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Statistics 5
Statistics 5
Poisson distribution 𝑒 −𝜆 𝜆𝑘
𝑃 𝑋=𝑘 =
𝑘!
Probablily of 𝑘 randomly occurring events, given average number is 𝜆
1 2 3 4
Are they Poisson? Answers:
NO, solar eclipses are not random events and this is a time between random
events, not the number in some fixed interval
If a Poisson process has constant average rate 𝜈, the mean after a time 𝑡 is 𝜆 = 𝜈𝑡.
What is the probability distribution for the time to the first event?
⇒ Exponential distribution
𝑓(𝑦) 𝜈=1
−𝜈𝑦
𝜈𝑒 , 𝑦>0
𝑓 𝑦 =ቊ
0, 𝑦<0
𝑦
Occurrence
𝑒 −𝜆 𝜆𝑘
𝑃 𝑘=0 = = 𝑒 −𝜆 = 𝑒 −𝜈𝑡 .
𝑘!
If 𝑓(𝑡) is the pdf for the first occurrence, then the probability of no occurrences is
𝑓(𝑡)
E.g. Probability the time till the
next death is less than one year?
1 1
න 𝑓 𝑡 𝑑𝑡 = න 3 𝑒 −3𝑡 𝑑𝑡
0 0
1
3𝑒 −3𝑡
=
−3 0
= −𝑒 −3 + 1 ≈ 0.95
𝑡
Exponential distribution
1. YES 53%
2. NO
48%
1 2
Exponential distribution
The observed lifetimes imply that instead the failure rate must increase with time
NOT exponential
Mean and variance of exponential distribution
∞ ∞ ∞ −𝜈𝑦 ∞
∞
𝑒 1
𝜇 = න 𝑦 𝑓 𝑦 𝑑𝑦 = න 𝑦𝜈𝑒 −𝜈𝑦 𝑑𝑦 = −𝑦𝑒 −𝜈𝑦 0 +න 𝑒
−𝜈𝑦
𝑑𝑦 = − =
−∞ 0 0 𝜈 0
𝜈
∞ ∞
2 2 2 2
1
−𝜈𝑦
𝜎 = න 𝑦 𝑓 𝑦 𝑑𝑦 − 𝜇 = න 𝑦 𝜈𝑒 𝑑𝑦 − 2
−∞ 0 𝜈
∞
2 −𝜈𝑦 ∞ −𝜈𝑦
1 𝜇 1 1
= −𝑦 𝑒 0 + 2න 𝑦 𝑒 𝑑𝑦 − 2 = 0 + 2 − 2 = 2
0 𝜈 𝜈 𝜈 𝜈
𝜎 𝜎
𝜈=3
1
𝜇=
3
Example: Reliability
The time till failure of an electronic component has an Exponential distribution and it
is known that 10% of components have failed by 1000 hours.
(a) What is the probability that a component is still working after 5000 hours?
(b) Find the mean and standard deviation of the time till failure.
Answer
∞
= −𝑒 −𝜈𝑦 5000 = 𝑒 −5000𝜈 ≈ 0.59
(b) Find the mean and standard deviation of the time till failure.
- NO: continuous (if you allow fractional days), but draws happen regularly on a
schedule
- NO: This is a continuous variable, but not the time between independent random
events
Normal distribution
The continuous random variable 𝑋 has the Normal distribution if
the pdf is:
− 𝑥−𝜇 2
1
𝑓 𝑥 = 𝑒 2𝜎2 (−∞ < 𝑥 < ∞)
2𝜋𝜎 2
∞
න 𝑓 𝑥 𝑑𝑥 = 1
−∞
[see notes for proof]
If 𝑋 has a Normal distribution with mean μ and variance 𝜎 2 , write 𝑋 ∼ 𝑁 𝜇, 𝜎 2