Chapter 4

Continuous Probability Distribution

 Definition 4.1
• Let Y denote any random variable. The (cumulative)
distribution function of Y, denote by, F(y) is such that
• F(y)=P(Y≤y), -∞ < y < ∞
 Theorem 4.1

• Properties of Distribution Function 分配函數的性質：

• 1. F(y) is a non-decreasing function (非遞減) of y
• 2. F(∞) = 1 and F(−∞) = 0, i.e. 0 ≤ F(y) ≤ 1.
 Definition 4.2
• Let Y denote a random variable with distribution function F(y),
Y is a continuous random variable if F(y) is continuous.
 Example
1
• p(y)=𝐶𝑦2 pyqn-y, y=0,1,2, let p= , find F(y)
2
 Definition 4.3

• Let F(y) be the distribution function for a continuous random

𝑑𝐹(𝑦)
variable, Y. Then f(y)= , wherever the derivative exists, is
𝑑𝑦
called the probability density function (p.d.f) for the random
variable Y.
 Theorem 4.2:
• Properties of a Density Function for a continuous random
variable.
• 1. f(y)≥ 0 for all y −∞ ≤y≤ ∞
∞
• 2. ‫׬‬−∞ 𝑓 𝑦 𝑑𝑦 = 1
 Theorem 4.3
• If random variable Y has a density function f(y) and a < b , then
the probability that Y falls in the interval [a,b] is F(b)-F(a).
 example
0, 𝑦<0
• F(y)=ቐ𝑦, 0 ≤ 𝑦 ≤ 1, find the p.d.f. of Y
1, 1< 𝑦
 3𝑦 2 , 0 ≤ 𝑦 ≤ 1
• f(y)= ቊ , find F(y) and graph f(y) and F(y).
0, 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
 𝑐𝑦, 0≤𝑦≤2
f(y)=ቊ , find c and P(1≤ 𝑦 ≤ 2).
0, 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
 Exercise 4.11
𝑐𝑦 2 , 0≤𝑦≤2
• f(y)=ቊ , find c and F(y).
0, 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
 Definition 4.5:
• Y is a continuous random variable with p.d.f f(y). The expected
value of Y is
∞
E(Y)=‫׬‬−∞ 𝒚𝒇 𝒚 𝒅𝒚
 Theorem 4.4
• Let g(y) be a function of Y, then the expected value of g(y) is
∞
E(g(Y))=‫׬‬−∞ 𝒈(𝒚)𝒇 𝒚 𝒅𝒚
 Theorem 4.5(3.3)
• Let Y be a continuous random variable with probability density
function f(y) and c be a constant, then E(c)=c
∞ ∞
• Proof: E(c)=‫׬‬−∞ 𝒄𝒇 𝒚 𝒅𝒚 = 𝒄 ‫׬‬−∞ 𝒇 𝒚 𝒅𝒚 = 𝑐.
 Theorem 4.5 (3.4)
• Let Y be a continuous random variable with probability density
function f(y), g(Y) be a function of Y, and c be a constant. Then
E(cg(Y))=cE(g(Y))
∞ ∞
• Proof: E(cg(Y))= ‫׬‬−∞ 𝒄𝒈(𝒚)𝒇 𝒚 𝒅𝒚 = 𝒄 ‫׬‬−∞ 𝒈(𝒚)𝒇 𝒚 𝒅𝒚
= 𝒄E(g(Y))
•
 Theorem 4.5 (3.5)
• Let Y be a continuous random variable with probability density
function f(y) and g1(Y), g2(Y),…, gk(Y) be k functions of Y and c1,
c2,…, ck are constants. Then
E(c1g1(Y)+ c2g2(Y)+… +ckgk(Y))=c1E(g1(Y))+c2E(g2(Y))+…+ckE(gk(Y))
Proof: E(c1g1(Y)+ c2g2(Y)+… +ckgk(Y))
∞
= ‫׬‬−∞ (c1g1(Y)+ c2g2(Y)+… +ckgk(Y))𝒇 𝒚 𝒅𝒚
∞ ∞ ∞
=‫׬‬−∞ c1g1(Y)f y dy+ ‫׬‬−∞ c2g2(y)f y dy+…+ ‫׬‬−∞ ckgk(y)f y dy
= c1E(g1(Y))+c2E(g2(Y))+…+ckE(gk(Y))
 Theorem 4.6
• Let Y be a continuous random variable with probability density
function f(y) and mean E(Y)= μ. Then
V(Y)=E((Y-μ)2)=E(Y2)-μ2
proof: E((Y-μ)2)=E(Y2-2μY+μ2)
=E(Y2)-2E(μY)+E(μ2)
=E(Y2)-2μE(Y)+E(μ2)
=E(Y2)-2μE(Y)+μ2
=E(Y2)-2μ2+μ2
=E(Y2)-μ2
 3 2
𝑦 , 0≤𝑦≤2
• f(y)=ቐ8 , find E(Y) and V(y).
0, 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
 solution
3
• E(Y)=
2
3
• V(Y)=
20
 1
(2 − 𝑦), 0≤𝑦≤2
• f(y)=൝2 , find E(Y) and V(y).
0, 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
 solution
2
• E(Y)=
3
2
• V(Y)=
9
 0.2, −1 < 𝑦 < 0
• f(y)=ቐ0.2 + 1.2𝑦, 0 ≤ 𝑦 ≤ 1, find the p.d.f. of Y
0, 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
 solution
• E(Y)=0.4
41
• V(Y)=
150
 Gamma Probability Distribution
• 從開店到第一個顧客上門經過多少時間
• (等到公車所需花的時間)
 Exponential Distribution
• Waiting time W > 0 is a random variable
• F(𝜔)=P(W≤ 𝜔)= 1- P(W>𝜔)
• = 1-P(no chance in (0, ω) )
• = 1- 𝑒 −𝜆𝜔 0~ω的區間
• f(𝜔)= 𝜆𝑒 −𝜆𝜔 , let y= ω
−𝜆𝑦 1
• f(y)= 𝜆𝑒 , let 𝜆 = ,
𝜃
1 −𝑦
• f(y)= 𝑒 𝜃, y > 0.
𝜃
 MGF of exponential distribution
∞ ty
• ty
M(t)=E(e )= e 𝒇
‫𝟎׬‬ 𝒚 𝒅𝒚
∞ ty 1 −𝑦
• = ‫ 𝟎׬‬e 𝜃 𝑒 𝜃 𝒅𝒚
∞ 1 (𝑡𝑦−𝑦)
• = ‫𝑒 𝜃 𝟎׬‬ 𝜃 𝒅𝒚

