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Classifications of Probability Distributions: Random Variable

1) The normal distribution can be used to approximate the binomial and Poisson distributions under certain conditions. For the binomial, the approximation is good when both np and nq are greater than 5. For the Poisson, the approximation is good when the expected value l is greater than 5. 2) A continuous random variable is said to have an exponential distribution with parameter λ if its probability density function is f(x) = λe-λx for x ≥ 0. The mean and variance of an exponential random variable are both equal to 1/λ. 3) If X is a normal random variable, we can standardize it to a standard normal variable Z by computing Z = (X - μ

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0% found this document useful (0 votes)
54 views37 pages

Classifications of Probability Distributions: Random Variable

1) The normal distribution can be used to approximate the binomial and Poisson distributions under certain conditions. For the binomial, the approximation is good when both np and nq are greater than 5. For the Poisson, the approximation is good when the expected value l is greater than 5. 2) A continuous random variable is said to have an exponential distribution with parameter λ if its probability density function is f(x) = λe-λx for x ≥ 0. The mean and variance of an exponential random variable are both equal to 1/λ. 3) If X is a normal random variable, we can standardize it to a standard normal variable Z by computing Z = (X - μ

Uploaded by

HamzaBaig
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Probability Distribution

• Pattern of distribution of probabilities over all possible events

• Can be used to determine likelihood of occurrence of all possible outcomes

Variable described by probability distribution is called random variable

Classifications of Probability Distributions

• Discrete probability distribution is associated with random variable that can take on only a finite
number of values

• Continuous probability distribution is associated with random variable that can take on infinite
number of values
Continuous Random Variables and Probability Distributions
➢ The probability distribution is a complete probabilistic description of a random variable.

➢ All other statistical concepts (expectation, variance, etc) are derived from it.

➢ Once we know the probability distribution of a random variable, we know everything we can learn
about it from statistics.

For continuous random variable X, a probability density function (pdf) is function


such that

1. f ( x)  0

2.
 
f ( x)dx  1
b
3. P (a  X  b)   f ( x)dx  area under f (x) for any a and b
a
Probability Distributions and Probability Density Functions

b
P(a  X  b)   f ( x)dx
a

Figure 4-2 Probability determined from the area under f(x).


Probability Distributions and Probability Density Functions

Figure 4-3 Histogram approximates a probability density function.

If X is a continuous random variable, for any x1 and x2 ,

P( x1  X  x2 )  P( x1  X  x2 )  P( x1  X  x2 )  P( x1  X  x2 )
Probability Distributions and Probability Density Functions
Example 4-2
Probability Distributions and Probability Density Functions

Figure 4-5 Probability density function for Example 4-2.


Cumulative Distribution Functions
The cumulative distribution function of a continuous random variable X is

  x  
x
F ( x)  P( X  x)   f (u )du For


Example 4-4

Probability Density Function from the


Cumulative Distribution Function
dF ( x)
f ( x) 
dx
Mean and Variance of a Continuous Random Variable
Suppose X is a continuous random variable with probability density function f (x) .
The mean or expected value of X is:

  E ( x)   xf ( x)dx

The variance of X is:
 
  V ( x)   ( x   ) f ( x)dx   x 2 f ( x)dx   2
2 2
 

The standard deviations is :   2


Expected Value of a Function of a Continuous Random Variable

If X is a continuous random variable with probability density function f (x) ,



E h( x )   h( x) f ( x)dx

Mean and Variance of a Continuous Random Variable
Example 4-6
Mean and Variance of a Continuous Random Variable
Example 4-8
Continuous Uniform Random Variable
A continuous random variable X with probability density function
1
f ( x)  a xb
(b  a )
Is a continuous uniform random variable.

Mean:
( a  b)
  E ( x) 
2
Variance
( a  b ) 2
 2  V ( x) 
12

Figure 4-8 Continuous uniform probability density function.


Continuous Uniform Random Variable
Example 4-9

Figure 4-9 Probability for Example 4-9.


Continuous Uniform Random Variable
Normal Distribution
A random variable X with probability density function
( x )2
1
f ( x)  e 2 2
  x  
2
Is a normal random variable with parameter  where       , and  0
Also E ( X )   and V ( X )  
2

And the notation N (  ,  ) is used to denote the distribution.


