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Distributions of Functions of Normal Random Variable

The document discusses various distributions related to normal random variables, including the normal, chi-square, t, and F distributions. It provides the probability density functions (pdf), properties, and R code examples for calculating probabilities and quantiles for each distribution. Key characteristics such as symmetry, degrees of freedom, and the relationship between these distributions are also highlighted.

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Soham Parija
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9 views10 pages

Distributions of Functions of Normal Random Variable

The document discusses various distributions related to normal random variables, including the normal, chi-square, t, and F distributions. It provides the probability density functions (pdf), properties, and R code examples for calculating probabilities and quantiles for each distribution. Key characteristics such as symmetry, degrees of freedom, and the relationship between these distributions are also highlighted.

Uploaded by

Soham Parija
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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DISTRIBUTIONS OF FUNCTIONS OF NORMAL

RANDOM VARIABLE
Chi-Square, t and F Distributions
NORMAL RANDOM VARIABLE
Normal(μ,σ2) Distribution
• The pdf of normal distribution with mean μ and
variance σ2 is
−(𝑥−μ)2
1
f(x)= 𝑒 2σ2 , for all real x
σ 2π

• If X is normal with mean μ and variance σ2, we


typically write X~N(μ,σ2).
• Normal pdf is symmetric around its mean μ, and its
shape depends on sd σ. The higher the sd, the
flatter the curve.
• If X~N(μ, σ2), then aX+b~N(aμ+b,a2σ2).
• If μ=0 and σ2=1, then X is the standard normal
distribution, more commonly denoted by Z.
Normal(μ,σ2) Distribution
R Codes:
pnorm(x,μ,) normal probability (c.d.f.)
qnorm(x,μ,)  normal quantile
pnorm(x) standard normal probability
(c.d.f.)
qnorm(x)  standard normal quantile
Chi-square χ2 Distribution
• Chi-square distribution with n degrees of
freedom:
If X1, X2, …, Xn ~ N(0,1) are independent,
then σ𝑛𝑖=1 𝑋𝑖2 ~ χ2𝑛
• Note that:
• It is not symmetric
• The shape depends on the degrees of freedom.
• As the number of degrees of freedom increases,
the distribution becomes more symmetric.
• χ2 > 0 i.e. it is a non-negative random variable.
R Codes:
Chi-square 2
χ Values qchisq(0.025, 5)
qchisq(0.975, 5,lower.tail = FALSE)
pchisq(0.8312116, 5, lower.tail = FALSE)
pchisq(0.8312116, 5)
t Distribution
• t distribution with n degrees of freedom:
If Z ~ N(0,1) and Y~ χ2𝑛 , are independent, then the
𝑍
distribution of 𝑡𝑛 = is called the t distribution
𝑌/𝑛
with n degrees of freedom

• Note that:
• The t distributions are symmetric and bell
shaped, but the tails are fatter.
• A specific t distribution depends on a parameter
known as the degrees of freedom (df).
• A t distribution with more df has less dispersion.
• As the df increases, the difference between the t
distribution and the standard normal probability
distribution becomes smaller and smaller.
t Distribution
• R Codes:
• qt(0.95, 5)
• qt(0.05, 5,lower.tail = FALSE)
• pt(2.015048, 5, lower.tail = FALSE)
• pt(2.015048, 5)
F Distribution

• F distribution with m and n degrees of freedom:


If U and V are two independent χ2 random variables
with degrees of freedom m and n respectively, then
the distribution of
𝑈/𝑚
𝐹𝑚,𝑛 =
𝑉/𝑛

is called the F distribution with m and n degrees of


freedom.
R Codes:
F Values
qf(0.05, 3,6, lower.tail = FALSE)
qf(0.95, 3,6)

pf(4.757063, 3,6, lower.tail = FALSE)


pf(4.757063, 3,6)

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