Recovering beta parameters from a scaled variable
Question
Suppose with unknown, and for some constants the variable has support , mean and variance . Determine .
Short answer
. Matching the support gives , so and . Since a beta variance equals , we get , so ; with this gives , .
Adapted from QuantQuestions.io; question and answer rewritten by SelfMadeQuant.com.
See the hint and the full worked solution in the question bank (free account).
Open the worked solutionLessons behind this question
- Continuous Random Variables and Probability Density Functions
- Cumulative Distribution Functions
- Value-at-Risk: Definition, Properties, and the Three Computation Methods
Start with a free lesson: Normal Distribution is part of a free topic. Create a free account, no card needed, to read it in full with worked solutions.
Read it free