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Mean, Variance and Percentiles

Some Common Distributions

Lesson 4

Chapter 3: Random Variables and

Their Distributions

Michael Akritas

Department of Statistics

The Pennsylvania State University

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

1

PMF, CDF and PDF

2

Mean, Variance and Percentiles

3

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

Chapter Overview

The pmf describes the probability distribution of a discrete

X. This chapter introduces the cumulative distribution

function (cdf), and the probability density function (pdf).

Introduces more general notions of mean value, variance

and percentiles.

Introduces the most common probability models, for both

discrete and continuous random variables, and their use

for computing probabilities.

Read Section 3.2.1 for review.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The cumulative distribution function

The cumulative distribution function, or cdf, of a (discrete or

continuous) X is denoted by F or F

X

and is dened by

F

X

(x) = P([X x]).

Example

The pmf and cdf of a random variable X are shown below.

Solution:

x 0 1 2 3

F

X

(x) 0.4 0.7 0.9 1

p

X

(x) 0.4 0.3 0.2 0.1

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

0 1 2 3 4 5 6

0.0

0.2

0.4

0.6

0.8

1.0

Figure: The CDF of a Discrete Distribution is a Step or Jump Function

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

CDFs have the following properties:

1

If X is discrete, F

X

(x) is a jump function.

1

The jump points are the points in S

X

.

2

P(X = x) equals the size of the jump at x. Formally, this is

written as

p

X

(k) = F

X

(k) F

X

(k 1).

3

F

X

(x) =

kx

p

X

(k).

2

P(a < X b) = F

X

(b) F

X

(a).

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Probability Density Function

Continuous random variable cannot have a pmf because

P(X = x) = 0, for any value x. (Why?!!)

Denition

The probability density function, or pdf, f

X

, of a continuous

random variable X is a nonnegative function with the property

that P(a < X < b) equals the area under it and above the

interval (a, b).

Thus,

P(a < X < b) =

_

area under f

X

between a and b.

=

_

b

a

f

X

(x)dx.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Probability Density Function

Continuous random variable cannot have a pmf because

P(X = x) = 0, for any value x. (Why?!!)

Denition

The probability density function, or pdf, f

X

, of a continuous

random variable X is a nonnegative function with the property

that P(a < X < b) equals the area under it and above the

interval (a, b).

Thus,

P(a < X < b) =

_

area under f

X

between a and b.

=

_

b

a

f

X

(x)dx.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

f

(

x

)

-3 -2 -1 0 1 2 3

0

.

0

0

.

1

0

.

2

0

.

3

0

.

4

P(1.0 < X < 2.0)

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

Common Shapes of PDFs

symmetric bimodal

positively skewed negatively skewed

A positively skewed distribution is also called skewed to the

right, and a negatively skewed is also called skewed to the

left.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Uniform Random Variable

Consider selecting a number at random from the interval

[0, 1] in such a way that any two subintervals of [0, 1] of

equal length are equally likely to contain the selected

number.

For example, the subintervals [0.3, 0.4] and [0.6, 0.7] are

equally likely to contain the selected number.

If X denotes the outcome of such a selection, then X is

said to have the uniform in [0, 1] distribution; this is

denoted by X U(0, 1).

Since we know the probability with which X takes value in

any interval, we know its distribution.

What pdf describes it?

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Uniform PDF

If X U(0, 1), its pdf is:

0.0 0.2 0.4 0.6 0.8 1.0

0

.

0

0

.

2

0

.

4

0

.

6

0

.

8

1

.

0

P(0.2 < X < 0.6)

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Uniform cdf

If X U(0, 1), its cdf is (why?):

0.0 0.2 0.4 0.6 0.8 1.0

0

.

0

0

.

2

0

.

4

0

.

6

0

.

8

1

.

0

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

Proposition

If X has pdf f

X

(x) and cdf F

X

(x), then

1

F

X

(x) =

_

x

f

X

(y)dy, and

2

f

X

(x) =

d

dy

F

X

(y)|

y=x

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

Example

(a) If the life time T, measured in hours, of a randomly selected

electrical component has pdf f

T

(t ) = 0, for t < 0, and

f

T

(t ) = 0.001 exp(0.001t ), for t 0, nd the probability the

component will last between 900 and 1200 hours of operation.

