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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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05/25/2012

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In many instances, the length of time between successes, known as an interarrival time, of a
Poisson random variable is more important than the actual number of successes. For example,
in evaluating the reliability of a medical device, the time to failure is far more signiﬁcant to the
biomedical engineer than the fact that the device failed. Indeed, the subject of reliability theory
is so important that entire textbooks are devoted to the topic. Here, however, we will brieﬂy
examine the subject of interarrival times from the basis of the Poisson PMF.
Let RV tr denote the length of the time interval from zero to the rth success. Then

p(τ −h < tr ≤τ)= p(r −1,τ −h)p(1,h)
= p(r −1,τ −h)λh +o(h)

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

STANDARDPROBABILITYDISTRIBUTIONS 19

so that

Ftr(τ)−Ftr(τ −h)

h

=λp(r −1,τ −h)+ o(h)

h .

Taking the limit as h →0 we ﬁnd that the PDF for the rth order interarrival time, that is, the
time interval from any starting point to the rth success after it, is

ftr(τ)= λr

τr−1

e−λτ
(r −1)! u(τ), r =1,2,....

(5.54)

This PDF is known as the Erlang PDF. Clearly, with r =1, we have the exponential PDF:

ft(τ)=λe−λτ

u(τ).

(5.55)

The RV t is called the ﬁrst-order interarrival time.
The Erlang PDF is a special case of the gamma PDF:

fx(α)= λr

αr−1

e−λα

(r) u(α),

(5.56)

for any real r > 0, λ > 0, where is the gamma function

(r)=

0

αr−1

e−α

dα.

(5.57)

Straightforwardintegrationrevealsthat (1)=1and (r +1)=r (r)sothatifr isapositive
integer then (r)=(r −1)!—for this reason the gamma function is often called the factorial
function. Using the above deﬁnition for (r), it is easily shown that the moment generating
function for a gamma-distributed RV is

Mx(η)=

λ
λ−η

r

, for η < λ.

(5.58)

The characteristic function is thus

φx(t)=

λ
λ− jt

r

.

(5.59)

It follows that the mean and variance are

ηx = r
λ

, and σ2

x = r

λ2.

(5.60)

Figure 5.8 illustrates the PDF and magnitude of the characteristic function for a RV with
gamma distribution with r =3 and λ=0.2.

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

0

20

40

xf (α)

.06

.03

(a)

1

x (t )

t

0

1

2

(b)

φ

α

FIGURE5.8: (a) PDF and (b) magnitude characteristic function for gamma distributed RV withr =3
and parameter λ=0.2.

Drill Problem 5.4.1. On the average, Professor S. Rensselaer makes ﬁve blunders per lecture.
Determine the probability that she makes (a) less than six blunders in the next lecture: (b) exactly ﬁve
blunders in the next lecture: (c) from three to seven blunders in the next lecture: (d) zero blunders in
the next lecture.

Drill Problem 5.4.2. A process yields 0.001% defective items. If one million items are produced,
determine the probability that the number of defective items exceeds twelve.