𝑦
−
∞ 1 𝑦(𝑡𝜃−1) ∞1 (
𝜃
)
• =‫𝒚𝒅 𝜃 𝑒 𝟎׬‬ = ‫𝑒 𝜃 𝟎׬‬ 1−𝑡𝜃 𝒅𝒚
𝜃
𝑦
− 𝜃
𝟏 ∞ 1 𝟏
• = ‫׬‬ 𝜃 𝑒 (
1−𝑡𝜃
)
𝒅𝒚 = = (1 − 𝑡𝜃)−1
𝟏−𝒕𝜽 𝟎 𝟏−𝒕𝜽
1−𝑡𝜃
• To prove that M’(t=0)=
•

• M’’(t=0)=
• Gamma Distribution G(𝛼, 𝛽)
• 等到第α班公車的時間,
• 𝛼 = 1 時 → exponentinal distribution 指數分配
• Y : waiting time , 第α次公車來的時間 假設α= 5
• F(y)=P(Y≤ 𝑦) = 1 − 𝑃(𝑌 ≥ 𝑦)這個時間內可能有0.1.2.3.4班公車來
𝑒 −𝜆𝑦 (𝜆𝑦)𝑘
• =1-σ𝛼−1
𝑘=0 → distribution function of Y
𝑘!
•
 dF ( y)
f ( y) = = − ( −  )e −  y , 當 k = 0
dy
1 ( y)0 e− y ( y)1 (− )e− y
−[ + ] , 當k=1
1! 1!
• f(y)= 2  ( y)1  e− y ( y)2 (− )e− y
−[ + ] , 當k=2
2! 2!
3  (  y ) 2  e −  y (  y ) 3 ( − ) e −  y
−[ + ] , 當k=3
3! 3!
⋮
( − 1)  ( y) −2 e− y ( y) −1 (− )e− y
−[ + ] , 當 k =α- 1
( − 1)! ( −1)!
 y −1e− y 1
= , 令 =
( − 1 ) ! 
−y
 −1 
y e
= ~ y0
( − 1)! 
−y
 −1 
y e
( ) = ( − 1)! f ( y) = 
, 0 y
( )
 −y
yα−1 e β
• f y = ൞ β𝛼Γ(α) , 0 ≤ y < ∞
0, otherwise
∞
• 已知‫׬‬0 f y dy = 1
−y
∞ α−1 β
• →‫׬‬0 y e dy = βα ∙ Γ(α)
 −y 1
−y[ −t]
tY ∞ ty yα−1 e β ∞yα−1 e β
• M t =E e = ‫׬‬0 e ∙ dy = ‫׬‬0 dy
βα Γ(α) βα Γ(α)
−y
1 ∞ α−1 ∗ β
• = α ‫׬‬ y e βΤ1−βt dy , 令β =
β Γ(α) 0 1−βt
1 1 β α 1 α
• = ∙ β∗α ∙ Γ α = ∙ =
βα ∙Γ α βα 1−βt 1−βt
−α
• = 1 − βt
• E Y = m′ t = 0 = −α 1 − βt −α−1
−β ቚt=0
−α−1
• = αβ 1 − βt ቚt=0 = αβ