2

Figure 4-10 Normal probability density functions for selected values of the parameters  and 2.
Normal Distribution
Normal Distribution
1.0

Cumulative normal
density function
0.8

0.6 Normal probability


density function
50.00%
F

0.4

2.28%
0.2

68.27%

0
3 2    2 3
Normal Distribution

Z-score of an observation tells us the number of standard deviation that the observation from
the mean (how far the observation is from the mean in units of standard deviation.
Normal Distribution----Standard Normal
A random variable X with   0 and  2  1
Is called a standard normal random variable and is denoted as Z.

The cumulative distribution function of a standard normal random variable is


denoted as

( z )  P( Z  z )
Standardizing
If X is a normal random variable with E ( X )   and V ( X )   2 , then the random
variable

X 
Z

Is a normal random variable with E(Z)=0, and V(Z)=1. that is Z is a standard normal
random variable
Normal Distribution----Standard Normal

Standardizing a normal random variable.


Normal Distribution----Standard Normal
To Calculate Probability
Suppose X is a normal random variable with mean m and variance s2. then,
 X  x 
P ( X  x )  P    P( Z  z )
   
x
Z is s a standard normal random variable, z  is the z-value obtained by
standardizing X 

Figure 4-16 Determining the value of x to meet a specified probability.


Normal Distribution----Standard Normal
Example 4-11

Figure 4-13 Standard normal probability density function.


Normal Distribution----Standard Normal
Example 4-13

Example 4-14
Normal Distribution----Standard Normal
Example 4-14 (continued)
Normal Approximation to the Binomial and Poisson Distributions
Under certain conditions, the normal distribution can be used to approximate
the binomial distribution and the Poisson distribution.

If X is a binomial random variable, with parameters n and p


X  np
Z q  1 p
npq
Is approximately a standard normal random variable. To
approximate a binomial probability with a normal
distribution a continuity is applied as follows

 x  0.5  np 

P ( X  x)  P ( X  x  0.5)  P Z 
 
 npq 
And
 x  0.5  np 
P ( x  X )  P ( x  0 .5  X )  P  Z
 
 npq 
The approximation is good for np  5 and nq  5 Figure 4-19 Normal approximation to the binomial.
Normal Approximation to the Binomial and Poisson Distributions
Example 4-17

Example 4-18
Normal Approximation to the Binomial and Poisson Distributions

Figure 4-21 Conditions for approximating hypergeometric and binomial probabilities.

Normal Approximation to the Poisson Distribution

If X is a Poisson random variable with E(X)=l and V(X)=l,


X l
Z
l
Is approximately a standard normal random variable, The approximation is good for
l>5
Normal Approximation to the Binomial and Poisson Distributions
Example 4-20
Exponential Distribution
The random variable X that equals the distance between successive events
of a Poisson process with mean l>0 is an exponential random variable with
parameter l. The probability density function of X is

 lx
f ( x )  le for 0  x  
If the random variable X has an exponential random variable with parameter l.

1 1
  E( X )  and   V ( X ) 
2

l l2

It is important to use consistent units in the calculation of probabilities, means, and variances
involving exponential random variables.
Exponential Distribution
Example 4-21
Exponential Distribution

Figure 4-23 Probability for the exponential distribution in Example 4-21.


Exponential Distribution
Example 4-21 (continued)
Exponential Distribution
Example 4-21 (continued)
Exponential Distribution
Our starting point for observing the system does not matter.
An even more interesting property of an exponential random variable is the lack of memory
property.

In Example 4-21, suppose that there are no log-ons from 12:00 to 12:15; the probability that
there are no log-ons from 12:15 to 12:21 is still 0.082. Because we have already been
waiting for 15 minutes, we feel that we are “due.” That is, the probability of a log-on in the
next 6 minutes should be greater than 0.082. However, for an exponential distribution this is
not true.
Exponential Distribution
4-8 Exponential Distribution

Example 4-22
Exponential Distribution
Example 4-22 (continued)
Exponential Distribution
Example 4-22 illustrates the lack of memory property of an exponential random variable and a
general statement of property follows. In fact, the exponential distribution is the only continuous
distribution with this property.

Lack of Memory Property

For an exponential random variable X,

P ( X  t1  t 2 X  t1 )  P ( X  t 2 )

Figure 4-24 Lack of memory property of an Exponential distribution.

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