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Statistical Models in Simulation


1.1. Discrete random variables. Let X be a random variable. If the number
of possible values of X is finite, or countably infinite, X is called a discrete
random variable. The possible values of X may be listed as. X1, x2,
In the finite case, the list terminates; in the countably infinite case, the list
continues indefinitely.

Example 1
The number of jobs arriving each week at a job shop is observed. The
random variable of interest is. X, where
X = number of jobs arriving each week

The possible values of X are given by the range space of X, which is

denoted by Rx. Here Rx = {0, 1, 2, ...} .
Let X be a discrete random variable. With each possible outcome X; in
RX' a number p(xi) = P(X = xi) gives the probability that the random variable
equals the value of xi. The numbers p(xi), i = 1, 2, . . . , must satisfy the
following two conditions:


The collection of pairs (xi, p(xi)), i = 1, 2, ... is called the probability

distribution of X, and p(xi) is called the probability mass function (pmf) of X.
Problem: textbook example 2

1.2. Continuous random variables. If the range space Rx of the random

variable X is an interval or a collection of intervals, X is called a continuous
random variable. For a continuous random variable X, the probability that X
lies in the interval [a, b] is given by

The function f(x) is called the probability density function (pdf) of the
random variable X. The pdf satisfies the following condition s:


c. f(x) = 0 if x is not in Rx
As a result of Equation (1), for any specified value x0, P(X = x0) = 0, because

P(X=x0) = 0 also means that the following equations hold:

The graphical interpretation of Equation (1) is shown in Figure 2. The
shaded area represents the probability that X lies in the interval [a, b].
Problem: textbook example 3

1.3. Cumulative distribution function. The cumulative distribution

function (cdf), denoted by F(x), measures the probability that the random
variable X assumes a value less than or equal to x, that is, F(x) = P(X <= x).
If X is discrete, then

If X is continuous, then

Some properties of the cdf are listed here:

a. F is a nondecreasing function. If a < b, then F(a) <= F(b).


All probability questions about X can be answered in terms of the cdf. For
P(a < X <= b) = F(b) - F(a) for all a < b

For continuous distributions, not only does Equation (5) hold, but also the
probabilities in Equation (2) are equal to F(b) - F(a).
Problem: textbook example 4, example 5

1.4 Expectation

1.5 The mode



Discrete random variables are used to describe random phenomena in

which only integer values can occur.

3.1 Bernoulli trials and Bernoulli distribution