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Advanced Probability Theory for Bio Medical Engineers - John D. Enderle

Advanced Probability Theory for Bio Medical Engineers - John D. Enderle

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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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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

= 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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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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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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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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