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Lecture 26
Uniform Distribution
1
a xb
f ( X x) b a
0 otherwise
1 1 3 b 1 b3 a 3 b 2 ab a 2
1 1 2 b 1 b a
2 2
ba x
x 3ba a 3 ba 3
2 ba a 2 ba 2
b 2 ab a 2 b a
2
Var ( x) E ( x ) E ( x)
2 2
3 2
(b a ) 2
12
Normal / Gaussian Distribution
• THE MOST IMPORTANT DISTRIBUTION IN APPLIED MATHEMATICS
(computer science, electrical engineering, physics …)
1 ( x )2
f ( X x) exp , - x
2 2 2
/ 2) dz / 2
( x )2
2
exp( z 1
0 f ( x)dx 2 exp 2 2 dx
Proof x
Substitute z dz dx
I exp( z / 2)dz 2
1
z2 1
z2
0
f ( x)dx exp 2 dz 2 2 0 exp 2 dz
2
1
I exp( x / 2)dx exp( y / 2)dy exp{ ( x 2 y 2 )}dxdy
2 2 2
2
1
1
0 0 00 2 2 2
0 0
2 0 0 2
/2 1 2
2
0 exp( r ) 1
2
0
I
2
Expectation
• (Using a trick)
Let's find E ( x - )
1 ( x )2
E(x )
2 ( x ) exp
2 2 dx
Setting z x dz dx
1 z2 z2
E(x )
2
z exp 2 dz 0, z exp 2 is an odd function
2 2
E ( x)
Variance
1 ( x )2
Var ( x) E ( x ) ( x ) exp
2 2
dx
2 2 2
x
Setting z dz dx
2 z2
E ( x ) z exp( 2 )dz
2 2
2
Integration by parts: udv uv vdu
z2 z2
u z and v z exp(
2
) du dz and dv z exp( )
2
2
z2 z2 z2
2
z exp( ) dz z exp( ) exp( ) dz 2 , first term is 0
2 2 2 2
2
Var ( x) E ( x )
2
2 2
2 2
Symmetric Property
• The distribution is symmetric about μ.
1 h2
f ( h) exp 2 f ( h)
2 2
• Owing to the symmetric property, the mean and the median of the
Normal distribution are the same.
• Also the mode is the same.
Linear function of Normal Variable
• If X is a Normally distributed random variable with mean μ and
standard deviation σ, then for a RV Y = a + bX
E (Y ) E (a bX ) a b
Var (Y ) Var (a bX ) b 2 2
Proof
CDF of Y for b > 0
ya ya
FY ( y ) P(Y y ) P (a bX y ) P X FX
b b
CDF of Y for b > 0
ya ya
FY ( y ) P(Y y ) P (a bX y ) P X 1 FX
b b
To get the PDF we differentiate
1 ya
b f X b for b 0
ya ya
2
1 1
fY ( y ) fY ( y ) fX exp 2 2
1 f y a for b 0 b b 2 b b
b X b
1
fY ( y ) exp y (a b ) 2b 2 2
2
2 b
Y a bX is Normally distributed with mean a b and variance b 2 2
Standard Normal Variable
If X N ( , 2 ), then Z N (0,1)
X
where Z is called the Standard Normal Variable with distribution
z
e dy, - y
y /2
( z )
2
This allows us to express all probabilities about X in terms of probabilities for Z, e.g.
X b b b
P ( X b) P P Z ( )
Similarly
a X b a b
P ( a X b) P
P Z
b a b a
PZ P Z ( ) ( )
Note : ( z ) P( Z z ) P( Z x) by symmetry
( z ) 1 ( z )
Exponential Random Variable
• A continuous random variable with pdf
e x for x 0
f ( x)
0 for x 0
2 1 1
Var ( x) E ( x 2 ) E ( x) 2 2 2 2
Memoryless Property
P( X s t | X t ) P( X s)
Proof
P( X s t , X t )
P( X s t | X t )
P( X t )
P( X s t )
t0
P( X t )
e ( s t )
t e s P( X s)
e
Problem
• Buses arrive at a specified stop at 15 mins intervals starting at 7 AM. If
a passenger arrives at the stop at a time that is uniformly distributed
between 7 and 7:30, find the probability that he waits
• Less than 5 minutes for a bus
• At least 12 minutes for a bus
Solution
X the time in minutes past 7 AM, that the passenger arrives at the stop.
X is a uniform random variable in the interval (0,30)
Passenger waits less than 5 minutes only if he arrives between 7:10 and 7:15 (for 7:15 bus)
and 7:25 and 7:30 (for 7:30 bus)
Hence the desired probability for the first part is
5 5 1
P(10 X 15) P (25 X 30)
30 30 3
For the second part, he has to wait 12 minutes or more if he arrives between 7:00 and 7:03 or between 7:15 and 7:18.
The probability is
3 3 1
P(0 X 3) P(15 X 18)
30 30 5
Example
• Given a random variable X having a normal distribution with μ = 50
and σ = 10, find the probability that X assumes a value between 45
and 62.
45 50 X 50 62 50
P(45 X 62) P( ) P(.5 Z 1.2)
10 10 10
P( Z 1.2) P( Z .5) (1.2) (.5)
0.8849 0.3085 0.5764
Problem
• Given that X has a normal distribution with p — 300 and a = 50, find
the probability that X assumes a value greater than 362.
(ask me the value of Φ – the CDF of the Normal Deviate)
Problem
• Given that X has a normal distribution with p — 300 and a = 50, find
the probability that X assumes a value greater than 362.
(ask me the value of Φ – the CDF of the Normal Deviate)
X 300 362 300
P( X 362) P( ) P( Z 1.24)
50 50
1 P( Z 1.24) 1 0.8925 0.1075