(b) Let

T be the life time, measured in minutes, of the randomly

selected electrical component. Find the pdf of

T.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

Read Examples 3.2.5, 3.2.8, 3.2.9.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Mean for Discrete Random Variables

Denition

The expected value, E(X) or

X

, of a discrete random variable

X, having a possibly innite sample space S

X

, with pmf

p(x) = P(X = x), for x S

X

, is dened as

X

=

x in S

X

xp(x).

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

This denition coincides with that given in Chapter 1 if X is

obtained from simple random sampling from a nite

population.

Example

Let X be the number of heads in two ips of a coin. Find

X

with both denitions.

See also Example 3.3.1.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

Example

Select a product item from the production line and let X take

the value 1 or 0 as the product item is defective or not. Let p be

the proportion of defective items in the conceptual population of

this experiment. Find

X

.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

Example

Inspect items, as they come off the production line, until the rst

defective item is found. Let X = number of items inspected,

and p be the proportion of defective items. Find

X

.

Solution: p(x) = P(X = x) = (1 p)

x1

p, for

x S

X

= {1, 2, 3, . . .}. According to the denition,

E(X) =

x in S

X

xp(x) =

x=1

x(1 p)

x1

p =

1

p

.

See Example 3.3.3 for the derivation of the above series.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Mean for Continuous Random Variables

Denition

If X has pdf f (x), its expected value is dened by

X

=

_

xf (x)dx.

Example

(a) If X U(0, 1), show that

X

= 0.5.

(b) If the pdf of X is f (x) = 2x, for 0 < x < 1, and zero

otherwise, nd E(X).

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

Mean Value of a function h(X) of X

Proposition

1

If X is discrete with sample space S

X

,

E(h(X)) =

x in S

X

h(x)p

X

(x)

2

If X is continuous,

E(h(X)) =

_

h(x)f (x)dx.

3

If the function h(x) is linear, i.e., h(x) = ax + b, then

E(aX + b) = aE(X) + b.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

Example

A bookstore purchases 3 copies of a book at $6.00 each, and

sells them for $12.00 each. Unsold copies are returned for

$2.00 each. Let X = {number of copies sold}, and Y = {net

revenue}. If the pmf of X is

x 0 1 2 3

p

X

(x) 0.1 0.2 0.2 0.5

nd the expected value of Y.

Solution. Here Y = h(X) = 12X + 2(3 X) 18 = 10X 12.

By part 3 of the above proposition, E(Y) = 10E(X) 12. But

E(X) =

x

xp

X

(x) = 2.1. Thus, E(Y) = 10(2.1) 12 = 9.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

Example

1

You are given a choice between accepting 3.5

2

= 12.25$

or roll a die and win X

2

. What will you choose and why?

_

1+2+ +n =

n(n+1)

2

, 1

2

+2

2

+ +n

2

=

n(n+1)(2n+1)

6

_

2

If X U(0, 1), nd E(X

2

).

3

Let Y U(A, B), i.e., Y has the uniform in (A, B]

distribution. Show that E(Y) = (B + A)/2.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

Variance and Standard Deviation

2

X

= E

_

(X

X

)

2

_

General denition

of the variance of X.

2

X

= E(X

2

) [E(X)]

2

Short-cut formula

for the variance X

X

=

_

2

X

.

Denition of

standard deviation

Var(a + bX) = b

2

2

X

Variance of a

linear transformation

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

Example

(a) Select a product from the production line and let X take the

value 1 or 0 as the product is defective or not. If p is the

probability that the selected item is defective, nd Var(X) in

terms of p.

(b) Roll a die and let X denote the outcome. Find Var(X).

(c) If X U(0,1). Find Var(X).

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

Percentiles

Denition

Let F be the cdf of the continuous r.v. X. The 100(1-)th

percentile (or quantile) of X is the number, x

F(x

) = P(X x

) = 1 .

x

0.5

is the median and is also denoted by q

2

.

x

0.75

is also called the lower quartile, and denoted by q

1

.

x

0.25

is also called the upper quartile, and denoted by q

3

.

For any given , x

F(x

) = 1 , for x

.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

Example

Let the cdf F(x) of the r.v. X be such that F(x) = 0 for x 0,

F(x) =

x

2

4

, for x between 0 and 2, and F(x) = 1 for x > 2 .

Find the three quartiles (the 25th, 50th, and 75th percentiles).

Solution: Solving F(x

) = 1 , for x

we nd

x

2

/4 = 1 , or x

= 2

1 .

