Continuous Probability

Distributions
Continuous Random Variables and
Probability Distributions
Random Variable: Y
Cumulative Distribution Function (CDF): F(y)=P(Yy)
Probability Density Function (pdf): f(y)=dF(y)/dy
Rules governing continuous distributions:

f(y) 0 y



P(aYb) = F(b)-F(a) =

P(Y=a) = 0 a

}
b
a
dy y f ) (
1 ) ( =
}

dy y f
Expected Values of Continuous RVs
| |
| |
( )
| | | |
| |
| | ( ) | | ( )
o o
o

a
a Y V a dy y f y a dy y f a ay
dy y f b a b ay b aY E b aY E b aY V
b a b a
dy y f b dy y yf a dy y f b ay b aY E
Y E Y E
dy y f dy y yf dy y f y dy y f y y
dy y f y Y E Y E Y V
dy y f y g Y g E
dy y yf Y E
b aY
=
= = = =
= + + = + + = +
+ = + =
= + = + = +
= + =
= + = + =
= = = =
=
= =
+

} }
}
} } }
} } } }
}
}
}
2 2 2 2 2 2
2 2
2 2 2 2
2 2 2 2
2 2 2
) ( ) ( ) ( ) ( ) (
) ( ) ( ) ( ) ( ) (
) 1 ( ) (
) ( ) ( ) ( ) (
) 1 ( ) ( 2
) ( ) ( 2 ) ( ) ( 2
) ( ) ( )) ( ( ) ( : Variance
) ( ) ( ) (
e) convergenc absolute (assuming ) ( ) ( : Value Expected
Example Cost/Benefit Analysis of
Sprewell-Bluff Project (I)
Subjective Analysis of Annual Benefits/Costs of
Project (U.S. Army Corps of Engineers assessments)
Y = Actual Benefit is Random Variable taken from a
triangular distribution with 3 parameters:
A=Lower Bound (Pessimistic Outcome)
B=Peak (Most Likely Outcome)
C=Upper Bound (Optimistic Outcome)
6 Benefit Variables
3 Cost Variables
Source: B.W. Taylor, R.M. North(1976). The Measurement of Uncertainty in Public Water Resource
Development, American Journal of Agricultural Economics, Vol. 58, #4, Pt.1, pp.636-643
Example Cost/Benefit Analysis of
Sprewell-Bluff Project (II) ($1000s, rounded)
Benefit/Cost
Pessimistic (A) Most Likely (B)
Optimistic (C)
Flood Control (+) 850 1200 1500
Hydroelec Pwr (+) 5000 6000 6000
Navigation (+) 25 28 30
Recreation (+) 4200 5400 7800
Fish/Wildlife (+) 57 127 173
Area Redvlp (+) 0 830 1192
Capital Cost (-) -193K -180K -162K
Annual Cost (-) -7000 -6600 -6000
Operation/Maint(-) -2192 -2049 -1742
Example Cost/Benefit Analysis of Sprewell-
Bluff Project (III) (Flood Control, in $100K)

> <
s s
s s
=
) 0 . 15 , 5 . 8 ( elsewhere 0
0 . 15 0 . 12 0 . 3 / ) 0 . 15 (
0 . 12 5 . 8 5 . 3 ) 5 . 8 (
) (
y y
y y k
y y k
y f
Triangular Distribution with:
lower bound=8.5
Peak=12.0
upper bound=15.0
Choose k area under density curve is 1:
Area below 12.0 is: 0.5((12.0-8.5)k) = 1.75k
Area above 12.0 is 0.5((15.0-12.0)k) = 1.50k
Total Area is 3.25k k=1/3.25
Triangular Distribution (Not Scaled)
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
8 8.5 9 9.5 10 10.5 11 11.5 12 12.5 13 13.5 14 14.5 15 15.5 16
Flood Control Benefits ($100K)
P
r
o
b
a
b
i l i t
y
D
e
n
s
i t
y
Example Cost/Benefit Analysis of
Sprewell-Bluff Project (IV) (Flood Control)
( ) ( )
( ) ( ) ( ) ( ) ( ) ( )
( ) ( )
( ) ( ) ( ) ( )
( )
1 ) ( 12
15 12 5 . 19 30 216 5385 .
75 . 9 2 12 ) 12 ( 15 2 15 5385 .
2 15 ) 75 . 9 / 1 ( 5385 . 75 . 9 ) 15 ( ) 12 ( ) ( 15 12
75 . 22 5 . 8 17 375 . 11 5 . 8 2 5 . 8 5 . 8 2
5 . 8 2 ) 375 . 11 / 1 ( 375 . 11 ) 50 . 8 ( ) ( 12 5 . 8
0 ) ( 5 . 8
elsewhere 0
0 . 15 0 . 12 75 . 9 / ) 0 . 15 (
0 . 12 5 . 8 375 . 11 ) 5 . 8 (
) (
2
2 2
12
2
12
2 2 2 2 2
5 . 8
2
5 . 8
= >
s s + + =
= + =
= + = + = s s
+ = =
= = = s s
= <

