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Chapter 4 Continuous Probability Distribution

This document provides definitions and theorems related to continuous probability distributions. It defines distribution functions, probability density functions, expected value, and variance. It discusses properties of density functions and how to calculate probabilities, expected values, and variances for different distributions like exponential, gamma, chi-square, uniform, and normal distributions. Examples are provided to demonstrate calculating these metrics for specific distributions.

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ly21171007cynthia
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12 views

Chapter 4 Continuous Probability Distribution

This document provides definitions and theorems related to continuous probability distributions. It defines distribution functions, probability density functions, expected value, and variance. It discusses properties of density functions and how to calculate probabilities, expected values, and variances for different distributions like exponential, gamma, chi-square, uniform, and normal distributions. Examples are provided to demonstrate calculating these metrics for specific distributions.

Uploaded by

ly21171007cynthia
Copyright
© © All Rights Reserved
Available Formats
Download as PPTX, PDF, TXT or read online on Scribd
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Chapter 4

Continuous Probability Distribution


Definition 4.1
• Let Y denote any random variable. The (cumulative)
distribution function of Y, denote by, F(y) is such that
• F(y)=P(Y≤y), - < y <
Theorem 4.1

• Properties of Distribution Function 分配函數的性質：


• 1. F(y) is a non-decreasing function ( 非遞減 ) of y
• 2. F( and F( i.e. 0 ≤ F(y) ≤ 1.
Definition 4.2
• Let Y denote a random variable with distribution function F(y),
Y is a continuous random variable if F(y) is continuous.
Example
• p(y)=pyqn-y, y=0,1,2, let p=, find F(y)
Definition 4.3

• Let F(y) be the distribution function for a continuous random


variable, Y. Then f(y)=, wherever the derivative exists, is called
the probability density function (p.d.f) for the random variable
Y.
Theorem 4.2:
• Properties of a Density Function for a continuous random
variable.
• 1. f(y) for all y y
• 2.
Theorem 4.3
• If random variable Y has a density function f(y) and a < b , then
the probability that Y falls in the interval [a,b] is F(b)-F(a).
example
• F(y)=, find the p.d.f. of Y
• f(y)= , find F(y) and graph f(y) and F(y).
f(y)= , find c and P(1.
Exercise 4.11
• f(y)= , find c and F(y).
Definition 4.5:
• Y is a continuous random variable with p.d.f f(y). The expected
value of Y is
E(Y)=
Theorem 4.4
• Let g(y) be a function of Y, then the expected value of g(y) is
E(g(Y))=
Theorem 4.5(3.3)
• Let Y be a continuous random variable with probability density
function f(y) and c be a constant, then E(c)=c
• Proof: E(c)=
Theorem 4.5 (3.4)
• Let Y be a continuous random variable with probability density
function f(y), g(Y) be a function of Y, and c be a constant. Then
E(cg(Y))=cE(g(Y))
• Proof: E(cg(Y))=
E(g(Y))
•
Theorem 4.5 (3.5)
• Let Y be a continuous random variable with probability density
function f(y) and g1(Y), g2(Y),…, gk(Y) be k functions of Y and c1,
c2,…, ck are constants. Then
E(c1g1(Y)+ c2g2(Y)+… +ckgk(Y))=c1E(g1(Y))+c2E(g2(Y))+…+ckE(gk(Y))
Proof: E(c1g1(Y)+ c2g2(Y)+… +ckgk(Y))
=
=+ +…+
= E(g1(Y))+E(g2(Y))+…+E(gk(Y))
Theorem 4.6
• Let Y be a continuous random variable with probability density
function f(y) and mean E(Y)= μ. Then
V(Y)=E((Y-μ)2)=E(Y2)-μ2
proof: E((Y-μ)2)=E(Y2-2μY+μ2)
=E(Y2)-2E(μY)+E(μ2)
=E(Y2)-2μE(Y)+E(μ2)
=E(Y2)-2μE(Y)+μ2
=E(Y2)-2μ2+μ2
=E(Y2)-μ2
• f(y)= , find E(Y) and V(y).
solution
• E(Y)=
• V(Y)=
• f(y)= , find E(Y) and V(y).
solution
• E(Y)=
• V(Y)=
• f(y)=, find the p.d.f. of Y
solution
• E(Y)=0.4
• V(Y)=
Gamma Probability Distribution
• 從開店到第一個顧客上門經過多少時間
• ( 等到公車所需花的時間 )
Exponential Distribution
• Waiting time W is a random variable
• F()=P(W= 1- P(W>)
• = 1-P(no chance in (0, ω) )
• = 1- 0~ω 的區間
• f()= , let y= ω
• f(y)= , let ,
• f(y)= , y > 0.
MGF of exponential distribution
• M(t)=E(ety)=
• =
• =
• = =
• == =
• To prove that M’(t=0)=
•

• M’’(t=0)=
• Gamma Distribution G(
• 等到第 α 班公車的時間 ,
• 時 → exponentinal distribution 指數分配
• Y : waiting time , 第 α 次公車來的時間 假設 α= 5
• F(y)=P(Y 這個時間內可能有 0.1.2.3.4 班公車來
• =1- → distribution function of Y
•
dF ( y )
f ( y)    (   )e   y , 當 k = 0
dy
1 ( y )0  e  y ( y )1 ( )e   y
[  ] , 當k=1
1! 1!
• f(y)= 2  ( y)1  e  y ( y) 2 ( )e   y
[  ] , 當k=2
2! 2!
3  ( y ) 2  e   y ( y ) 3 (   ) e   y
[  ] , 當k=3
3! 3!
⋮
(  1)  ( y) 2  e  y ( y) 1 ( )e  y
[  ] , 當 k =α- 1
(  1)! (  1)!
  y 1e  y 1
 , 令 
(  1)! 
y
 1 
y e
 ~ y0
(  1)!  
y
 1 
y e
( )  (  1)! f ( y)  
, 0 y
( )
• 已知
• →
•
• , 令
•
•
•

•
•
•
•
•
•
•
•
•
•
Chi-Square distribution 卡方分配

• 當 , v=degrees of freedom 自由度


• 標準常態分配

•
Uniform Probability Distribution 均勻分配

• Definition 4.6:
If
• （ p f ）：

•
• ＊沒有 mgf
•

•
•

•
•
•
•
Exercise 4.38:

• Y has a uniform distribution over the interval ( 0 , 1 )


a. Find ?
b.Show that and depends only upon the value of b.
solution

b.
• Normal Distribution 常態分配
• 鐘形對稱單峰
• 已知

•
•
•
•
•

• 標準化
Theorem 4.12
• Let Y be a random variable with f(y) , g(Y) is a function of Y.
• Then the MGF of g(Y) is
•
• Let z = , z is the standard normal distribution
MGF of standard normal distribution

•
• )
• 當時

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