“University of California, Los Angeles Department of Statisties Statistics 100A. i’! Continuous probability distributions # Let X be a continuous random variable, -00 < X < oo © f(z) is the so called probability density function (pdf) if Area under the ff is equal to 1 # How do we compute probabilities? Let X be a continuous r.v. with pdf f(z). Then P(X >a)= [° f(x)dx P(X a) ‘This is NOT true for discrete rv.© Cumulative distribution function (cdf) Fle) = P(X 2) = |", f@de Therefore fi) = F(a)’ + Compute probabilities using edf: Pla< X 10, a. Find P(X > 20). b, Find the edf, c. Use the cdf to compute P(X > 20). 4. Find the 75, percentile of the distribution of X e. Compute the probability that among 6 such electronic com- ponents, at least two will survive more than 15 months. @® PK>2) = 3g de = ae Vote: X220%s ee @ FO: Ve a eh sto jxete © P(k> 20) = cus \-C- Bh= Seer @ b,- P(X FS F(b) = 0.755 feat ° a N26 KE2_Binemied U Plies PLAT] oF = of82I6 sot {ea A Ze es© Mean of a continuous r.v. B= B(X) = [af (ode © Mean of a function of a continuous rv. Blg(X)] = [2 9(@)F(e)de e Variance of continuous rv of = B(X - w= [Sa — WF ode Or a = [2° f(e)de — (EX) Some properties: Let a,b coustants and X,Y rv. E(X +a) =a+E(X) E(X +Y) = E(X) + E(Y) var(X +a) = var(X) var(aX +) = a’var(X) ItX,¥ are independent Uhen var(X +¥) = var(X) + var(¥) since Cov cay) ae Gecanse, KAN ONE zn depende Kee Covorian ct ~ Site gor aletails),Example: Let X be a continuous rv. with f(z) = ax + be®, and0<2<1 a. If E(X) = 06 find a,b. b. Find var(X). A@ We Www \oes ee - = ake wi ale laa, as alse E0Q 206 = § * oa a \ : ob = ak . se abe aa) 2 DS ZA+* 2b = & CMulvglying -O by 6) Ha + 2b = F2 CMalviqlyng -Oby \2) -qa — $b = -'8 caseb = VK _ saa ea ea ee & ede le all So, Sexy = BEXE DHX oe K <1 : © Ble. LHI des HEE ee | E00) < 36 - BA DBO oma : Vevey = EO2) a At Ver = oka - 6)* Uniform probability distribution: A continuous r.v. X follows the uniform probability distribution, on the interval a, b if its pdf function ie given by >» asrsb a — Find cdf of the uniform distribution. — Find the mean of the uniform distribution, — Find the variance of the uniform distribution. * ron eo. e(K ex) Vea” - 8 : aatsb \ | > 600+ \*eah E24 bea (ears) On A= = Dow tha 2 Var (X> = E(C)- ra V xi qbodk = xt 4 -a = ORLY _ (be Cet sab aS £6). BEB ay 7O-8 Var (X) 2 BON Eutf = Cetera _ Gosh Vai(t\ = telnet _ Vax 2 Cb-ay an¢ The gamma distribution ‘The gamma distribution is useful in modeling skewed distribu- tions for variables that are not negative. A random variable X is said to have a gamma distribution with ‘parameters a, 8 if its probability density function is given by a lea fm a= =, a f>der0. 9 PLOS= (x sera) S E(X) = aff ard 0? = af. A brief note on the gamma function: The quantity P(a) is known as the gamma function and it is equal to: To) = [at tetdr, 9 22 9 Ws case a=1,[(1)= sede =1. > Se Ede oI Se PY at With integration by parts we get '(a + 1) = aT'(a) as follows: Pati) = fPate-tde = oo ot Let, v= 2% > # = a au se use Therefcre, Pa+ij= [7 2erar eteip [C-etartdena fete Or, Plat 1) =a (a)Similarly, using integration by parts it can be shown that, (a+ 1)P(a +1) = (a+ 1)aP(a), and, (a +2\(a + Iara) Therefore, using this result, when a is an integer we get (a) = (a-1). Example: T(6) =P(4+ 1) =4 x M4) =4 x 13+ 1) =4x 3x18) = 4x3xP(2+1) = 4x3x2xP(141) = 4x3x2x x1 xP(1) = 4! Useful result: 1 T(3) = vm ‘The gamma density for a = 1,2,3,4 and 6 = 1. ‘Gamma distrbution density 10 ob is a Shope B Seale pavardt a fe Fa-38-1) 00Gamma Sistibution: Gamma lB] Geos *¥ et ee Tee oo . We Yow hat ve e ee fot Es Je seas « see atae Catan (ree EM- Tae 1” eas a | Ped oe | ctoe fer Tea” SO, | Coe nantes > Tae Peon e EM = ade Var = EOP) - (Eo LB — «7B Br & BY «* B* ae Yar (X) i]* Exponential probability distribution: Useful for modeling the lifetime of electronic components. # A continuous rv. X follows the exponential probability distri- bution with parameter A > 0 if its pdf function is given by (a) =o, 2 >0 Note: a the pdf of the gamma distribution, if we set a = 1 and 6 = 