s s
s s
=
}
}
y F y
y y y
y y
t t dt t F y F y
y y y y
t t dt t y F y
y F y
y y
y y
y f
y y
y y
Example Cost/Benefit Analysis of
Sprewell-Bluff Project (V) (Flood Control)

>
s s +
s s +
<
=

s s
s s
=
15 1
15 12 051282 . 0 538462 . 1 538462 . 10
12 5 . 8 043956 . 0 747253 . 0 175824 . 3
5 . 8 0
) (
elsewhere 0
0 . 15 0 . 12 75 . 9 / ) 0 . 15 (
0 . 12 5 . 8 375 . 11 ) 5 . 8 (
) (
2
2
y
y y y
y y y
y
y F
y y
y y
y f
Example Cost/Benefit Analysis of Sprewell-Bluff Project (VI) (Flood Control)
Cumulative Distribution Function
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
8 8.5 9 9.5 10 10.5 11 11.5 12 12.5 13 13.5 14 14.5 15 15.5 16
y
F
(
y
)
Example Cost/Benefit Analysis of Sprewell-Bluff Project
(VII) (Flood Control)
( ) ( ) | | ( ) ( ) | |
( )
( ) ( ) | | ( ) ( ) | |
( ) | |
01 . 1 02 . 1
02 . 1 19 . 140 21 . 141 84 . 11 21 . 141 ) ( ) (
21 . 141 82 . 303 88 . 370 61 . 44 54 . 29
74 . 455 56 . 759 64 . 1112 52 . 1483 46 . 178 85 . 133 15 . 502 69 . 531
5 . 45
12
125 . 34
) 12 ( 15
5 . 45
15
125 . 34
15
25 . 29
5 . 8
39
5 . 8
25 . 29
) 12 ( 5 . 8
39
12
5 . 45 125 . 34
15
25 . 29
5 . 8
39 375 . 11
15
75 . 9
5 . 8
) (
84 . 11 41 . 44 45 . 49 49 . 10 69 . 3
64 . 50 95 . 94 90 . 98 35 . 148 49 . 31 00 . 21 77 . 62 08 . 59
125 . 34
12
75 . 22
) 12 ( 15
125 . 34
15
75 . 22
15
5 . 19
5 . 8
25 . 29
5 . 8
5 . 19
) 12 ( 5 . 8
25 . 29
12
125 . 34 75 . 22
15
5 . 19
5 . 8
25 . 29 375 . 11
15
75 . 9
5 . 8
) ( ) (
2
2
2
4 3 4 4 4 4 3 4
15
12
4 3
12
5 . 8
3 4
15
12
2
12
5 . 8
2 2 2
3 2 3 3 3 3 2 3
15
12
3 2
12
5 . 8
2 3
15
12
12
5 . 8
= =
= = = =
= + + =
= + =
=
(

