; ; ))2

() () ( ) ( ) ( 2 F1 (, ; ; ))

2C

= 2 ( ) ( )

+ ( )

+2

+

2 F1

2 F1

2 F1

( + 1, + 1; + 1; )

2 F1 (, ; ; )

2 ( )

2 F1

( + 1, + 1; + 1; )

( + 1, + 1; + 1; )

(, ; ; )

2 F1

2 F1

2 F1

2 F1

(, ; ; )

(, ; ; )

( + 1, + 1; + 1; )

2 F1

(, ; ; )

( + 1, + 1; + 1; )

2 F1

( + 1, + 1; + 1; )

2 F1

(, ; ; )

() () ( ) ( ) ( 2 F1 (, ; ; ))3 2 ,

and

2C

= 2 ( ) 2 ( 2 F1 ( + 1, + 1; + 1; ))2 2

2

2 ( 2 F1 ( + 1, + 1; + 1; ))2 + ( 2 F1 (, ; ; ))2 2

+

2 F1

(, ; ; )

2 F1

( + 1, + 1; + 1; )

2 F1

(, ; ; )

2 F1

( + 1, + 1; + 1; )

2 F1

(, ; ; )

2 F1

( + 1, + 1; + 1; )

2 F1

(, ; ; )

2 F1

( + 1, + 1; + 1; )

()()( ) ( ) ( 2 F1 (, ; ; )) ( 1) .

3

170

SARALAEES NADARAJAH

6. Simulation

The rejection sampling can be used to simulate from (1). Let M =

C B(, )B(, )/(1 ) , where C is given by (2). The following scheme can be used:

1. Generate independent beta random variables V and W with shape parameters (, ) and (, ), respectively.

2. Generate a uniform [0, 1] random variable U independently of (V, W ).

3. If U < C B(, )B(, )/{M(1 V W ) } accept (V, W ) as a

realization from (1).

3. If U C B(, )B(, )/{M(1 V W ) } return to step 1.

Note that there are standard routines for generating independent beta random

variables.

7. Application

Droughts are one of the normal and recurrent climatic phenomena on earth.

However, recurring prolonged droughts have caused farreaching and diverse

impacts because of water deficits. Here, we illustrate an application of (1)

to provide a simple and yet flexible model for the intensity and duration of

drought periods.

The physical need for such a model can be found in many areas of hydrology.

For example, Porporato et al. (2001) proposed a measure of vegetation

water stress for plants in watercontrolled ecosystems. Among other factors,

this measure was based on mean intensity and duration of drought periods (periods of soil water deficit). We refer the readers to the references in Porporato

et al. (2001) for other examples.

We use the drought data from the State of Nebraska. Nebraska is composed

of two major land regions: the Dissected Till Plains and the Great Plains.

The easternmost portion of the state was scoured by Ice Age glaciers; the

Dissected Till Plains were left behind after the glaciers retreated.

The Dissected Till Plains is a region of gently rolling hills.

The Great Plains occupy the majority of western Nebraska.

The Great Plains itself is comprised of several smaller, diverse land regions,

including the Sandhills, the Pine Ridge, the Rainwater Basin, the High Plains

and the Wildcat Hills.

The data comprises of the monthly modified Palmer Drought Severity Index

(PDSI) From the period from January 1895 to December 2004. A drought is

said to have happened when PDSI is below 0. Defined by the theory of runs

171

(Yevjevich, 1967), some statistics of the observed drought for the eight climatic

divisions of Nebraska are summarized in Table 1.

Table 1: Basic drought statistics for Nebraska PDSI data.

Climate division

No of droughts

Drought frequency

(number/year)

Mean drought

duration (months)

1

2

3

5

6

7

8

9

83

66

89

81

90

81

76

74

0.75

0.60

0.81

0.74

0.82

0.74

0.69

0.67

6.0

8.6

6.3

6.3

6.3

6.1

6.5

7.5

3, 5, 6, 7, 8 and 9there is no climate division 4 for Nebraska.

Using the PDSI data, data on drought duration and drought intensity were

obtained for each climate division. The interest is in determining the relationship between drought intensity and drought duration which is important for

hydrologists. This was determined by fitting the model given by (1) to the

observed values of drought intensity and drought duration.

The observed values were transformed to the scale (0, 1) by first ranking

them in the ascending order and then dividing by (n+1), where n is the number

of observations. The fitting of (1) to the transformed values was performed by

the method of maximum likelihood by solving the equations given by (15)(18).

The estimates of the four parameters , , and are shown in Table 2.

Table 3 provides estimates of the correlation coefficient estimated using

equation (4).

Table 2: Parameter estimates of (1).

Climate division

1

2

3

5

6

7

8

9

1.407

1.482

1.304

1.523

1.507

1.322

1.445

1.608

1.526

1.544

1.401

1.540

1.613

1.373

1.516

1.720

4.413

4.700

4.045

4.529

4.691

4.007

4.398

4.908

0.920

0.932

0.887

0.933

0.933

0.999

0.919

0.962

172

SARALAEES NADARAJAH

Climate division

Correlation

1

2

3

5

6

7

8

9

0.377

0.393

0.337

0.394

0.394

0.604

0.375

0.448

The fitted contours of (1) for climate divisions 2 and 7 are shown in Figure 5.