Using = 0.75, 0.5, and 0.25, we obtain

q

1

= 2

0.25 = 1, q

2

= 2

0.5 = 1.41, q

3

= 2

0.75 = 1.73.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

Example

If X U(A, B), nd the median

X

.

Solution: The cdf of X is

F(x) = (x A)/(B A), for A x B,

for x A, F(x) = 0, and for x B, F(x) = 1.

To nd

X

we need to solve the equation

F(

X

) = 0.5

The solution to it is

X

= A + 0.5 (B A).

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

Denition

The interquartile range, abbreviated by IQR, is the distance

between the 25th and 75th percentile. Thus,

IQR = q

3

q

1

.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

1

PMF, CDF and PDF

2

Mean, Variance and Percentiles

3

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

A r.v. X is called Bernoulli if it takes only two values.

The two values are referred to as success (S) and failure

(F), or are re-coded as 1 and 0. Thus, always, S

X

= {0, 1}.

If P(X = 1) = p, we write X Bernoulli(p) to indicate that

X is Bernoulli with probability of success p.

The pmf and cdf of X are:

x 0 1

p(x) 1 p p

F(x) 1 p 1

The expected value of X is, E(X) = p

The variance of X is,

2

X

= p(1 p).

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

If X

1

, X

2

, . . . , X

n

are independent Bernoulli(p) RVs then

Y =

n

i =1

X

i

= the total number of 1s,

is a Binomial RV. We write Y Bin(n, p).

The pmf of Y is (R command: dbinom(x,n,p)):

P(Y = k) =

_

n

k

_

p

k

(1 p)

nk

, k S

Y

= {0, 1, . . . , n}

The cdf of Y in R: pbinom(x,n,p).

The expected value of Y is E(Y) = np

The variance of Y is

2

Y

= np(1 p)

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

0 5 10 15 20

0

.

0

0

0

.

0

5

0

.

1

0

0

.

1

5

0

.

2

0

0

.

2

5

0

.

3

0

Bin(20,p)

P

(

X

=

k

)

p = 0.3

p = 0.5

p = 0.7

Figure: Some Binomial PMFs.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

The Binomial CDF Tables

Example

Suppose 70% of all purchases in a certain store are made with

credit card. Let X denote the number of credit card uses in the

next 10 purchases. Find a)

X

and

2

X

, and b) P(5 X 8).

Solution. It seems reasonable to assume that X Bin(10, 0.7).

a) E(X) = np = 10(0.7) = 7,

2

X

= 10(0.7)(0.3) = 2.1.

b) Using Table A.1, we have

P(5 X 8) = P(4 < X 8) = F(8) F(4)

= 0.851 0.047 = 0.804.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

Example

A company sells screws in packages of 10 and offers a

money-back guarantee if two or more of the screws are

defective. If a screws is defective with probability 0.01,

independently of other screws, what proportion of the packages

sold will the company replace?

Solution: 1 P(X = 0) P(X = 1)

= 0.004

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

Example

In order for the defendant to be convicted in a jury trial, at least

eight of the twelve jurors must enter a guilty vote. Assume each

juror makes the correct decision with probability 0.7

independently of other jurors. If 40% of the defendants in such

jury trials are innocent, what is the proportion of correct

verdicts?

Solution: We want P(B) for B = {jury renders correct verdict}.

If A = {defendant is innocent} then,

P(B) = P(B|A)P(A) + P(B|A

c

)P(A

c

) = P(B|A)0.4 + P(B|A

c

)0.6.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

Solution Continued: Next, let X denote the number of jurors

who reach the correct verdict in a particular trial. Thus,

X Bin(12, 0.7), and

P(B|A) = P(X 5) = 1

4

k=0

_

12

k

_

0.7

k

0.3

12k

= 0.9905,

P(B|A

c

) = P(X 8) =

12

k=8

_

12

k

_

0.7

k

0.3

12k

= 0.724.

It follows that,

P(B) = P(B|A)0.4 + P(B|A

c

)0.6 = 0.8306.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

1

PMF, CDF and PDF

2

Mean, Variance and Percentiles

3

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

The hypergeometric distribution arises when a simple random

sample of size n is taken from a nite population of N units of

which M are labeled 1 and the rest are labeled 0.

The number X of units labeled 1 in the sample is a

hypergeometric random variable with parameters n, M and N.

