Question: How to prove this result?


A classical probability result says that if G1 and G2 are two independent Gamma random variables with same scale parameter (let's say 1 to simplify) and shape parameters a1 and a2 respectively, then Gk / (G1 + G2 ) is a Beta random variable with parameters (ak , a3-k ) (k=1..2).

In the attached file it is shown that (Maple 2015) function Statistics:-PDF fails in computing the PDF of Gk.
Noting strange here if you observe that even in the extremely simple case Z = X / (X+Y), where both X and Y are independent Uniform random variable with support [0, 1), Maple 2015 already fails in computing PDF(Z).

An alternative to Statistics:-PDF is to write explicitely the double integration which defines CDF(Z) (to begin with, and later PDF(Gk)) and ask Maple to do the integrations.
This approach works for Z but requires helping Maple when X and Y are still independent Uniform random variables but with respective non instanciated supports [0, a1) and [0, a2).

Applying to the Gamma-Gamma case the recipies I introduced in the Uniform-Uniform case does not give any result, unless in the very particular case where the shape parameters a1 and a2 are (strictly) positive integers.

All the details are in X_over_(X_plus_Y).mw

Do you have any idea how to prove with Maple the probability result mentioned at the head of this question?

PS: The "classical method" to do compute PDF(Z) consists in changing the integration variables < x1, x2 > into < x1 = v1v2, x2 = v2 (1-v1) > (see for instance Stack exchange)... but even after having dome it I still cannot get the desired result.

Thanks in advance.

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