1 we get f(x) = de. We see that the exponential distribution is a special case of the gamma distribution. Exe (A) = — Find odf of the exponential distribution. Gamma] Find the mean of the exponential distribution. — Find the variance of the exponential distribution. — Find the median of the exponential distribution. = Find the py, percentile ofthe exponential distribution. yx FOS =P 2 Fa ee 2-2] Foe 1-2 2 ave 5 £02 KB PEMWsb te Yar OO 2 R= Var O21 GY = b dia _> Median =®, > O85 2 FCs n\ _ yee) os z= \e- CF @ Fe \oq (gS 2 -Amedion = fog 2 = median nr Alo —s O™ Cercenbledees F(L)= \- &*°= @ Jay < *Ab—yb= —fog(\~ 6) yes fog GE a¢ Example: Let X be an exponential random variable with \ = 0.2. a. Find the meanof X. =§ 25 S442 5 b. Find the median of X. 9 032 5 meolian = 54og2 of Jags . Find the variance of X. yg. hy = 25 d. Find the 80, percentile of this distribution (or find ¢ such that P(X < c) = 0.80). R= oe ce - fg lineen O22 cw ~A3lety 346d an C- B foals) = Si oKF‘© Memoryless property of the exporential distribution. Suppose the lifetime of an electronic component follows the expo- nential distribution with parameter A. The memoryless property: states that P(X > 8+4|X>t)=P(X>s), 8>0,t>0 Se Whe Ceobelbilhy after a Kime €45 Ve the same as the evobability of A>S avn KOE Brample: Suppose the number of miles a car ean run before ite battery wears out fllows the: ‘exponential distribution with mean j= 10000 miles. Ifthe owner ofthe car takes '5000-mile trip what isthe probability that he will be able to complete the trip without. avng to replace the batty ofthe ea? Xe my 2 0.0001 > If the number of miles follow some other distribution with known cumulative distibu- tion funtion (cdf) give an expression of the probability of complet the tp without i ay a i ECF) = neon (5000 2\ = ae oe 34 64 Repab\er y of nek replacing the Walhery is \- FG = 060653 —> The ee palitey, of vy any AWERK, y-FO fogs s tym Phowy 3 nob veplacina che \eathery’smy The SD iste bation Fanction of A RVG Syoy- aye LO) EXO Xw Bm (ae), Y= Ke Gnd oh -e Soo = a ha1 2 GO E a Rod e(¥es) 2 PK <9) ae(%<) Ae - one Sy - prev. \ ede = ~-E \ 2 7e7! FO = 1-8 Wo -9e are oy Oe EN + SCP) we ral ae = % 1G re L>e? aye ance Ya(Xvv MO, Ny iv é Exo: SO < ae on N= e = x au Gods Fels id= P(Ves) = Plee4) Si & = \ Oe (9-5 3 # , - | \ KIO = ae : “aga - 3m CS Which is she @.A.g of Leg -Wormal To, (7 ey Soe 2EK@: Sods 20-¥X) , ocrey eee vel Y Se, G (9) 2 eleBiel EX®: Sie Bx oe i. 2 Y= xt — = at Bee 2 ee al ae NSE i 1 => aka e \ a 2a Soo= )ael+ Gr) alge) 7 2 CY Sen NY * a . "a Y)«2 melthd ira vee = 3G 7 % 8 S<| a aur zy italy oe“Lhe distribution of a function of a random varlables| ‘Suppose we know the pat of a random variable X. Many umes we want to find she prubae bility density function (pdf) of a funetion ofthe random varishle X. Suppase Y= X°. ‘We begin with the cumulative distribution function of ¥: Fey) = PY < y) = P(X" £9) = P(X Sv). So far wo have F(a) = Fx(v4) ‘To find the paf of ¥ we simply differentiate both sides wrt toy Sry) = 298 x faut) where, fx(-) 6 the paf of X which is given. Here are some more examples, Example 1 Suppose X follows the exponential distribution with A= 1. IFY = WX find the pdf of Y. Example 2 Tat X'~ (0,1) TEV = eX find the pf of ¥. Note: ¥ it is sald to have a log-normal distribution, Example 8 Let X be a continuous random variable with pdf f(z) = 2(1~z),0<#<1. FY =2X-1 Sau the pal ot ¥. Example 4 Let X bes continuous random variable with pdf f(z) = $2%,-1 <2 <1. KY = X? find the pal of ¥, Tn ygeneral Sy (4) 7 (45 | * S$, (V9) L “u) or Ka) Kas 2 Sun ction, ge n‘Continuous random variables - Some examples (Some re rom: Sheldon Ros (292), A frst Course im Probab, Sath Eatin, Prentice Hall) Suppose, the litine ofa cersin type of electronic devs (hours) 6» continous random valle sith probability denaty function f(2) = fers > 10 and f(a) = Ofer» < 10 Find POX > 20), >, Find the eumultivedstbution fanetion (ci) Find the 75, percentile of this distbuton 44 What isthe probaity that among 6 such type of devices at last 8 wil fnetion