This is denoted by X Hypergeo(n, N, M)

If X Hypergeo(n, N, M), its pmf is

P(X = x) =

_

M

x

__

NM

nx

_

_

N

n

_ . (In R: dhyper(x, M, N-M, n))

Note that P(X = x) = 0 if x > M, or if n x > N M.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

0 2 4 6 8 10

0

.

0

0

.

1

0

.

2

0

.

3

0

.

4

Hypergeometric(M

1

, 60 ! M

1

, 10)

P

(

X

=

k

)

M

1

= 15

M

1

= 30

M

1

= 45

Figure: Some Hypergeometric PMFs.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

If X Hypergeo(n, N, M) then,

Its expected value is:

X

= n

M

N

Its variance is:

2

X

= n

M

N

_

1

M

N

_

N n

N 1

N n

N 1

is called nite population correction factor

Binomial Approximation to Hypergeometric

Probabilities

If n/N 0.05, or 0.1, then

P(X = x) P(Y = x), where Y Bin(n, p = M/N).

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

Example (Illustration of the binomial approximation)

We will contrast P(X = 2) for X Hypergeo(n = 10, N, M),

when M/N = 0.25, with its binomial approximation

P(Y = 2) = 0.282 for Y Bin(n = 10, p = 0.25).

1

If N = 20 and M = 5, then (R command:

, dhyper(2,5,15,10))

P(X = 2) =

_

5

2

__

15

8

_

_

20

10

_ = 0.348.

2

If N = 100 and M = 25, then

P(X = 2) =

_

25

2

__

75

8

_

_

100

10

_ = 0.292,

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

Example

12 refrigerators have been returned due to a high-pitched

noise. 4 have a defective compressor and the rest less serious

problems. 6 are selected at random for problem identication.

Let X = # found with defective compressor. Give the sample

space of X, and nd P(X = 3) as well as E(X) and Var(X).

Solution. Here N = 12, n = 6, M = 4. Thus, the possible

values of X are S

X

= {0, 1, 2, 3, 4}.

P(X = 3) =

_

4

3

__

8

3

_

_

12

6

_ = 0.2424.

E(X) = 6

4

12

= 2, Var(X) = 6

_

1

3

__

2

3

_

12 6

12 1

=

8

11

.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

Applications of the Hypergeometric Distribution

Example (Quality Control)

A company buys electrical components in batches of size 10.

From each batch, 3 components are checked at random and if

all 3 are nondefective the batch is accepted. If 30% of the

batches have 4 defective components and 70% have only 1,

what proportion of batches does the company accept?

Solution: Let A be the event a batch is accepted.

P(A) = P(A|4 defectives)0.3 + P(A|1 defective)0.7

=

_

4

0

__

6

3

_

_

10

3

_ 0.3 +

_

1

0

__

9

3

_

_

10

3

_ 0.7 = 0.54.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

Example (The Capture/Recapture Method)

This method is used to estimate the size N of a wildlife

population. Suppose that 10 animals are captured, tagged and

released. On a later occasion, 20 animals are captured. Let X

be the number of recaptured animals. If all

_

N

20

_

possible groups

are equally likely, X is more likely to take small values if N is

large. The precise form of the hypergeometric pmf can be used

to estimate N from the value that X takes.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

1

PMF, CDF and PDF

2

Mean, Variance and Percentiles

3

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

In the negative binomial experiment, a Bernoulli

experiment is repeated independently until the r th 1 is

observed.

For example, products are inspected, as they come off the

assembly line, until the r th defective is found.

The number, X, of Bernoulli trials until the r th 1 is

observed is the negative binomial r.v.

If p is the probability of 1 in a Bernoulli trial, we write

X NBin(r , p)

If r = 1, X is called the geometric r.v.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

If X NBin(r , p), then

Its pmf is (R command: dnbinom(x-r, r, p))

P(X = x) =

_

x 1

r 1

_

p

r

(1 p)

xr

, x = r , r + 1, . . .

Its cdf in R: pnbinom(x-r, r, p)

Its expected value is:

E(X) =

r

p

Its variance is:

2

X

=

r (1 p)

p

2

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

Figure: Some Negative Binomial PMFs.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

Example

Two athletic teams, A and B, play a best-of-three series of

games. Suppose team A is the stronger team and will win any

game with probability 0.6, independently from other games.