• E Y 2 = m′′ t = 0 = αβ −α − 1 (1 − βt)−α−2 ቚt=0

• = αβ α + 1 β ∙ (1 − βt)−α−2 ቚt=0
• = αβ α + 1 β = αβ2 α + 1
• V Y = E Y 2 − [E Y ]2 = αβ2 α + 1 − α2 β2
• = α2 β2 + αβ2 − α2 β2 = αβ2
 −y
yα−1 e β
• f y =ቐ βα Γ(α) ,0 ≤ y < ∞
0 , otherwise
−y
−y
∞ ∞ yα−1 e β ∞ α−1 β
• ‫׬‬0 f y dy = ‫׬‬0 dy = 1 ⇒ ‫׬‬0 y e dy = βα ∙ Γ(α)
βα Γ(α)
•
 −y
−y
∞ yα−1 e β 1 ∞ α β
• E Y = ‫׬‬0 y ∙ βαΓ(α) dy = α ‫׬‬ y e dy
β Γ(α) 0
1 α+1
• = α ∙ β ∙ Γ(α + 1) = αβ
β Γ(α)
 −y
−y
∞ 2 yα−1 e β 1 ∞ α+1 β
• E Y2 = ‫׬‬0 y ∙ dy = ‫׬‬ y e dy
βα Γ(α) α
β Γ(α) 0
1 α+2
• = ∙ β ∙ Γ(α + 2) = β2 α(α + 1)
βα Γ(α)
2
• V Y =E Y − [E Y ]2 = αβ2 α + 1 − α2 β2 = αβ2
 Chi-Square distribution 卡方分配 𝜒 2

v
• 當α = , v=degrees of freedom 自由度 β = 2
2
• 標準常態分配
• Z 2 ~𝜒 2 (1)
• Z12 + Z22 ~𝜒 2 (2)
• Z12 + Z22 + ⋯ + Zn2 ~ 𝜒 2 (n)
•
2 v 2 2 v
• E 𝜒 = αβ = ∙ 2=v, V 𝜒 = αβ = ∙ 4 = 2v
2 2
 Uniform Probability Distribution 均勻分配

• Definition 4.6:

1
, θ1 ≤ y ≤ θ2
If θ1 < θ2 , f y = ቐθ2−θ1
0 , otherwise
 c , θ1 ≤ y ≤ θ2
• （p f）：f y = ቊ
0 , otherwise
θ2 θ2 1
• ⇒ ‫׬‬θ c dy = 1 ⇒ cy ቚθ = 1 ⇒ c θ2 − θ1 = 1 ⇒ c =
1 1 θ2 −θ1
•
• ＊沒有mgf
 θ2 1 1 θ2
• E Y = ‫׬‬θ y ∙ θ −θ dy = ∙ ‫׬‬θ y dy
1 2 1 θ2 −θ1 1

