Special

Probability
Distribution

Wawan
Hafid
Syaifudin

Probability

Discrete
Probability Special Probability Distribution
Distribu-
tions

Continuous
Probability
Distribu- Wawan Hafid Syaifudin
tions

Location
and Scale Department of Actuarial Science
Parameter Sepuluh Nopember Institute of Technology

March 9, 2019

Wawan Hafid Syaifudin Special Probability Distribution 1

 Outline
Special
Probability
Distribution

Wawan
Hafid
Syaifudin

Probability Our purpose in this chapter is to develop some special probability distribu-
Discrete
Probability
tions.
Distribu-
tions In many applications by recognizing certain characteristics, it is possible to
Continuous determine that the distribution has a known special form.
Probability
Distribu- Typically, a special distribution will depend on one or more parameters,
tions
and once the numerical value of each parameter has been ascertained, the
Location
and Scale distribution is completely determined.
Parameter
We will learn about two kinds of probability distributions.
discrete probability distributions.
continuous probability distributions.

Wawan Hafid Syaifudin Special Probability Distribution 2

 Bernoulli distribution
Special
Probability
Distribution

Wawan
Hafid
Syaifudin
It is related to ”success” or ”failure” on a particular trial of an experiment.
A random variable, X , that assumes only the values 0 or 1 is known as a
Probability Bernoulli variable, and a performance of an experiment with only two types
Discrete
Probability
of outcomes is called a Bernoulli trial. In particular, if an experiment can
Distribu- result only in ”success” (E ) or ”failure” (E c ), then the corresponding
tions
Bernoulli variable is
Continuous
Probability (
Distribu-
tions 1, if e ∈ E
X (e ) =
Location 0, if e ∈ E c
and Scale
Parameter
The pdf of X is given by f (0) = q and f (1) = p. The corresponding
distribution is known as a Bernoulli distribution, and its pdf can be expressed
as

f (x ) = p x q 1−x , x = 0, 1

Wawan Hafid Syaifudin Special Probability Distribution 3

 Bernoulli distribution (Continued)
Special
Probability
Distribution

Wawan
Hafid
Syaifudin

Probability

Discrete
Probability Notice that
Distribu-
tions

E[X ] = 0.q + 1.p = p

Continuous
Probability
Distribu-
tions E[X 2 ] = 02 .q + 12 .p = p
Location
and Scale Var [X ] = p − p 2 = p (1 − p ) = pq
Parameter

Wawan Hafid Syaifudin Special Probability Distribution 4

 Example 1
Special
Probability
Distribution

Wawan
Hafid
Syaifudin

Probability

Discrete
We considered rolls of a four-sided die. A bet is placed that a 1 will occur on
Probability
Distribu-
a single roll of the die. Thus,
tions

Continuous
Probability
Distribu-
E = {1}
tions
E c = {2, 3, 4}
Location
and Scale 1
Parameter p=
4

Wawan Hafid Syaifudin Special Probability Distribution 5

 Binomial distribution
Special
Probability
Distribution

Wawan
Hafid Often it is possible to structure a more complicated experiment as a sequence
Syaifudin
of independent Bernoulli trials, where the quantity of interest is the number
Probability of successes on a certain number of trials.
Discrete
Probability
Distribu- In a sequence of n independent Bernoulli trials with probability of success p on
tions
each trial, let X represent the number of successes. The discrete pdf of X is
Continuous
Probability given by
Distribu-
tions  
n x n −x
Location b (x; n, p ) = p q , x = 0, 1, 2, ..., n
and Scale x
Parameter

For the event [X = x ] to occur, it is necessary to have some combination of x

successes (E ) and n − x failures (E c ). There are (xn ) such combinations, and
each occurs with probability p x q n−x . The notation b (x; n, p ), which we have
used instead of f (x ), reflects the dependence on the parameters n and p.