Find the probability that the stronger team will be the overall

winner.

Solution: Let X be the number of games needed for team A to

win twice. Then X NBin(2, 0.6). Team A will win the series if

X = 2 or X = 3. Thus,

P(Team A wins the series) = P(X = 2) + P(X = 3)

=

_

1

1

_

0.6

2

(1 0.6)

22

+

_

2

1

_

0.6

2

(1 0.6)

32

= 0.36 + 0.288 = 0.648 (Found also in R: pnbinom(1,2,0.6))

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

1

PMF, CDF and PDF

2

Mean, Variance and Percentiles

3

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

A RV X with S

X

= {0, 1, 2, . . .} is a Poisson RV with

parameter , X Poisson(), if its pmf is

p(x) = P(X = k) = e

x

x!

, x = 0, 1, 2, . . . ,

for some > 0. (R command for this pmf: dpois(x,

lambda))

x=0

p(x) = 1 follows from e

k=0

(

k

/k!).

Its cdf in R: ppois(x, lambda)

X

= ,

2

X

= .

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

0 5 10 15 20

0

.

0

0

.

1

0

.

2

0

.

3

P

(

X

=

k

)

! = 1

! = 4

! = 10

Figure: The Poisson PMF for different values of .

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

The Poisson random variable X can be:

1

the number of sh caught by an angler in an afternoon,

2

the number of new potholes in a stretch of I80 during the

winter months,

3

the number of disabled vehicles abandoned in I95 in a

year,

4

the number of earthquakes (or other natural disasters) in a

region of the United States in a month,

5

the number of wrongly dialed telephone numbers in a

given city in an hour,

6

the number of freak accidents, such as falls in the shower,

in a given time period.

7

the number of hits in a website in a day.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

In general, the Poisson distribution is used to model the

probability that a number of certain events occur in a

specied period of time (or distance, area or volume).

The events must occur at random and at a constant rate.

The occurrence of an event must not inuence the timing

of subsequent events (i.e. events occur independently).

Its earliest use dealt with the number of alpha particles

emitted from a radioactive source in a given period of time.

Current applications include areas such as insurance

industry, tourist industry, trafc engineering, demography,

forestry and astronomy.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

Example (Illustrative use of Table A.2)

Let X Poisson(5). Find: a) P(X 5), b) P(6 X 9), and

c) P(X 10).

Solution. a) P(X 5) = F(5) = 0.616.

b) Write

P(6 X 9) = P(5 < X 9) = P(X 9) P(X 5)

= F(9) F(5) = 0.968 0.616.

c) Write

P(X 10) = 1 P(X 9) = 1 F(9) = 1 0.968.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

Example

Suppose the number of colds a person contracts in a year is a

Poisson random variable. Persons taking Vitamin C

supplements contract an average of 3 colds per year, and

persons not taking the supplements contract an average of 5.

1

Find the probability of no more than two colds for a person

taking, and for a person not taking, Vitamin C supplements.

2

Suppose 70% of the population takes Vitamin C. Find the

probability that a randomly selected person will have no

more than two colds in a given year.

3

Suppose that a randomly selected person contracts no

more than two colds in a given year. What is the probability

that he/she takes Vitamin C supplements?

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

Proposition (Poisson Approximation to Binomial Probabilities)

If Y Bin(n, p), with n 100, p 0.01, and np 20, then

P(Y k) P(X k), k = 0, 1, 2, . . . , n,

where X Poisson( = np).

The enormous range of applications of the Poisson

distribution is due to this proposition. Read the two

paragraphs following the proof of Proposition 3.4.1 on

page 175.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

Example

For the following 4 binomial random variables np = 3:

a) Y

1

Bin(9, 1/3), b) Y

2

Bin(18, 1/6),

c) Y

3

Bin(30, 0.1), d) Y

4

Bin(60, 0.05).

Compare the P(Y

i

2) with P(X 2) where X Poisson(3).

Comparison: First, P(X 2) = e

3

_

1 + 3 +

3

2

2

_

= 0.4232.

Next,

a) P(Y

1

2) = 0.3772, b) P(Y

2

2) = 0.4027,

c) P(Y

3

2) = 0.4114, d) P(Y

4

2) = 0.4174.

Note: The conditions of the Proposition on n and p are not

satised for any of the four binomial RVs.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

Example

Due to a serious defect, n = 10, 000 cars are recalled. The

probability that a car is defective is p = 0.0005. If Y is the

number of defective cars, nd: (a) P(Y 10), and (b)

P(Y = 0).