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|

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+
(

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=
(

+
(

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(

+
(

= =
= + + =
= + =
=
(

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(

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} } }
} } }

o
Y E Y E Y V
y y y y
dy
y
y dy
y
y dy y f y Y E
y y y y
dy
y
y dy
y
y dy y yf Y E
Uniform Distribution
Used to model random variables that tend to occur
evenly over a range of values
Probability of any interval of values proportional to its
width
Used to generate (simulate) random variables from
virtually any distribution
Used as non-informative prior in many Bayesian
analyses

s s

=
elsewhere 0
1
) (
b y a
a b
y f

>
s s

<
=
b y
b y a
a b
a y
a y
y F
1
0
) (
Uniform Distribution - Expectations
( )
( ) | |
) ( 2887 . 0
12
12
) (
12
) (
12
2
12
) 2 ( 3 ) ( 4
2 3
) (
) ( ) (
3
) (
) ( 3
) )( (
) ( 3 3
1 1
2 ) ( 2
) )( (
) ( 2 2
1 1
) (
2
2 2 2 2 2 2 2
2
2 2
2
2
2 2
2 2 3 3 3
2 2
2 2 2
a b
a b a b
a b ab b a ab a b ab b a
a b ab b a
Y E Y E Y V
ab b a
a b
ab b a a b
a b
a b y
a b
dy
a b
y Y E
a b
a b
a b a b
a b
a b y
a b
dy
a b
y Y E
b
a
b
a
b
a
b
a
~

=
+
=
+ + + +
=
=
(

+ +
= =
+ +
=
=

+ +
=

=
|
.
|

\
|

=
|
.
|

\
|

=
+
=

+
=

=
|
.
|

\
|

=
|
.
|

\
|

=
}
}
o
Exponential Distribution
Right-Skewed distribution with maximum at y=0
Random variable can only take on positive values
Used to model inter-arrival times/distances for a
Poisson process

>
=

elsewhere 0
0
1
) (
/
y e
y f
y u
u
( ) 0 1
1
1
1 1
) (
0
0 0
> = =
|
.
|

\
|

= =

}
y e e e e dt e y F
y y
y
t t
y
u u u u
u u u
Exponential Density Functions (pdf)
Exponential pdf's
0
0.2
0.4
0.6
0.8
1
1.2
0 1 2 3 4 5 6 7 8 9 10
y
f
(
y
)
f(y|th=1)
f(y|th=2)
f(y|th=5)
f(y|th=10)
Exponential Cumulative Distribution Functions (CDF)
Exponential CDF
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
0 3 6 9 12 15
y
F
(
y
)
F(y|th=1)
F(y|th=2)
F(y|th=5)
F(y|th=10)
Gamma Function
) ( ) (
: Letting : integral he Consider t
)! 1 ( ) ( integer, an is if that Note
Property) (Recursive ) ( ) 0 ( 0
) 1 (
: Parts by g Integratin ) 1 (
) (
0
1
0
1
0
1
0
1
0
1
0
1
0 0
1
0
0
1
o | | | |
| |
|
o o o
o o o
o o
o
o
o
o o o o | o
| o
o
o o o
o o
o
o
I = = =
= =
=
= I
I = + =
= + = = = + I
= =
= =
= + I
= I
} } }
}
}
} } }
}
}

dx e x dx e x dy e y
dx dy x y
y x dy e y
dy e y
dy e y e y vdu uv dy e y
e v dy e dv
dy y du y u
dy e y
dy e y
x x y
y
y
y y y
y y
y
y
EXCEL Function: =EXP(GAMMALN(o))
Exponential Distribution - Expectations
( )
( ) | |
u o
u u u
u u u
u
u u
u u u
u
u u
u u u
u u u
=
= = =
= = I =
= = =
|
.
|