Wawan Hafid Syaifudin Special Probability Distribution 6

 Binomial distribution (Continued)
Special
Probability
Distribution

Wawan
Hafid
We have the general properties:
Syaifudin
n n
 
n
Probability ∑ b (x; n, p ) = ∑ x px qn−x = (p + q )n = 1n = 1
Discrete x =0 x =0
Probability
Distribu- The CDF of a binomial distribution is given at integer values by
tions

Continuous x
Probability
Distribu-
B (x; n, p ) = ∑ b (k; n, p ) x = 0, 1, 2, ..., n
tions k =0
Location
and Scale
The following identity is easily verified
Parameter

B (x; n, p ) = 1 − B (n − x − 1; n, 1 − p )
b (x; n, p ) = B (x; n, p ) − B (x − 1; n, p )

A short notation to designate that X has the binomial distribution with

parameters n and p is X ∼ B (x; n, p ) or an alternative notation X ∼ B (n, p ).

Wawan Hafid Syaifudin Special Probability Distribution 7

 Binomial distribution (Continued)
Special
Probability
Distribution

Wawan
Hafid
Syaifudin

Probability We have some general properties of the binomial distribution. If X ∼ B (n, p ),

Discrete then
Probability
Distribu-
tions

Continuous MX (t ) = (pe t + q )n
Probability
Distribu-
tions
GX (t ) = (pt + q )n
Location E[X ] = np
and Scale
Parameter
E[X 2 ] = np + (np )2 − np 2
Var [X ] = np (1 − p ) = npq

Wawan Hafid Syaifudin Special Probability Distribution 8

 Example 2
Special
Probability
Distribution

Wawan
Hafid
Syaifudin
A coin is tossed independently n times. Denote by p = P(H ) the probability
Probability of obtaining a head on a single toss. If p = 1/2 we say that the coin is fair or
Discrete unbiased; otherwise it is said to be biased. For example, if X is the number of
Probability
Distribu- heads obtained by tossing an unbiased coin 20 times, then X ∼ BIN (20, 1/2).
tions

Continuous
Probability
There is a connection between this example and previous example, which dealt
Distribu- with randomly choosing the answers to a 20-question true-false test. If the
tions
questions were answered according to the results of 20 coin tosses, then the
Location
and Scale distribution of the number of correct answers also would be BIN (20, 1/2).
Parameter
Thus, the probability of exactly 80% of the answers being correct would be
    4
1 20 1 1
b (16; 20, ) = ∗ 16 = 0.0046
2 16 2 2

Wawan Hafid Syaifudin Special Probability Distribution 9

 Example 3
Special
Probability
Distribution

Wawan
Hafid
Syaifudin A game of chance consists of rolling three ordinary six-sided dice. The player
bets $1 per game, and wins $1 for each occurrence of the number 6 on any of
Probability
the dice, retaining the original bet in that case. Thus, the net amount won
Discrete
Probability would be a discrete random variable, say Y, with possible values 1, 2, 3, or -1,
Distribu-
tions where the latter value corresponds to the dollar bet, which would be a net loss
Continuous if no die shows a 6.
Probability
Distribu-
tions One possible approach would be to work out the distribution of Y and then
Location compute E(Y ) directly. Instead we will use the fact that Y is a function of a
and Scale
Parameter binomial random variable, X , which is the number of 6’s on the three dice. In
particular, X ∼ BIN (3, 1/6) and Y = u (X ), where u (x ) is given by

x 0 1 2 3
u (x ) -1 1 2 3

Wawan Hafid Syaifudin Special Probability Distribution 10

 Example 3 (Continued)
Special
Probability
Distribution

Wawan
Hafid It follows that
Syaifudin

Probability

Discrete
E[Y ] = E[u (X )]
Probability     x   3−x
3
Distribu- 3 1 5
tions = ∑ u (x )
x 6 6
Continuous x =0
Probability        
Distribu- 125 75 15 1
tions = −1 +1 +2 +3
216 216 216 216
Location
and Scale 17
Parameter =− = −0.08
216

Thus, the expected amount won is actually an expected loss. In other words,
if the player bets $1 on each play, in the long run he or she should expect to
lose roughly $8 for every 100 plays.