Solution. Here Y Bin(10, 000, 0.0005), and all conditions of

the above Proposition are met. Thus, if X Poisson(np = 5),

(a) P(Y 10) P(X 10) = 1 P(X 9) = 1 0.968.

(b) P(Y = 0) P(X = 0) = e

5

= 0.007.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

Denition

The number of occurrences as a function of time, X(t ), t 0,

is called a Poisson process with rate per unit time, if the

following assumptions are satised.

1

The probability of exactly one occurrence in a short time

period of length h is approximately h.

2

The probability of more than one occurrence in a short

time period is approximately 0.

3

The number of occurrences in nonoverlapping time

intervals are mutually independent.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

The parameter in the rst assumption species the rate of

the occurrences, i.e. the average number of occurrences per

time unit.

Proposition

Let X(t ), t 0 be a Poisson() process.

1

For each xed t

0

, X(t

0

) Poisson( = t

0

). Thus,

P(X(t

0

) = k) = e

t

0

(t

0

)

k

k!

, k = 0, 1, 2,

2

If t

1

< t

2

are two positive numbers, then

X(t

2

) X(t

1

) Poisson( (t

2

t

1

))

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

Example

Continuous electrolytic inspection of a tin plate yields on

average 0.2 imperfections per minute. Find:

1

The probability of one imperfection in three minutes

2

The probability of at most one imperfection in 0.25 hours.

Solution. 1) Here = 0.2, t = 3, = t = 0.6. Thus,

P(X(3) = 1) = F(1; 0.6) F(0; 0.6) = .878 .549 = .329.

2) Here = 0.2, t = 15, = t = 3.0. Thus,

P(X(15) 1) = F

_

1; 3.0

_

= .199.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

Example (Example 3.4.16, p. 180)

People enter a department store according to a Poisson

process with rate per hour. It is known that 30% of those

entering the store will make a purchase of $50.00 or more. Find

the probability mass function of the number of customers who

will make purchases of $50.00 or more during the next hour.

ANSWER: Poisson(0.3). (Proof omitted.)

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

1

PMF, CDF and PDF

2

Mean, Variance and Percentiles

3

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

The Normal distribution if the most important distribution in

probability and statistics.

X N(,

2

) if its pdf is

f (x; ,

2

) =

1

2

2

e

(x)

2

2

2

, < x < .

The cdf, F(x; , ), does not have a closed form

expression.

R command for f (x; ,

2

): dnorm(x,,).

For example, dnorm(0,0,1) gives 0.3989423, which is the

value of f (0; = 0,

2

= 1).

R command for F(x; ,

2

): pnorm(x,,).

For example, pnorm(0,0,1) gives 0.5, which is the value of

F(0; = 0,

2

= 1).

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

The Standard Normal Distribution

When = 0 and = 1, X is said to have the standard normal

distribution and is denoted, universally, by Z. The pdf of Z is

(z) =

1

2

e

z

2

/2

, < z < .

The cdf of Z is denoted by . Thus

(z) = P(Z z) =

_

z

(x)dx.

(z) has no closed form expression, but is tabulated in Table

A.3

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

Historical Notes

It was discovered by Abraham DeMoivre in 1733, for

approximating binomial probabilities when n is large. He

called it the exponential bell-shaped curve.

DeMoivre was the rst statistical consultant working out of

Slaughters Coffee House, a betting shop in Long Acres,

London.

In 1803, Karl Friedrich Gauss used it for predicting the

location of astronomical objects. Because of this it became

known as the Gaussian distribution.

By the late 19th century, statisticians had noted that most

data sets would have approximately bell-shaped

histograms. It came to be accepted that it was normal for

any well-behaved data set to follow this curve. So the

Gaussian curve became the normal curve.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

Figure: One side of the 10 Mark bill

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

Basic Property of the Normal Distribution

Proposition

If X N(,

2

), then

1

E(X) = .

2

Var(X) =

2

.

3

For an real numbers a, b

Y = a + bX N(a + b, b

2

2

).

For example, if X N(4, 9) then

Y = 5 + 2X N(13, 36)

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

Corollary

1

If Z N(0, 1), then X = +Z N(,

2

).

2

If X N(,

2

), then Z =

X

N(0, 1).