\
|
=
= = I =
= = =
|
.
|

\
|
=
} } }
} } }

2 2 2
2
2
2 2 3
0
1 3
0
2
0
2 2
2
0
1 2
0 0
) ( 2 ) ( ) (
2 )! 1 3 ( ) 3 (
1
1 1
)! 1 2 ( ) 2 (
1
1 1
) (
Y E Y E Y V
dy e y dy e y dy e y Y E
dy e y dy ye dy e y Y E
y y y
y y y
Exponential Distribution - MGF
( )
| |
2 2 2
2
3 2 3
2 2
1
* *
0
*
*
*
0
*
0
1
0
1
0
2 ) 0 ( ' ) 0 ( ' ' ) (
) 0 ( ' ) (
) 1 ( 2 ) ( ) 1 ( 2 ) ( ' '
) 1 ( ) ( ) 1 ( 1 ) ( '
) 1 (
1
1
) 1 0 (
1
1
1
) (
1
where
1 1
1 1
) (
u u u
u
u u u u u
u u u u
u
u u
u
u
u
u u
u
u
u
u u
u u
u
u u
u
u u
= = =
= =
= =
= =
=

= = =
|
.
|

\
|

= = =
=
|
.
|

\
|
= =

|
.
|

\
|

|
.
|

\
|

} }
} }
M M Y V
M Y E
t t t M
t t t M
t
t
e t M
t
dy e dy e
dy e dy e e e E t M
y
y
t
y
t y
y ty tY
Exponential/Poisson Connection
Consider a Poisson process with random variable X being
the number of occurences of an event in a fixed time/space
X(t)~Poisson(t)
Let Y be the distance in time/space between two such
events
Then if Y > y, no events have occurred in the space of y
u u

u
1 mean with l Exponentia are Process Poisson in distances arrivals - Inter 1
! 0
) (
) 0 ) ( ( : y Probabilit Poisson
) ( : " Survival " l Exponentia
0
= =
= = =
= >

y
y
y
e
y e
y X P
e y Y P
Gamma Distribution
Family of Right-Skewed Distributions
Random Variable can take on positive values only
Used to model many biological and economic characteristics
Can take on many different shapes to match empirical data

> >
I
=

otherwise 0
0 , , 0
) (
1
) (
1
| o
| o
| o
o
y e y
y f
y
Obtaining Probabilities in EXCEL:
To obtain: F(y)=P(Yy) Use Function: =GAMMADIST(y,o,|,1)
Gamma/Exponential Densities (pdf)
Exponential and Gamma density functions
0
0.1
0.2
0.3
0.4
0.5
0 2 4 6 8 10
y
f
(
y
)
exp(2.0)
exp(5.0)
gam(2,2)
gam(2,3)
gam(3,2)
Gamma Distribution - Expectations
( )
( ) | |
o | o
o| | o o| | o o| o| o
o| o
o
| o o o
o
| o o
o
| o
| o
| o | o
| o | o
o|
o
| o o
o
| o
| o
| o | o
| o | o
o
o
| o
o
| o
o
| o
o
o
o
| o
o
| o
o
| o
o
=
= + = + = =
+ =
I
I +
=
I
+ I +
=
=
I
+ I
= + I
I
=
I
=
=
I
=
|
|
.
|

\
|
I
=
=
I
I
=
=
I
+ I
= + I
I
=
I
=
=
I
=
|
|
.
|

\
|
I
=
+

}
} }
}
} }
2 2 2 2 2 2 2
2
2
2 2
2
2
0
1 ) 2 (
0
1
0
1 2 2
1
0
1 ) 1 (
0 0
1
) ( ) 1 ( ) ( ) (
) 1 (
) (
) ( ) 1 (
) (
) 1 ( ) 1 (
) (
) 2 (
) 2 (
) (
1
) (
1
) (
1
) (
1
) (
) (
) (
) 1 (
) 1 (
) (
1
) (
1
) (
1
) (
1
) (
Y E Y E Y V
dy e y
dy e y dy e y y Y E
dy e y
dy e y dy e y y Y E
y
y y
y
y y
Gamma Distribution - MGF
( )
( )
| |
2 2 2
2
2 2 2
1 1
*
*
0
* 1
0
1
1
0
1
1
0
1
) ( ) 1 ( ) 0 ( ' ) 0 ( ' ' ) (
) 0 ( ' ) (
) 1 ( ) 1 ( ) ( ) 1 ( ) 1 ( ) ( ' '
) 1 ( ) ( ) 1 ( ) ( '
) 1 ( ) (
) (
1
) (
1
where
) (
1
) (
1
) (
1
) (
1
) (
o| o| | o o
o|
| | o o | | o| o
| o| | | o
| | o
| o
|
|
|
| o
| o | o
| o
o o
o o
o
o
o
| o
o
|
|
o
o
| o
o
| o
o
= + = =
= =
+ = =
= =
= I
I
=

