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Lec19_Feb20

The document provides an overview of the gamma and chi-squared distributions in probability and statistics, including their probability density functions (pdf), moment generating functions (mgf), and cumulative distribution functions (cdf). It highlights the properties of these distributions, such as expected values and variances, and their applications in statistical inference. Additionally, it includes examples and references to tables for calculating probabilities related to these distributions.

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2 views

Lec19_Feb20

The document provides an overview of the gamma and chi-squared distributions in probability and statistics, including their probability density functions (pdf), moment generating functions (mgf), and cumulative distribution functions (cdf). It highlights the properties of these distributions, such as expected values and variances, and their applications in statistical inference. Additionally, it includes examples and references to tables for calculating probabilities related to these distributions.

Uploaded by

f20240721
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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MATH F113: Probability & Statistics

Second Semester 2024-2025

Divyum Sharma
Assistant Professor
Department of Mathematics
BITS Pilani
Recall: Gamma Distribution

A continuous rv X is said to have gamma distribu-


tion if its pdf is
!
1 ε→1 →x/ω
ω ω !(ε) x e if x ↑ 0,
f (x; ω, ε) =
0 otherwise,

where ω, ε > 0.
The standard gamma distribution has ε = 1.
The gamma distribution for which ω = 1 is the
exponential distribution.
Probability & Statistics Divyum Sharma 1
Recall

Let X be a gamma rv with parameters ω, ε. The


mgf of X is given by
1 1
mX (t) = , t < .
(1 → εt)ε ε
Hence
E (X ) = ωε, V (X ) = ωε 2 .

Probability & Statistics Divyum Sharma 2


Recall: Cdf

• When X is a standard gamma rv, the cdf of X ,


" x
y ω→1 e →y
F (x; ω) = dy
0 !(ω)
is called the incomplete gamma function. Appendix
Table A.4 gives the values of F (x; ω) for
ω = 1, 2, . . . , 10 and x = 1, 2, . . . , 15.

Probability & Statistics Divyum Sharma 3


Recall: Cdf

• When X is a standard gamma rv, the cdf of X ,


" x
y ω→1 e →y
F (x; ω) = dy
0 !(ω)
is called the incomplete gamma function. Appendix
Table A.4 gives the values of F (x; ω) for
ω = 1, 2, . . . , 10 and x = 1, 2, . . . , 15.
• The incomplete gamma function can also be used to
compute probabilities involving nonstandard gamma
distributions. Let X have a gamma distribution with
parameters ω and ε. Then for any x > 0, the cdf of X is
given by P(X ↓ x) = F (x; ω, ε) = F (x/ε ; ω), where
F (·; ω) is the incomplete gamma function.
Probability & Statistics Divyum Sharma 3
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(d) We have to find t such that P(X > t) = 0.005.
Hence F (t/6; 4) = 0.995. From the table, we see that
F (11; 4) = 0.995, so t/6 = 11 and t = 66.
Probability & Statistics Divyum Sharma 6
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Probability & Statistics Divyum Sharma 12
The Chi-Squared Distribution

The chi-squared distribution is important because it


is the basis for a number of procedures in statistical
inference.

Probability & Statistics Divyum Sharma 13


• E (ϑ2ϑ ) = ϖ, V (ϑ2ϑ ) = 2ϖ.
1
• mX (t) = (1→2t)ε/2
, t < 12 .
• Mode x ↔ = ϖ → 2. (Refer to Slides 7 and 8.)

Probability & Statistics Divyum Sharma 14


Probability & Statistics Divyum Sharma 15
Example.

ϑ20.95,15 = 7.261, ϑ20.01,15 = 30.577


(the area to the right of ϑ2ε,ϑ is ω)
P(ϑ215 ↑ 22.3) = 1 → F (22.3) = 0.1,
P(4.6 ↓ ϑ215 ↓ 27.5) = F (27.5) → F (4.6)
= 0.975 → 0.005 = 0.97.

Probability & Statistics Divyum Sharma 16


The central role played by the chi-squared
distribution in inference arises from its relationship to
normal distributions.

Probability & Statistics Divyum Sharma 17

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