Wawan Hafid Syaifudin Special Probability Distribution 11

 Hypergeometric distribution
Special
Probability
Distribution

Wawan
Hafid
Syaifudin In example 10 in the first chapter, we found the probability of obtaining
exactly two black marbles out of five selected at random without replacement
Probability
from a collection of 10 black and 20 white marbles This type of problem can
Discrete
Probability be generalized to obtain an important special discrete distribution known as
Distribu-
tions the hypergeometric distribution.
Continuous
Probability
Distribu-
Suppose a population or collection consists of a finite number of items, say N,
tions and there are M items of type 1 and the remaining N − M items are of type 2.
Location Suppose n items are drawn at random without replacement, and denote by X
and Scale
Parameter the number of items of type 1 that are drawn The discrete pdf of X is given by
N −M
(M
x )( n−x )
h (x; n, M, N ) =
(Nn )
The equation above is the pdf of the hypergeometric distribution.

Wawan Hafid Syaifudin Special Probability Distribution 12

 Hypergeometric distribution (Continued)
Special
Probability
Distribution

Wawan
Hafid
Syaifudin
Note that
Probability
n
Discrete
Probability
∑ h(x; n, M, N ) = 1
Distribu- x =0
tions
The hypergeometric distribution is important in applications such as deciding
Continuous
Probability whether to accept a lot of manufactured items.
Distribu-
tions

Location The CDF of a hypergeometric distribution is given by

and Scale
Parameter x
H (x; n, M, N ) = ∑ h(i; n, M, N )
i =0
A short notation to designate that X has the hypergeometric distribution with
parameters n, M, and N is X ∼ HYP (n, M, N ).

Wawan Hafid Syaifudin Special Probability Distribution 13

 Hypergeometric distribution (Continued)
Special
Probability
Distribution

Wawan
Hafid We have the general properties:
Syaifudin

Probability
nM
Discrete E[X ] =
Probability N
Distribu-
tions n (M/N )(1 − M/N )(N − n )
Var [X ] =
Continuous (N − 1)
Probability
Distribu-
tions

Location
and Scale Another important property about hypergeometric distribution is: If
Parameter
X ∼ HYP (n, M, N ), then for each value x = 0, 1, 2, ..., n and as N → ∞ and
M → ∞ with M/N → p, a positive constant
N −M
(M
x )( n−x )
 
n x
lim = p (1 − p )n −x
N →∞ (Nn ) x

Wawan Hafid Syaifudin Special Probability Distribution 14

 Example 4
Special
Probability
Distribution

Wawan
Hafid A box contains 100 microchips. Some of the microchips are defective and
Syaifudin
some are good (nondefective). Let A be the event ”obtaining a defective
Probability microchip” and Ac is the event ”obtaining a good microchip.” Let B be the
Discrete event ”the microchip was produced by factory 1” and B c the event ”the
Probability
Distribu-
microchip was produced by factory 2”.
tions

Continuous B Bc Totals
Probability
Distribu- A 15 5 20
tions
Ac 45 35 80
Location
and Scale
Totals 60 40 100
Parameter
The number of defectives in the box is unknown to a purchaser, who decides
to select 10 microchips at random without replacement and to consider the
microchips in the box acceptable if the 10 items selected include no more than
three defectives. According to the table above, the number of defectives
selected X , has the hypergeometric distribution with n = 10, N = 100, and
M = 20.