3

If X N(,

2

), then x

= +z

,

where x

and z

in next slide).

The corollary implies that probabilities and percentiles of

any normal random variable can be computed from

corresponding probabilities and percentiles of Z.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

Figure of the Standard Normal Percentile

f

(

x

)

-3 -2 -1 0 1 2 3

0

.

0

0

.

1

0

.

2

0

.

3

0

.

4

area=alpha

z_alpha

Normal percentiles in R: qnorm(p,,). For example,

qnorm(0.95,0,1) gives 1.644854, which is the value of z

0.05

.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

Finding Probabilities via the Standard Normal Table

In Table A.3, z-values are identied from the left column, up to

the rst decimal, and the top row, for the second decimal. Thus,

1 is identied by 1.0 in the left column and 0.00 in the top row.

Example (The 68-95-99.7% Property.)

Let Z N(0, 1). Then

1

P(1 < Z < 1) = (1) (1) = .8413 .1587 = .6826.

2

P(2 < Z < 2) = (2) (2) = .9772 .0228 = .9544.

3

P(3 < Z < 3) = (3) (3) = .9987 .0013 = .9974.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

Example

Let X N(1.25, 0.46

2

). Find a) P(1 X 1.75), and b)

P(X > 2).

Solution. Use Z =

X 1.25

0.46

N(0, 1) to express these

probabilities in terms of Z. Thus,

a)

P(1 X 1.75) = P

_

1 1.25

.46

X 1.25

.46

1.75 1.25

.46

_

= P(.54 < Z < 1.09) = (1.09) (.54) = .8621 .2946.

b) P(X > 2) = P

_

Z >

2 1.25

.46

_

= 1 (1.63) = .0516.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

The 68-95-99.7% Property

The 68-95-99.7% rule applies for any normal random variable

X N(,

2

):

P( 1 < X < + 1) = P(1 < Z < 1) = 0.6826,

P( 2 < X < + 2) = P(2 < Z < 2) = 0.9544,

P( 3 < X < + 3) = P(3 < Z < 3) = 0.9974.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

Finding Percentiles via the Standard Normal Table

To nd z

then reads z

not exist in the main body of the table, then an approximation is

used as described in the following.

Example

Find z

0.05

, the 95th percentile of Z.

Solution. 1 = 0.95 does not exist in the body of the table.

The entry that is closest to, but larger than 0.95 (i.e. 0.9505),

corresponds to 1.64. The entry that is closest to, but smaller

than 0.95 (which is 0.9495), corresponds to 1.65. We

approximate z

0.05

by averaging 1.64 and 1.65: z

.05

1.645.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

Example

Let X denote the weight of a randomly chosen frozen yogurt

cup. Suppose X N(8, .46

2

). Find the value c that separates

the upper 5% of weight values from the lower 95%.

Solution. This is another way of asking for the 95-th percentile,

x

.05

, of X. Using the formula x

= +z

, we have

x

.05

= 8 +.46z

.05

= 8 + (.46)(1.645) = 8.76.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

Example

A message consisting of a string of binary (either 0 or 1)

signals is transmitted from location A to location B. Due to

channel noise, however, when x is sent from A, B receives

y = x +e, where e N(0, 1) represents the noise. To minimize

error, location A sends x = 2 for 1 and x = 2 for 0. Location B

decodes the received signal y as 1, if y 0.5 and as 0 if

y < 0.5. Find the probability of an error in the decoded signal.

Solution. If E = signal is decoded incorrectly,

P(B|signal is 1) = P(x + e < 0.5|x = 2) = P(e < 1.5) = 0.0668,

P(B|signal is 0) = P(x + e 0.5|x = 2) = P(e 2.5) = 0.0062.

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

Outline

PMF, CDF and PDF

Mean, Variance and Percentiles

Some Common Distributions

The Bernoulli and Binomial Random Variables

The Hypergeometric Random Variable

The Geometric and Negative Binomial Random Variables

The Poisson Random Variable and Process

The Normal Distribution

Go to previous lesson http://www.stat.psu.edu/

mga/401/course.info/lesson3.pdf

Go to next lesson http://www.stat.psu.edu/

mga/

401/course.info/lesson5.pdf

Go to the Stat 401 home page http:

//www.stat.psu.edu/

mga/401/course.info/

Michael Akritas Lesson 4 Chapter 3: Random Variables and Their Distributions

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