=
I
=
I
=
I
=
=
|
|
.
|

\
|
I
= =

|
|
.
|

\
|

|
|
.
|

\
|

}
} }
}
M M Y V
M Y E
t t t M
t t t M
t t M
t
dy e y
dy e y dy e y
dy e y e e E t M
y
t
y t y
y ty tY
Gamma Distribution Special Cases
Exponential Distribution o=1

Chi-Square Distribution o=v/2, |=2 (v integer)
E(Y)=v V(Y)=2v
M(t)=(1-2t)
-v/2

Distribution is widely used for statistical inference
Notation: Chi-Square with v degrees of freedom:

2
~
v
_ Y
Normal (Gaussian) Distribution
Bell-shaped distribution with tendency for individuals to
clump around the group median/mean
Used to model many biological phenomena
Many estimators have approximate normal sampling
distributions (see Central Limit Theorem)
0 , ,
2
1
) (
2
2
) (
2
1
2
> < < < < =

o
to
o

y e y f
y
Obtaining Probabilities in EXCEL:
To obtain: F(y)=P(Yy) Use Function: =NORMDIST(y,,o,1)
Normal Distribution Density Functions (pdf)
Normal Densities
0
0.005
0.01
0.015
0.02
0.025
0.03
0.035
0.04
0.045
0 20 40 60 80 100 120 140 160 180 200
y
f
(
y
)
N(100,400)
N(100,100)
N(100,900)
N(75,400)
N(125,400)
Normal Distribution Normalizing Constant
( )
( ) ( )
2 2 2
2
2
0
2
0
2
0
2
0
0
2
1
2 2
2
0 0
2
1
2
0 0
sin cos
2
1
2 1
2
1
2
2 1 2 1
2 1
2
1
2
2
1
2
2
2 2 2
) (
2
) (
2 2 2
2 )) 1 ( 0 (
) 1 sin (cos
and ) 2 , 0 [ ), , 0 ( : domains with sin , cos
: Ordinates - Co Polar to Changing
1
: variables Changing
) for solve want to (we : integral he Consider t
2
2 2 2 2 2
2
2
1
2
2
2
1
2
2
2
1
2 2
2
2
2
2
to to t
o
t u u u u
u u u u
o
u t u u u
o
o
o
o
o o

t
t t t
t t u u
o

= = =
|
.
|

\
|

= = = = =
= + = = =
|
.
|

\
|
= e e = =
= =
|
.
|

\
|

= = =
= =

=
=
} } }
} } } } } }
} } } }
} } }
}

k k
k
d d d e
rdrd e rdrd e dz dz e
k
rdrd dz dz r r z r z
dz dz e dz e dz e
k
dz e
k
dz e dy e k
dz dy
dy
dz y
z
k k dy e
r
r
r r z z
z z
z z
z z y
y
Obtaining Value of I(1/2)
( )
t t
t
t
=
|
.
|