Wawan Hafid Syaifudin Special Probability Distribution 15

 Example 4 (Continued)
Special
Probability
Distribution

Wawan
Hafid
Syaifudin
The probability of the lot being acceptable is given by
Probability
3 (20 80
x )(10−x )
∑
Discrete
Probability P[X ≤ 3] = = 0.890
Distribu-
tions
x =0 (100
10 )
Continuous Thus, the probability of accepting a lot with 20% defective items is fairly high.
Probability
Distribu- Now, suppose, on the other hand, that the box contained 50 good and 50
tions
defective items. The same acceptance criterion would yield
Location
and Scale
Parameter 3 (50 50
x )(10−x )
P[X ≤ 3] = ∑ (100
= 0.159
x =0 10 )
which means, as we might expect, that a lot with a higher percentage of
defective items is less likely to be accepted.

Wawan Hafid Syaifudin Special Probability Distribution 16

 Geometric ditribution
Special
Probability
Distribution

Wawan
Hafid
Syaifudin We again consider a sequence of independent Bernoulli trials with probability
of success p = P(E ). In the case of the binomial distribution, the number of
Probability
trials was a fixed number n, and the variable of interest was the number of
Discrete
Probability successes. Now we consider the number of trials required to achieve a
Distribu-
tions specified number of successes.
Continuous
Probability
Distribu-
If we denote the number of trials required to obtain thefirst success by X ,
tions then the discrete pdf of X is given by
Location
and Scale
Parameter g (x; p ) = pq x −1 x = 1, 2, 3, ...
For the event [X = x ] to occur, it is necessary to have a particular
permutation consisting of x − 1 failures followed by a success. Because the
trials are independent, this probability is the product of p with x − 1 factors of
q = 1 − p, as given by equation above.

Wawan Hafid Syaifudin Special Probability Distribution 17

 Geometric ditribution (Continued)
Special
Probability
Distribution

Wawan
Hafid
Syaifudin
We have general property:

Probability
∞ ∞
Discrete
Probability ∑ g (x; p ) = p ∑ q x −1 = p (1 + q + q 2 + ...)
Distribu- x =1 x =1
tions  
1 p
Continuous =p = =1
Probability
Distribu-
1−q p
tions

Location
The distribution of X is known as the geometric distribution, which gets its
and Scale name from its relationship with the geometric series. We will use special
Parameter
notation X ∼ GEO (p ).
The CDF of geometric distribution is given as follows
x
G (x; p ) = ∑ pqi −1 = 1 − qx x = 1, 2, 3, ...
i =1

Wawan Hafid Syaifudin Special Probability Distribution 18

 Geometric ditribution (Continued)
Special
Probability
Distribution

Wawan
Hafid
Syaifudin For geometric distribution, we have memoryless property:
Probability
If X ∼ GEO (p ), then
Discrete
Probability
Distribu-
tions
P[X > j + k |X > j ] = P[X > k ]
Continuous
Probability
The other general properties of geometric distributiion are given as follows
Distribu-
tions
1
E[X ] =
Location
and Scale
Parameter p
1+q
E[X 2 ] =
p2
q
Var [X ] = 2
p

Wawan Hafid Syaifudin Special Probability Distribution 19

 Example 5
Special
Probability
Distribution

Wawan
Hafid
Syaifudin

Probability

Discrete
The probability a certain baseball player gets a hit is 0.3, and we assume that
Probability
Distribu-
times at bat are independent. The probability that he will require five times at
tions bat to get his first hit is g (5; 0.3) = 0.74 (O.3).
Continuous
Probability
Distribu- Given that he has been at bat 10 times without a hit, the probability is still
tions
0.74 (O.3) that it will require five more times at bat for him to get his first hit.
Location
and Scale
Parameter Also, the probability that five or fewer at bats are required to obtain the first
hit is given by G (5; 0.3) = 1 − (0.7)5 = 0.83193

Wawan Hafid Syaifudin Special Probability Distribution 20

 Negative binomial distribution
Special
Probability
Distribution

Wawan
Hafid In repeated independent Bernoulli trials, let X denote the number of trials
Syaifudin
required to obtain r successes Then the probability distribution of X is the
Probability negative binomial distribution with discrete pdt given by
Discrete
x − 1 r x −r
 
