The beta distribution is the last continuous distribution we will discuss. Like the gamma distribution, the beta distribution earns its name from being associated with the beta function. The beta function is defined, and then the beta distribution is defined in terms of its probability density function (PDF) and cumulative distribution function (CDF). The mean and variance are provided, and a proof of a simple expression for the E[Xn] is given. We conclude by presenting a few important points for the beta distribution.