Probability Distribution Models

A. Uniform Distribution

Notation X~(a,b) Properties

P.D.F 1. Linear Transform（調寬再平移）

○ Y=(b-a)x+c
2. Probability Integral Transform
○ Any continuous random variable distribution can be converted into a
M.G.F standard uniform distribution.
3. Inverse Transform Sampling
Expectation ○ The transform of X is Y which is the CDF of X.
○ The inverse transform would allow me to put Y in the right side of the
equation and get the value of X.
○ I would know at which value does X accumulate a certain value of
Variance
probability.
4. Skewness = 0 , Kurtosis = 3

Questions 1. Train Poisson People : Number of people follows Poisson and Train arrival time follows Uniform distribution
2. Simulating a RV : Computer gives r.v. in uniform distribution, simulate a certain exponential distribution
3. 3. Dating time : Waiting each other for less than 10 minutes
B. Normal Distribution
 Notation Properties

P.D.F
1. Standardized : Mean = 1 , Variance =0
2. Reverse Standardization: multiply SD then add Mean. ( in this order )
3. Normal Distributions are Symmetrical.
M.G.F ● 0 coefficient of skewness
● 3 coefficient of kurtosis
● note :
○ sk = 三階主動差/sd3 方
Expectation
○ skp=(x-mode)/sd
or 3(x-median)/sd
(Pearson’s sk)
Variance 4. Linear Combination : Firstly, if Y follows a normal distribution, then Y ,after
being multiplied by any constant, still follows a normal distribution. Secondly,
two independent normal distributions can be combined into one normal
distribution.
5. What if they are iid? They will have identical distribution

C. Gamma Distribution
 Notation Properties

P.D.F 1. Skewness : >0 skewed to the right

2. Kurtosis : >3 leptokurtic
3. Can be multiplied by 正數 and combined with similar betas
○ Y=aX, a>0, Y~ Gamma ( alpha, a*beta )
○ X~(alpha 1, beta) Y(alpha 2, beta) ind, U=X+Y ~ Gamma ( alpha1 + alpha 2,
M.G.F beta)
key : You can’t combine any two that have different betas (shape parameter
) The shape can only be multiplied, not transformed.

Expectation

Variance

D. Exponential Distribution
 Notation Properties

P.D.F 1. Skewness : >0 skewed to the right

2. Kurtosis : >3 leptokurtic
3. Gamma with ratio parameter(alpha) 1 is an Exp(beta)
4. Can be multiplied by 正數 - proven through mgf
5. Memoryless property
M.G.F 6. Can be combined with similar betas (iid). U = Gamma (alpha=n, beta)

Expectation

Variance

a. Beta