\
|
= =
=
|
.
|

\
|
=
|
|
.
|

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|
=
|
.
|

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|
I
= =
=
|
.
|

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|
I
|
.
|

\
|
=
=
}
} }
} }
}
}

2
2
1
2 2
1
2
2 2
1
2
: Variables Changing

2
1
: Consider Now,
2
2
1
2 : get we slide, Previous From
0
2
0
2
0
2
2 1
2
2
0
2 1
0
1 2 1
0
2
2
2
2 2
2
2
dz e
zdz e
z
zdz e
z
zdz du
z
u
du e u du e u
dz e
dz e
z
z z
u u
z
z
Normal Distribution - Expectations
( )
( )
( ) | |
( )
2 2 2
2
2
2
2
2 3
2 / 3 2 3
0
2 1 2 3
0
2
0
2
1
2
1
0
2
2
2
1
0
2
2
1
2 2
2
1
2
1
2
1
2
1
) 1 ( ) ( ) ( ) (
) 0 ( ) ( ) ( ) (
then , ~ If : Note
1 1 0 1 ) ( ) (
1
2 2
2
2
2
1
2
1
2
1
2
2
3
2
1
2
1
2
1
2
2
2
2
2
1
2
2
1
2 : Variables Changing
2
1
2
2
1
0 ) 0 ( 0
2
1
2
1
2
1
) (
2
1
) ( ) 1 , 0 ( ~
2 2
2 2
2 2 2
2
o o o o
o o o
o o
o
t
t
t t t
t t t
t t
t t t
t
= = = + =
= + = + = + =
+ =
= = = =
= =
|
.
|

\
|
I
|
.
|

\
|
=
|
.
|

\
|
I = =
=
|
.
|

\
|
= = |
.
|

\
|

= = =
|
.
|

\
|
=
|
|
.
|

\
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=
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|
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.
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}
} } }
} }
} }

Z V Z V Y V
Z E Z E Y E
Z Y N Y
Z E Z E Z V
du e u
du e u zdz ze dz e z
zdz du zdz du z u
dz e z dz e z Z E
e dz e z dz e z Z E
e z f N Z
u
u
z z
z z
z z z
z
Normal Distribution - MGF
( )
( )
( )
( ) ( )
( ) ( )
| | ( )
( ) | |
( )
( )
)
`

+ =

+
=
+

|
|
.
|

\
|
+

+
=
=

+
+
|
|
.
|

\
|
+
=
=

+
+
+ +

+
+ =
=

+
+
+

+
+ =
+ + = +
)
`

+
+ =
=
)
`

+ + =
|
|
.
|

\
|
)
`

= =
}
}
}
}
}
} }

2
exp
2
2
exp ) (
, ~ : R.V. normal a of density over the g integratin is it since 1, being integral last The
) (
2
1
exp
2
1
2
2
exp
2
2 ) (
2
1
exp
2
1
2
2
2
2 ) (
2
exp
2
1
2
2
2
2
2
) (
2
exp
2
1
) (
2 ) ( : square the Completing

2
) (
2
exp
2
1
2 2
exp
2
1
2
1
exp
2
1
) (
2 2
2
2
2 2
2 2
2
2
2
2
2
2
2 2
2
2
2 2
2
2
2
2
2
2
2 2
2
2
2 2 2
2
2
2
2
2
2
2
2 2
2
2
2 2
2
2
2
2
2
2
2
2
2 2 2 2 2
2
2
2
2
2
2
2
2
2
2 2
2
2
2
2
2
o

o
o o
o o
o
o
to
o
o o
o
o o
o
o
to
o
o o
o
o o
o
o
o
to
o
o o
o
o o
o

o
o
o
to
o o o
o

o
o
o
to
o

o
to
o

to
t
t
t t
t M
t N Y
dy
t y t t
dy
t t t y
dy
t t t t t y y
dy
t t t t t y y
t M
t t t
dy
t y y
dy ty
y y
dy
y
e e E t M
ty tY
Normal(0,1) Distribution of Z
2

( )
2
1
2
2 1 2 1
2 1
0
2 1
2
1
2
1
0
2 1
2
2
0
2 1
2
0
2
2 1
2
1
2
~
) 2 1 ( ) 2 1 (
2
2
2 1
2
2
1
2
1
2
1
2
1 2
) (
2
1
and : Variables Changing
2
2
2
2
1
2
1
) (
2
2 2
2
2 2 2
2
_
t
t
t
t
t
t
t
t t
Z
t t
t
du e u du
u
e t M
du
u
dz u z z u
dz e dz e
dz e dz e e e E t M
t
u
t
u
Z
t
z
t
z
t z
z tz tZ
Z