Probability
Distribu- f (x; r , p ) = p q x = r , r + 1, r + 2, ...
tions r −1
Continuous
Probability A special notation, which designates that X has the negative binomial
Distribu-
tions
distribution is X ∼ NB (r , p ).
Location
We have general property for NB distribution:
and Scale
Parameter
∞ ∞ 
x − 1 r x −r i +r −1 i
  
∑ r −1
p q = pr ∑
r −1
q
x =r i =0
 r
p
= p r (1 − q ) −r = =1
p

Wawan Hafid Syaifudin Special Probability Distribution 21

 Negative binomial distribution (Continued)
Special
Probability
Distribution

Wawan
Hafid
Syaifudin

Probability The name ”negative binomial” distrbution results from its relationship to this
Discrete
Probability
binomial series expansion with negative exponent,−r . It can be shown that if
Distribu- X ∼ NB (r , p ), then
tions

Continuous
Probability r
Distribu- E[X ] =
tions p
Location rq
and Scale Var [X ] = 2
Parameter p
MX (t ) = [pe t /(1 − qe t )]r

Wawan Hafid Syaifudin Special Probability Distribution 22

 Example 6
Special
Probability
Distribution

Wawan
Hafid
Syaifudin
Team A plays team B in a seven-game world series. That is, the series is over
Probability when either team wins four games. For each game, P(A wins) = 0.6, and the
Discrete games are assumed independent. What is the probability that the series will
Probability
Distribu- end in exactly six games?
tions

Continuous
Probability
We have x = 6, r = 4, and p = 0.6. Therefore
Distribu-
tions

Location
and Scale P(A wins series in 6) = f (6; 4, 0.6)
Parameter  
5
= (0.6)4 (0.4)2
3
= 0.20736

Wawan Hafid Syaifudin Special Probability Distribution 23

 Example 6 (Continued)
Special
Probability
Distribution

Wawan
Hafid
Syaifudin

Probability

Discrete
Probability
Distribu- P(B wins series in 6) = f (6; 4, 0.4)
tions  
5
Continuous
Probability = (0.4)4 (0.6)2
Distribu- 3
tions
= 0.09216
Location
and Scale
Parameter

P(series goes 6 games) = 0.20736 + 0.09216 = 0.29952

Wawan Hafid Syaifudin Special Probability Distribution 24

 Poisson distribution
Special
Probability
Distribution

Wawan A discrete random variable X is said to have the Poisson distribution with
Hafid
Syaifudin parameter µ > O if it has discrete pdf of the form
Probability
e − µ µx
Discrete f (x; µ) = x = 0, 1, 2, ...
Probability x!
Distribu-
tions A special notation that designates that a random variable X has the Poisson
Continuous distribution with parameter µ is X ∼ POI (µ). We also have the general
Probability
Distribu- property of poisson distribution:
tions
∞ ∞
Location µx
and Scale
∑ f (x; µ) = e −µ ∑ = e −µ e µ = 1
x =0 x !
Parameter
x =0
The CDF of X ∼ POI (µ), denoted by
x
F (x; µ) = ∑ f (k; µ)
k =o
It cannot be expressed in a simpler functional form, but it can be tabulated.

Wawan Hafid Syaifudin Special Probability Distribution 25

 Poisson distribution (Continued)
Special
Probability
Distribution

Wawan
Hafid If X ∼ POI (µ), then
Syaifudin

Probability t
Discrete
MX ( t ) = e µ ( e − 1 ) −∞ < t < ∞
Probability
Distribu- E[X ] = µ
tions

Continuous E[X 2 ] = µ (1 + µ )
Probability
Distribu- Var [X ] = µ
tions

Location
and Scale
Parameter

If X ∼ BIN (n, p ), then for each value x = 0, 1, 2, ... and as p → 0 with

np = µ cosntant, we have:

e − µ µx
 
n x
lim p (1 − p )n −x =
n→∞ x x!

Wawan Hafid Syaifudin Special Probability Distribution 26