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Advanced Probability Theory for Bio Medical Engineers - John D. Enderle|Views: 16|Likes: 1

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https://www.scribd.com/doc/63308348/Advanced-Probability-Theory-for-Bio-Medical-Engineers-John-D-Enderle

08/27/2011

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The Gaussian PDF is the most important probability distribution in the ﬁeld of biomedical

engineering. Plentiful applications arise in industry, research, and nature, ranging from instru-

mentationerrorstoscoresonexaminations.ThePDFisnamedinhonorofGauss(1777–1855),

who derived the equation based on an error study involving repeated measurements of the same

quantity. However, De Moivre is ﬁrst credited with describing the PDF in 1733. Applications

also abound in other areas outside of biomedical engineering since the distribution ﬁts the

observed data in many processes. Incidentally, statisticians refer to the Gaussian PDF as the

normal PDF.

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MOBK042-05 MOBK042-Enderle.cls October 30, 2006 19:51

**STANDARDPROBABILITYDISTRIBUTIONS 21
**

**Deﬁnition5.5.1.** A continuous RV zis a standardized Gaussian RV if the PDF is

fz(α)= 1

√2π

e−1

2α2

.

(5.61)

The moment generating function for a standardized Gaussian RV can be found as follows:

Mz(λ)= 1

√2π

∞

−∞

eλα−1

2α2

dα

= 1

√2π

∞

−∞

e−1

2((α−λ)2

−λ2

)

dα.

Making the change of variable β =α−λ we ﬁnd

Mz(λ)=e 1

2λ2

∞

−∞

fz(β)dβ =e 1

2λ2

,

(5.62)

for all real λ. We have made use of the fact that the function fz is a bona ﬁde PDF, as treated

in Problem 42. Using the Taylor series expansion for an exponential,

e 1

2λ2

=

∞

k=0

λ2k

2k

k! =

∞

n=0

M (n)

x (0)λn

n! ,

so that all moments of z exist and

E(z2k

)= (2k)!

2k

k!, k =0,1,2,...,

(5.63)

and

E(z2k+1

)=0, k =0,1,2,....

(5.64)

Consequently, a standardized Gaussian RV has zero mean and unit variance. Extending the

range of deﬁnition of Mz(λ) to include the ﬁnite complex plane, we ﬁnd that the characteristic

function is

φz(t)= Mz(jt)=e−1

2t2

.

(5.65)

Letting the RV x =σz+η we ﬁnd that E(x)=η and σ2

x =σ2

. For σ > 0

Fx(α)= P(σz+η≤α)= Fz((α−η)/σ),

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MOBK042-05 MOBK042-Enderle.cls October 30, 2006 19:51

**22 ADVANCEDPROBABILITYTHEORYFORBIOMEDICALENGINEERS
**

so that x has the general** Gaussian** PDF

fx(α)= 1

√2πσ2 exp

− 1

2σ2(α−η)2

.

(5.66)

Similarly, with σ > 0 and x =−σz+η we ﬁnd

Fx(α)= P(−σz+η≤α)=1−Fz((η−α)/σ),

so that fx is as above. We will have occasion to use the shorthand notation x ∼G(η,σ2

) to

denotethattheRVhasaGaussianPDFwithmeanηandvarianceσ2

.Notethatifx ∼G(η,σ2

)

then (x =σz+η)

φx(t)=e jηt

e−1

2σ2

t2

.

(5.67)

The Gaussian PDF, illustrated with η=75 and σ2

=25, as well as with η=75 and σ2

=9

in Figure 5.9, is a bell-shaped curve completely determined by its mean and variance. As can

be seen, the Gaussian PDF is symmetrical about the vertical axis through the expected value.

If, in fact, η=25, identically shaped curves could be drawn, centered now at 25 instead of

75. Additionally, the maximum value of the Gaussian PDF, (2πσ2

)−1/2

, occurs at α =η. The

PDF approaches zero asymptotically asα approaches±∞. Naturally, the larger the value of the

variance, the more spread in the distribution and the smaller the maximum value of the PDF.

For any combination of the mean and variance, the Gaussian PDF curve must be symmetrical

as previously described, and the area under the curve must equal one.

