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You are on page 1of 18

CHARACTERISTICS OF A PROBABILITY

DISTRIBUTION

X : a r.v. with support SX , d.f. FX (·) and p.m.f./p.d.f. fX (·);

manner in which the r.v. X takes different values in R;

a summary of prominent features of the probability distribution of X .

A. Measures of Central Tendency or Measures of

Location

A measure of central tendency gives us the idea about the central value of

the distribution around which values of r.v. X are clustered. Some of the

measures of central tendency are;

(a) Mean:

P

x∈SX x fX (x), if X is discrete

µ = E (X ) = .

R∞

−∞ x fX (x)dx, if X is A.C.

(b) Median: Median m of the distribution is a value such that the r.v. X

is equally likely to be either smaller or larger than m. One may define

median as

1

m = inf{x ∈ R : FX (x) ≥ }.

2

Clearly, for continuous (in particular for A.C.) r.v.

1

FX (m) = P({X ≤ m}) = .

2

It can be shown that, for any r.v. X ,

that is most likely to occur. One may define mode m0 of distribution

of X as

m0 = arg sup fX (x).

x∈R

trimodal and multimodal distributions).

(d) Geometric Mean (G.M.) If P(X > 0) = 1, then the G.M. G of X is

defined by

ln G = E (ln X ),

i.e.,

G = e E (ln X ) .

(e) Harmonic Mean (H.M.).The H.M of X is defined by

1 1

=E ,

H X

i.e.,

1

H= 1

.

E X

Using the Jensen inequality it can be shown that

A.M. ≥ G .M. ≥ H.M.

For unimodal symmetric distributions, generally one has

mean = median = mode.

() Module 18 CHARACTERISTICS OF A PROBABILITY DISTRIBUTION 4 / 17

(B) Measures of Dispersion (or Variation)

Measures of central tendency give us the idea about the location of central

part of the distribution. Other measures are often needed to describe

probability distribution. A measure of dispersion (or variation) gives us an

idea of the scatter (or cluster or dispersion) of the values of random

variable X about a measure of central tendency. Various measures of

dispersion are:

(a) Mean Deviation

Let A be a suitable measure of central tendency. The mean deviation

(M.D.) of X about A is defined by

MD(A) = E (|X − A|).

Generally, A = µ = E (X ), in which case MD(µ) is called the mean

deviation about mean. It can be shown that

MD(m) ≤ MD(A), ∀ A ∈ R,

where m is the median.

() Module 18 CHARACTERISTICS OF A PROBABILITY DISTRIBUTION 5 / 17

(b) Standard Deviation and Variance

The standard deviation (s.d.) of X is defined by

p q

σ = Var(X ) = E ((X − µ)2 ),

where µ = E (X ). Note that the s.d. is in the same units as the r.v. X

and it measures the average distance of values of X from the mean µ.

For any A ∈ R

= E ((X − µ)2 ) + (µ − A)2

≥ E ((X − µ)2 ) = Var(X ).

(c) Quartile Deviation

For a fixed p ∈ (0, 1), the quantity

ξp = inf {x ∈ R : Fx (x) ≥ p}

We call

Q1 = ξ 1 = first quartile;

4

2

Q3 = ξ 3 = third quartile

4

four equal parts each containing 25% weight.

The quantity

Q3 − Q1

Q=

2

is called the quartile deviation (or semi interquartile range ) and it

gives us the idea about the scatter of the probability mass of the

distribution.

(d) Coefficient of Variation

comparing variability of two r.v.s. having different measurement units.

In such situations one may use the coefficient of variation, defined as,

p

Var (X ) σ

CX = = (variation per unit mean)

E (X ) µ

(C) Measures of Skewness

about departure from symmetry;

Positively skewed p.m.f/p.d.f. has more probability mass to the right

of mode with longer right tail;

Negatively skewed p.m.f./p.d.f. has more probability mass to the left

of mode with longer left tail;

d

For symmetric distributions (since X − µ = µ − X )

µ3 = E ((X − µ)3 ) = 0.

(a) The quantity

E ((X − µ)3 )

β1 = 3 (independent of Units)

[E ((X − µ)2 )] 2

skewness. For symmetrical distribution, β1 = 0.

d

(b) For symmetric distribution (X − µ = µ − X ) it can be shown that

Q3 − m = m − Q1

⇔ Q3 − 2m + Q1 = 0

Thus the quantity

Q3 − 2m + Q1

β2 =

Q3 − Q1

may also be taken as a measure of skewness, and is called the Yule

coefficient of skewness. The quantity Q3 − Q1 in the denominator of β2 is

to make it independent of units. For positively (negatively) skewed

distribution we have β2 > (<) 0.

(D) Measures of Kurtosis

µ4 E ((X − µ)4 )

γ1 = 2

=

µ2 [E ((X − µ)2 )]2

is called the kurtosis of probability distribution of X .

flatness or peakedness of the distribution around mode.

distribution) the kurtosis is 3.

(d) The quantity

γ2 = γ1 − 3

is called the excess Kurtosis of distribution of X .

and longer flatter tails;

shorter thinner tails.

Take Home Problem

1 −x

θ e θ , if x > 0

fθ (x) = .

0, otherwise

Xθ2 , where 0 < θ1 < θ2 .

Abstract of Next Module

numerical characteristics of the sample space simultaneously. This

leads to studying joint probability distribution of two or more random

variables defined on the same sample space.

random variables.

Thank you for your patience

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