1 2 θ2
• = ∙ y ฬθ
2(θ2 −θ1 ) 1

θ22 −θ21 θ2 +θ1

• = =
2(θ2 −θ1 ) 2
 θ2 2 1 1 1
• E Y 2
= ‫׬‬θ y ∙ dy = ∙ ∙ y 3 ฬθθ2
1 θ2 −θ1 θ2 −θ1 3 1
1
• = ∙ (θ32 − θ13 )
3(θ2 −θ1 )
1 θ22 +θ1 θ2 +θ21
• = ∙ (θ2 − θ1 )(θ22 + θ2 θ1 + θ12 ) =
3(θ2 −θ1 ) 3
 θ22 +θ1 θ2 +θ21 θ22 +2θ1 θ2 +θ21
• V Y = E Y 2 − [E Y ]2 = −
3 4
1
• = [4θ22 + 4θ1 θ2 + 4θ12 − 3θ22 − 6θ1 θ2 − 3θ12 ]
12
1 (θ2 −θ1 )2
• = θ22 − 2θ1 θ2 + θ12 =
12 12
 Exercise 4.38:

• Y has a uniform distribution over the interval ( 0 , 1 )

a. Find F y ?
b.Show that P a ≤ Y ≤ a + b , for a ≥ 0 , b ≥ 0 and a + b ≤ 1
depends only upon the value of b.
 solution
1
= 1 ,0 < y < ∞
a. f y = ቐ1−0
0 , otherwise
y y
y
න f t dt = න 1 ∙ dt = t ቚ = y − 0 = y , 0 ≤ y ≤ ∞
F y =൞ 0 0 0
0 , y<0
a+b a+b
b. P a ≤ y ≤ a + b = ‫׬‬a 1 ∙ dy = yቚ a = a+b −a=b
• Normal Distribution 常態分配
• 鐘形對稱單峰
1 y−μ 2
• f y = exp − , −∞ < 𝑦 < ∞
2πσ2 2σ2
 ∞ ∞ 1 y−μ 2
• 已知‫׬‬−∞ f y dy = ‫׬‬−∞ exp − 𝑑𝑦 = 1
2πσ2 2σ2
∞ tY 1 y−μ 2
• M t =E etY = ‫׬‬−∞ e ∙ exp − 𝑑𝑦
2πσ2 2σ2
∞ 1 y2 −2yμ+μ2 −2σ2 ty
• = ‫׬‬−∞ exp − 𝑑𝑦
2πσ2 2σ2
∞ 1 y2 −2y μ+σ2 t +(μ+σ2 t)2 (μ+σ2 t)2 −μ2
• = ‫׬‬−∞ exp − + 𝑑𝑦
2πσ2 2σ2 2σ2
2
(μ+σ2 t)2 −μ2 ∞ 1 y−(μ+σ2 t)
• = exp ∙ ‫׬‬−∞ exp − 𝑑𝑦
2σ2 2πσ2 2σ2

2μσ2 t+σ4 t2 σ2 t2
• = exp = exp μt +
2σ2 2
 2tσ2 σ2 t2
• E Y = m′ t = 0 = μ + exp μt + ቚ𝑡=0 = 𝜇
2 2

• E Y 2 = m′′ t = 0 = σ2 exp ቂμt +

σ2 t2 σ2 t2
ቃ + (μ + tσ2 )2 exp μt + ቚ𝑡=0
2 2
• = σ2 + μ2
• V Y = E Y 2 − [E Y ]2 = σ2 + μ2 − μ2 = σ2
2 Y−μ
• Y ~ N μ ,σ z= ⇒ 標準化
σ
 Theorem 4.12
• Let Y be a random variable with f(y) , g(Y) is a function of Y.
tg(Y) ∞ tg(Y)
• Then the MGF of g(Y) is E e = ‫׬‬−∞ e ∙ f y dy
•
y−μ
• Let z = , z is the standard normal distribution
σ
 MGF of standard normal distribution
∞ t∙y−μ 1 y−μ 2
• Mz t = E et𝑧 = ‫׬‬−∞ e σ ∙ exp − 𝑑𝑦
2πσ2 2σ2
∞ 1 y2 −2μy+μ2 −2tyσ+2tμσ
• = ‫׬‬−∞ 2
exp − 2 𝑑𝑦 =
2πσ 2σ
∞ 1 y2 −2y μ+tσ +(μ+tσ)2 (μ+tσ)2 −μ2 −2tμσ
‫׬‬−∞ 2πσ2 exp − 2σ2 +
2σ2
𝑑𝑦
t2
• = exp( )
2
2
• 當μ = 0 , σ = 1時
1 z2
• f z = ∙ exp(− )
2π 2