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You are on page 1of 39

Distribution Functions

Presentation by:

YATIN VASAVA(150073110025)

1

Probability Distribution of

Continuous Random

Variables

For continuous random variable, we

use the following two concepts to

describe the probability distribution

2. Cumulative Distribution Function

Probability Density Function

Probability Density Function is a similar concept

as the probability distribution function for a

discrete random variable.

You can consider the probability density function

as a smoothed probability distribution function.

Comparing Probability Distribution

Function (for discrete r.v) and

Probability density function (for

continuous r.v)

Comparing Probability Distribution

Function (Discrete r.v) and

Probability density function

variable shows the probability for each outcome.

Comparing Probability Distribution

Function (Discrete r.v) and Probability

density function (Continuous r.v)

f(x)

a b x

that the random variable falls in a particular range.

Probability density function

Let X be a continuous random variable. Let x

denotes the value that the random variable X

takes. We use f(x) to denote the probability

density function.

Example

You client told you that he will visit you between

noon and 2pm. Between noon and 2pm, the time

he will arrive at your company is totally random.

Let X be the random variable for the time he

arrives (X=1.5 means he visit your office at

1:30pm)

Let x be the possible value for the random

variable X. Then, the probability density function

f(x) has the following shape.

Probability Density Function

Example

f(x)

0.5

0 2 x

Probability Density Function

Example

The probability that your client

f(x) visits your office between 12:30

and 1:00 is given by the shaded

area.

0.5

0 0.5 1

2 x

Probability Density Function

Example

Note that area between 0 and 2 should be

equal to 1 since the probability that your

f(x)

clients arrives between noon and 2pm is 1

(assuming that he will keep his promise that

he will visit between noon and 2pm)

0.5

0 2 x

Some Properties of probability

density function

2. Total area under f(x) is 1

Cumulative Distribution

Function

function F(x),

for a continuous random variable X

expresses the probability that X does not

exceed the value of x, as a function of x

F ( x) P( X x)

In other words, the cumulative

distribution function F(x) is given by

the shaded area.

f(x)

F(x)=P(Xx)

x x

Cumulative Distribution Function

-Example-

f(x) F(x)

Cumulative

Density Distribution

Function Function

0.5

0 x 2 0 2

A property of cumulative

distribution functions

P ( a X b) P ( X b) P ( X a )

F (b) F (a )

Probability Density Function and Cumulative

Distribution Function

-Exercise-

The daily revenue of a certain shop is a continuous

random variable. Let X be the random variable for

the daily revenue (in thousand dollars). Suppose

that X has the following probability density

function.

f ( x) 0.25 for 0 x 4

0 otherwise

Ex.3 Find P(2<X<3) Ex. 4 Graph F(x)

Relationship Between Probability Density

Function and Cumulative Distribution

Function

Let X be a continuous random variable.

Then, there is a following relationship

between probability density function and

cumulative distribution function.

P (a X b) F (b) F (a )

b

f (u )du

a

Expectation for continuous

random variable

Expectation for a continuous random variable is

defined in a similar way as the expectation for a

discrete random variable.

Expectation for the discrete random

variable is defined as

Discrete case : E ( X ) xP( x)

x

For continuous variable, f(x) corresponds to

P(x). However, we cannot sum xf(x) since the

value of x is continuous. Therefore, we define the

expectation using integral in the following way.

x

Continuous Case : E(X) xf ( x)dx

x

where x is the lowest possible value of X and x

is the highest possible value for X. We use X to

denote E(X) .

Expectation of a function of a

continuous random variable

Let g(X) be a function of a continuous random

variable X. Then the expectation of g(X) is given

by the following.

x

E[g(X)] g ( x) f ( x)dx

x

Variance and standard deviation

for the continuous random

variable

Variance and standard deviation for a continuous

random variable are defined as

x

Var ( X ) ( x X ) f ( x)d x

2

X

2

x

SD( X ) X Var ( X )

Expected value

for Continuous Random variable

-Exercise-

Continue using the daily revenue example.

The probability density function for X is

given by

f ( x) 0.25 for 0 x 4

0 otherwise

Linear Functions of Variables

Let X be a continuous random variable with mean X

and variance X2, and let a and b any constant fixed

numbers. Define the random variable W as

W a bX

Then the mean and variance of W are

W E (a bX ) a b X

and

Var (a bX ) b

2

W

2 2

X

W b X

Linear Functions of Variables

-Exercise-

Continue using the daily sales example.

in thousand dollars is determined in the

following way.

W=4+0.5X

Linear Functions of Variable

results is the standardized random variable

X X

Z

X

which has a mean 0 and variance 1.

Normal Distribution

A random variable X is said to be a normal

random variable with mean and variance 2 if X

has the following probability density function.

1 ( x ) 2 / 2 2

f ( x) e for - x

2 2

2.71828. . . and = 3.14159. . .

Probability Density Function for

a Normal Distribution

0.4

0.3

0.2

0.1

0.0

x

A note about the normal

distribution

Normal distributions approximate many

types of distributions.

Normal distributions have been applied to

many areas of studies, such as economics,

finance, operations management etc.

Normal Distribution

approximates many types of

distributions.

The shape of the normal

distribution

The shape of the normal density

function changes with the mean and the

standard deviation

The shape of normal

distribution. Exercise

Open Normal Density Function Exercise.

compute the normal density function with mean

and standard deviation evaluated at x.

EX1: Plot the normal density functions for =0 and

=1, and =1 and =1. You will see how the

change in the mean affect the shape of the density

(without changing standard deviation)

EX2: Plot the normal density function for =0 and

=1, and =0 and =2. You will see how the

change in the standard deviation affects the shape

(without changing the mean)

Answer

deviation causes a shift.

2. Increasing standard deviation makes the shape flatter

(Fat Tail).

Properties of the Normal

Distribution

Suppose that the random variable X follows a

normal distribution given by the previous

slides. Then

i. The mean of the X ) variable is ,

E (random

E[( X )

ii. The variance of the random

X

2

] 2

variable is 2,

random variable has the normal

X~

distribution with N ( , and

mean

2

) variance 2.

Cumulative Distribution

Function of the Normal

Distribution

with mean and variance 2 ; that is X~N(,

2). Then the cumulative distribution function

is

F ( x0 ) P( X x0 )

density function to the left of x0, as illustrated

in the figure in the next slide.

Shaded Area is the Probability that X

does not Exceed x0 for a Normal

Random Variable

f(x)

x0 x

Range Probabilities for Normal

Random Variables

cumulative distribution function F(x), and let a

and b be two possible values of X, with a < b.

Then

P (a X b) F (b) F (a )

corresponding probability density function

between a and b.

Range Probabilities for Normal Random

Variables

f(x)

a b x

TH A N K

YOU

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