for a lest 18, Seppowe a bus mays arrives at particule stop between 800 AM and 6:10 AM. ind the probbilty that the bur wil ave tmarsow betwen 00 AMC and 82 AML Example 3 ‘Find the probability that he is lser to A than to B. bind the probably that his distance to Ais more thant mes his distance to. Example 4 ‘Suppose the length of phooe cll in minutes follows the exponential dstelbution with parametss A = 0.1. oomeove tives imeinily send of you st spe tlephone boot, Sn the pabably that you Wl have to mit ‘more than 10 minstes 'betwsen 10 and 20 minutes Example 5 [Lae X be a expooetil random variable with = 02, ‘od he maa of X. bind the median of X. Pind the wsiance of X: 4. Pad the, pace ofthis dtibution (oe Sd euch that PLX < c) Example 6 ‘The random vaiale X has probebiity density faction arth! gcect nen sin WC) = 06 ind a Ped. ». Varix) 2Example 7 For aome constant c the random varisble X bus probability density Fanetion et ocre1 nein a Sie 2 BUX) », Varo), Bxample 8 “To beawioe in the Sowing gue, you sot be aucun three syceiverouncs. The game depends nthe vale of X, a uniform sundown variable of (0,1) It X'> Ol, then you re soctfl lo round 1H 5X > 03, then you ae suceful n round 2 FX'> 0, thea you are succes! in oun 3. 1 Find the probability that you ae sucasfl in ound 1. 'b, Find the contin) probability that you are scot in round 2 glvea that you were sucsfal in Find the conditional probability that you ar ssc in round 3 given that you were soci rund 2 4. Find the probability that you are a winner. Example 0 "Thee are two types of bates in a bin. The Metin of type battery tan exponntil random masiable ‘wih parameter hy t= 1,2. Te probably that ape battery i ehven othe in ey Ha randomly “how batiary el operating after hows of we, what he probaly wil ll be operating fer ‘st additonal s hours? Example 10 ‘You ber S10n spect mumber um rouse tl A sous wa a 98 ht, uuubeco 0, 00, a1 ‘through 36. Approximate the probability tat ‘Tn 1000 bets you win more than 28 ts. bt 10000 bets you win ore than 270 sine BBrame t Bee apart ae 1b, The cumulative dntebutionfuncton (ca) defined os F(a) = P(X <2), roerce [8 We want to Sa a ylue of X (alt p) such tht P(X 2) = fBotertee = 4Pxample 8 ae X be an exponetia andom variable wth = 02. waede bs, Latm be the maian. We want P(X Sm) = 080. Therefore 1x ei = 080 » (Or fate way, to we thee anton Fo) = 1 8% 2 08) 4 p= LR = $08, The 80m percentile i 85, which means PUK £805) = 080, Bxample 6 int we st fn the constants, and b Since f(z) i pl we know that J flzyde = 1. Therefore Reecriheen tao og] 1-2 042=6 0h ie abo low tht BUX) = feaflels ad tat BUX) = 06, Tice ff tae + Pe = 08 = [oS +e =06-> da sb=7.2 (2). Now ling (2) and (2) fr an wo get = 36 and b= 24 See dan Oca 8 PU < B= f(sbe — 240% ide = (3.6% - 249) fatale p= ff 062 ~24s%ye~ (06) = 64-248 (06) > 0? = 008 =o, it ne ist Sd the constant. ffertds = 1 of B secre a BUX) = (fatatas = 0 8 + BUN) =f vere 15 ~ (9)? Vari) = O08. Example 8 ‘The ta uniform dtibution problem with f(e) =1,0.<2 <1 4 P(X > 01) = fj, de = aif, = 09. Pers ox/x >03) = AER > 09/0 > 01x > 02) = FEB = BE =E 4. The podaty that you ra want probaly hat you a wner nod en wet rch ad wpe nfond 3 Th pal Toke rodeo te} probe ind apts be ein) = BE = ‘The pats $0) 15Example 9 We nank PUX > 2 ff 8). Tha egal eo PUL>eeinx ay POS (Xo etme Pa stn PUES tn, + POX ts PUR ca) a1 ee PUK > ate POD 04) POSH Using the exponential ef we Bade POX > 2) = POS ob > = a Example 10 Tet X be the umber of ines you win among then times you play this game, Then X ~ e 3) ‘8 We want P(X: 8). We wll appronimate this probablity using the nema ditibution. We ned land 0. Thee are equl to: n= 1000 the dred probability se ue the continu eoreto): D(X S38) = Pe > BB) PZ > 043) =~ 0.6866 26, 28, and 0? = 0009, (1~ f) = 2562 a = 3.0. Now by, We want P(X > 290), Ain we will approximate tls probability sing the nora dstibution, We ted and 9, These are egal tn " LOL, Now the deed psoas (e use the contin correction) PUD Ba) = Pz > Mee) = M5 Ls) kU = UL 16 280.16, ond 2 = 100003.) = 258.2 oo =