Unfortunately, a closed form expression does not exist for the Gaussian CDF, which

necessitates numerical integration. Rather than attempting to tabulate the general Gaussian

CDF, a normalization is performed to obtain a standardized Gaussian RV (with zero mean

α

xf (α)

.12

65

75

85

.08

.04

**FIGURE5.9:** Gaussian probability density function for η=75 and σ2

=9,25.

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MOBK042-05 MOBK042-Enderle.cls October 30, 2006 19:51

**STANDARDPROBABILITYDISTRIBUTIONS 23
**

and unit variance). If x ∼G(η,σ2

), the RV z=(x−η)/σ is a standardized Gaussian RV:

z∼G(0,1). This transformation is always applied when using standard tables for computing

probabilities for Gaussian RVs. The probability P(α1 < x ≤α2) can be obtained as

P(α1 < x ≤α2)= Fx(α2)−Fx(α1),

(5.68)

using the fact that

Fx(α)= Fz((α−η)/σ).

(5.69)

Note that

Fz(α)= 1

√2π

α

−∞

e−1

2τ2

dτ =1−Q(α),

(5.70)

where Q(·) is Marcum’s Q function:

Q(α)= 1

√2π

∞

α

e−1

2τ2

dτ.

(5.71)

Marcum’sQfunctionistabulatedinTablesA.8andA.9for0≤α < 4usingtheapproximation

presented in Section 5.5.1. It is easy to show that

Q(−α)=1−Q(α)= Fz(α).

(5.72)

The error and complementary error functions, deﬁned by

erf(α)= 2

π

α

0

e−t2

dt

(5.73)

and

erfc(α)= 2

π

∞

α

e−t2

dt =1−erf(α)

(5.74)

are also often used to evaluate the standard normal integral. A simple change of variable reveals

that

erfc(α)=2Q(α/

√2).

(5.75)

**Example5.5.1.** Compute Fz(−1.74), where z∼G(0,1).

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**24 ADVANCEDPROBABILITYTHEORYFORBIOMEDICALENGINEERS
**

**Solution.** To compute Fz(−1.74), we ﬁnd

Fz(−1.74)=1−Q(−1.74)= Q(1.74)=0.04093,

using (5.72) and Table A.8.

WhilethevalueaGaussianrandomvariabletakesonisanyrealnumberbetweennegative

inﬁnity and positive inﬁnity, the realistic range of values is much smaller. From Table A.9,

we note that 99.73% of the area under the curve is contained between −3.0 and 3.0. From

the transformation z=(x−η)/σ, the range of values random variable x takes on is then

approximatelyη±3σ.Thisnotiondoesnotimplythatrandomvariablex cannottakeonavalue

outside this interval, but the probability of it occurring is really very small (2Q(3)=0.0027).

**Example 5.5.2.** Suppose x is a Gaussian random variable with η=35 and σ =10. Sketch the

PDF and then ﬁnd P(37≤ x ≤51). Indicate this probability on the sketch.

**Solution.** The PDF is essentially zero outside the interval [η−3σ,η+3σ]=[5,65]. The

sketch of this PDF is shown in Figure 5.10 along with the indicated probability. With

z= x−35

10

we have

P(37≤ x ≤51)= P(0.2≤z≤1.6)= Fz(1.6)−Fz(0.2).

Hence P(37≤ x ≤51)= Q(0.2)−Q(1.6)=0.36594 from Table A.9.

xf (α)

.03

30

60

.02

.01

.04

0

α

**FIGURE5.10:** PDF for Example 5.5.2.

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MOBK042-05 MOBK042-Enderle.cls October 30, 2006 19:51

**STANDARDPROBABILITYDISTRIBUTIONS 25
**

**Example5.5.3.** A machine makes capacitors with a mean value of 25μF and a standard deviation

of6μF.AssumingthatcapacitancefollowsaGaussiandistribution,ﬁndtheprobabilitythatthevalue

of capacitance exceeds 31μF if capacitance is measured to the nearestμF.

**Solution.** Let the RV x denote the value of a capacitor. Since we are measuring to the nearest

μF, the probability that the measured value exceeds 31 μF is

P(31.5≤ x)= P(1.083≤z)= Q(1.083)=0.13941,

where z=(x−25)/6∼G(0,1). This result is determined by linear interpolation of the CDF

between equal 1.08 and 1.09.

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