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You are on page 1of 20

1-20

f(x)

= (x2 x1)/(b a)

a

x2

x1

a+b

E(X) =

2

2-20

(b - a) 2

Var(X)

2

Example

What is the probability of an outcome being between 15 and 25 for a random

variable that follows a continuous uniform distribution over the range of 12 to

28?

A. 0.509.

B. 0.625.

C. 1.000.

D. 1.600.

AnswerB

3-20

25 15

P 15 X 25

0.625

28 12

P(Y=1)=p P(Y=0)=1-p

Binomial random variable

the probability of x successes in n trails

Expectations and variances

4-20

Expectation

Variance

p(1-p)

np

np(1-p)

A recent study indicated that 60% of all businesses have a fax machine.

Assuming a binomial probability distribution, what is the probability that exactly

four businesses will have a fax machine in a random selection of six businesses?

A. 0.138.

B. 0.276.

C. 0.311.

D. 0.324.

AnswerC

4

6

5-20

Poisson Distribution

Poisson random variable X refers to the number of successes per unit, the

parameter lambda () refers to the average or expected number of successes per

unit.

x e-

P(X = x) =

x!

An interesting feature of the Poisson distribution is that both its mean and

variance are equal to the parameter,

6-20

Answer: D

=3 2=6

x e- 65 e6

P(X = 5) =

16.06%

x!

5!

7-20

Normal Distribution

The shape of the density function

The normal curve is symmetrical

The two halves are identical

Theoretically, the

curve extends to -

Properties:

Theoretically, the

curve extends to +

equal.

X ~ N(, )

Symmetrical distribution: skewness=0; kurtosis=3

A linear combination of normally distributed random variables is also

normally distributed.

8-20

X ~ N( , )

-2.58

-1.65

-1.96

+1.65 +2.58

+1.96

90%

95%

99%

9-20

10-20

N(0,1) or Z

Standardization: if X~N (, ),

then Z X ~ N(0,1)

Z-table

Example:

X ~ N (709) , compute the probability of X 75.9

3

11-20

Z-Table

12-20

Answer: A

13-20

Lognormal Distribution

Right skewed

Bounded from below by zero

Lognormal distribution is used to model asset prices

14-20

10

15-20

and a variance , the sampling distribution of the sample mean

30).

X N ( ,

16-20

t-distribution

Symmetrical

Degrees of freedom (df): n-1

Less peaked than a normal distribution (fatter tails)

As the degrees of freedom gets larger, the shape of t-distribution

approaches standard normal distribution

X-u

~ t(n-1)

s

17-20

Chi-Square Distribution

The chi-square test statistic, , with n-1 degrees of freedom, is computed as:

2

n21

(n 1) s 2

02

df=30

18-20

F-Distribution

The test statistic for the F-test is the ratio of the sample variances

s12

F= 2 ~ F(n1 -1),

s2

(n 2 -1)

19-20

FRM

20-20

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