= =
|
.
|

\
|

|
.
|

\
|
I =
= = =
= = =
= =
= = |
.
|

\
|
= =

|
.
|

\
|

|
.
|

\
|

|
.
|

\
|

|
.
|

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|

|
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|

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|

} }
} }
} }
Beta Distribution
Used to model probabilities (can be generalized to
any finite, positive range)
Parameters allow a wide range of shapes to model
empirical data

> < <

I I
+ I
=

otherwise 0
0 , , 1 0 ) 1 (
) ( ) (
) (
) (
1 1
| o
| o
| o
| o
y y y
y f
Obtaining Probabilities in EXCEL:
To obtain: F(y)=P(Yy) Use Function: =BETADIST(y,a,b)

Beta Density Functions (pdf)
Beta Density Functions
0
0.5
1
1.5
2
2.5
3
3.5
4
4.5
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
y
f
(
y
)
Beta(1,1)
Beta(2,2)
Beta(4,1)
Beta(1,3)
Beta(5,5)
Weibull Distribution
( )
( )
( ) | |
(

|
|
.
|

\
|
+ I
|
|
.
|

\
|
+ I = =
|
|
.
|

\
|
+ I = = =
(
(

(
(

)
`

|
|
.
|

\
|
=
|
|
.
|

\
|
+ I = = =
(
(

(
(

)
`

|
|
.
|

\
|
=
= = =
(
(

(
(

)
`

|
|
.
|

\
|
=
>
(
(

)
`

|
|
.
|

\
|
=
(
(

)
`

|
|
.
|

\
|
= =

> >
)
`

|
|
.
|

\
|

s
=
} } }
} } }
}

| |
o
|
o o o
o o
|
|
o o o
o o
|
o
o
|
o
o o
|
o o
|
o o
|
| o
o
|
| | | |
|
|
| | | |
|
|
|
| |
|
|
|
|
|
|
|
1
1
2
1 ) ( ) (
2
1 ) ( exp
1
1 ) ( exp ) (
) ( and : variables Changing
exp ) (
0 for exp exp
) (
) (
) 0 , ( 0 exp 1
0 0
) (
2 2 2 2
2
0
2 2
0
2
0
1 2 2
1
0
1 1
0
1
0
1
1
1
0
1
1 1
Y E Y E Y V
du e u du e u dy
y
y y Y E
du e u du e u dy
y
y y Y E
u y dy
y
du
y
u
dy
y
y y Y E
y
y
y
y
y
dy
y dF
y f
y
y
y
y F
u u
u u
Note: The EXCEL function WEIBULL(y,o
-
,|
-
) uses parameterization: o
*
=|, |
-
=o
|

Weibull Density Functions (pdf)
Weibull pdf's
0
0.2
0.4
0.6
0.8
1
1.2
0 1 2 3 4 5 6 7 8 9 10
y
f
(
y
)
W(1,1)
W(1,2)
W(2,1)
W(2,2)
Lognormal Distribution
( )
( )
( )
( )
( ) ( ) ( ) ( )
( )
( )
( ) | |
( )
2 2
2
2
2
2 2
2
2
2
2 2
*
* 2
2
* 2
2
2 2
*
*
2 *
log
2
1
2 2
) ( ) (
2
2
) 2 ( exp ) 2 (
2
1
) 1 ( exp ) 1 ( ) (
, ~ ) ln( : Note
otherwise 0
0 , , 0
2
1
) (
o o
o
o
o

o

o
o
o t
+ +
+
+
|
.
|

\
|

= =
=
|
|
.
|

\
|
+ = = = = =
=
|
|
.
|

\
|
+ = = = =
=

> < < >

=
e e Y E Y E Y V
e t M e E e E Y E
e t M e E Y E
N Y Y
y e
y
y f
Y
Y Y
Y
Y
y
Obtaining Probabilities in EXCEL:
To obtain: F(y)=P(Yy) Use Function: =LOGNORMDIST(y,,o)

Lognormal pdfs
Lognormal pdf's
0
0.2
0.4
0.6
0.8
1
1.2
0 1 2 3 4 5 6 7 8
y
f
(
y
)
LN(0,1)
LN(0,4)
LN(1,1)
LN(1,4)