The contours for the other climate divisions are similar, tending to look like

that for division 7 at their most extreme.

Climate Division 7

0.0

0.0

0.2

0.2

0.4

0.4

0.6

0.6

0.8

0.8

1.0

1.0

Climate Division 2

0.0

0.2

0.4 x

0.6

0.8

1.0

0.0

0.2

0.4 x 0.6

0.8

1.0

Figure 5. Fitted contours of the pdf (1) for drought data from climate division 2 (top) and climate division

7 (bottom) of Nebraska (X = scaled rank of drought intensity data, Y = scaled rank of drought

duration data).

It is evident from Figure 5 and Table 3 that there is little difference between

the climate divisions. This is what one would expect given the geography of

the State of Nebraska.

The goodness of fit of (1) for each climate division was tested by the

chisquared test with the resulting pvalue > 0.05.

We also fitted the competing bivariate beta distributions discussed in Section

1. The fit of the bivariate F2 distribution (which has the same number of

parameters as (1) and so the standard likelihood ratio test applies) was not

173

significantly better than (1). The fit of Nadarajah and Kotz (2005a)s bivariate

beta distribution (which has one less parameter than (1)) provided a significantly

poorer fit.

The same comment applies to Olkin and Liu (2003)s bivariate beta distribution.

It is interesting (1) provides as good a fit as (if not better than) others

despite being simpler and more tractable.

Acknowledgments

The author would like to thank the EditorinChief and the two referees for carefully reading

the paper and for their comments which greatly improved the paper.

REFERENCES

A-Grivas, D. and Asaoka, A. (1982) Slope safety prediction under static and seismic loads,

Journal of the Geotechnical Engineering Division, Proceedings of the American Society of

Civil Engineers, 108, 713729.

Apostolakis, F. J. and Moieni, P. (1987) The foundations of models of dependence in probabilistic

safety assessment, Reliability Engineering, 18, 177195.

Arnold, B. C., Castillo, E. and Sarabia, J. M. (1999) Conditional Specification of Statistical

Models, Springer Verlag, New York.

Chatfield, C. (1975) A marketing application of a characterization theorem. In:, A Modern Course

on Distributions in Scientific Work,Vol. 2: Model Building and Model Selection (G. P. Patil,

S. Kotz and J. K. Ord, eds.), pp. 175185. Reidel, Dordrecht, The Netherlands.

Hoyer, R. W. and Mayer, L. S. (1976) The equivalence of various objective functions in a stochastic

model of electoral competition, Technical Report, No. 114, Series 2, Department of Statistics,

Princeton University.

Hutchinson, T. P. and Lai, C. D. (1991) The Engineering Statisticians Guide to Continuous

Bivariate Distributions, Rumsby Scientific Publishing, Adelaide, Australia.

Libby, D. L. and Novick, M. R. (1982) Multivariate generalized beta-distributions with applications

to utility assessment, Journal of Educational Statistics, 7, 271294.

Kotz, S., Balakrishnan, N. and Johnson, N. L. (2000) Continuous Multivariate Distributions,

Vol. 1: Models and Applications (second edition). John Wiley and Sons, New York.

Nadarajah, S. (2006) The bivariate F3 -beta distribution, Communications of the Korean Mathematical Society, 21, 363374.

Nadarajah, S. and Kotz, S. (2005a) Some bivariate beta distributions, Statistics, 39, 457466.

Nadarajah, S. and Kotz, S. (2005b) The bivariate F1 -beta distribution, Mathematical Reports of

the Academy of Science. The Royal Society of Canada, 27, 5864.

Nadarajah, S. and Kotz, S. (2007) The bivariate F3 -beta distribution, submitted for publication.

Olkin, I. and Liu, R. (2003) A bivariate beta distribution, Statistics and Probability Letters, 62,

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Porporato, A., Laio, F., Ridolfi, L. and Rodriguez-Iturbe, I. (2001) Plants in water-controlled

ecosystems: active role in hydrologic processes and response to water stress: III. Vegetation

water stress, Advances in Water Resources, 24, 725744.

Prudnikov, A. P., Brychkov, Y. A. and Marichev, O. I. (1986) Integrals and Series, (volumes

1, 2 and 3), Gordon and Breach Science Publishers, Amsterdam.

Tong, Y. L. (1980) Probability Inequalities in Multivariate Distributions, Academic Press, New

York.

Yevjevich, V. (1967) An objective approach to definitions and investigations of continental hydrologic droughts, Hydrologic Paper No. 23, Colorado State University, Fort Collins.

SARALEES NADARAJAH

School of Mathematics

University of Manchester

Manchester M60 1QD, UK

saralees.nadarajah@manchester.ac.uk

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