Professional Documents
Culture Documents
Special Probability
Distributions and Densities
1
3.1 Some special Probability Distributions:
The case of Discrete Random Variable
3.1.1 The Bernoulli distribution
A random variable with only two outcomes (0 = failure and
1=success) is known as a Bernoulli rv.
Definition: A rv X has a Bernoulli distribution and it is
referred to as a Bernoulli rv iff its probability distribution is
given by:
2
3.1.2 The Binomial Distribution
The binomial distribution arises out of repeated Bernoulli
trials. There are only two possible outcomes on each
trial: success and failure. Such naming does not imply
one outcome is good and the other is bad.
Assumptions:
the probability of success is the same for each trial, and
there are n independent trials (i.e., the outcome of one trial
does not affect the outcome of any other trial.
the outcomes are mutually exclusive
the random variable of the binomial distribution is the result
of counts. That is, we count the number of successes in the
total number of trials
3
Definition: A rv X has a binomial distribution and it is known
as a binomial rv iff its probability distribution is given by:
n
f ( x; n, p) p x (1 p)n x , x 1,2,3,..., n
x
Where n = the number of independent trials and
p = probability of success
1- p = the probability of failure
4
Consider the case of 4 trials (n=4) and denote success by S and
failure by F.
1) A single success can occur in any one of the following four ways.
(SFFF, FSFF, FFSF, FFFS).
Each of these has the probability p(1-p)3 =p(1-p)3, therefore,
f(1;4,p) = 4p(1-p)3
4
p 1 p
3
4 4!
f 2 , p p 2 1 p
2 2 2
p 1 p 6 p 1 p
2 2
2 4 2!2!
5
The general form of the probability function of the binomial
distribution is given by
n x n x
p (1 p) , x 0,1, 2, n
f ( x; n, p) x
0 , Otherwise
n x
x 0 x
xn n x n
Note that: p (1 p ) ( p 1 p ) 1
That is, the sum of probability is equal to one.
6
For a random variable having a binomial distribution with
parameters n and p:
The generating function:
7
8
Example:Suppose a manufacturer of TV tubes draws a
random sample of 10 tubes. The production process is such
that the probability that a single TV tube, selected at
random defective is 10 percent. Calculate the probability of
finding
a) exactly 3 defective tubes
b) no more than 2 defective tubes.
9
Example:
1. The probability of a bomb hitting a target is 0.2. two
bombs are enough to destroy a bridge. If four bombs are
aimed at the bridge, find the probability that the bridge is
destroyed?
2. A company that markets brand A cola drink claims that
65 percent of all residents of a certain area prefer its
brand to brand B. The company that makes Brand B
employs an independent market research consultant to
test the claim. The consultant takes a random sample of
25 persons and decides in advance to reject the claim if
fewer than 12 people prefer Brand A. What is the
probability that the market researcher will make the error
of rejecting the claim even though it is correct?
10
3.1.3 The hypergeometric distribution
The objective is to obtain the formula analogous to that of
the binomial distribution.
But in this case the trials are not independent (i.e.,
selection is without replacement). This implies that if
the population size is small, probability of success is not
constant across trials.
Since one of the criteria to use binomial distribution is that
probability of success is the same from trial to trial, it is
not applicable.
In this case, we use the hypergeometric distribution.
Conditions: sampling must be without replacement
and population size (N) is finite and the sample size
(n) is greater than 5% of the total population.
11
Suppose a set of N elements (or finite population size) of
which M are successes and N-M are failures. Here again
we are interested in the probability of getting x successes
in n trials (sample size). But now the choice of n out of N
elements is without replacement.
The ways of choosing x successes out of the total of M
successes are: m
x
N M
and n-x failures out of the total N-M failures
n x
12
The ways of choosing n elements (sample size) out of N
elements (population size) are: N
n
The probability of getting x successes in n-trials is given
by: M N M
x n x
N
n
Definition: A random variable X has a heypergeometric
distribution and it is known as a heypergeometric rv iff its
probability distribution is given by:
13
Example1: Suppose electronic component factory ships
components in lots of 100, of which 10 are defective. A
quality controller draws a sample of 5 to test. What is the
probability that two of the five are defective?
10 90
f 2;5,10,90 2 3
100
5
14
3.1.4: The Poisson distribution: Probability
of rare Events
15
Definition: A random variable X has a Poisson distribution
and it is known as a Poisson rv iff its probability distribution
is given by:
x
e , x 0,1,2 , , & 0
f x; x!
0 , elsewhere
If X is a random variable and X -poi(), then its moment
generating function is:
16
17
Applications:
Analysis of accidents.
Analysis of waiting at service giving centres.
Analysis of telephone calls per hour.
Defective parts in outgoing shipments
18
Example: A manufacturer of light bulbs knows that 2% of
his production (number of bulbs) is defective bulbs. Find
the probability that a box of 100 bulbs contains at most 3
defectives.
Let X = number of defectives in a sample of 100 bulbs
and p = 0.02
Find P(X ≤3).
19
We could also use the Poisson distribution and
approximate this result as follows:
n = 100, p = 0.02 implying np = = 2 and X = {0, 1, 2, 3}
20
21
3.2. Some Special Probability
Densities: The case of continuous
3.2.1 The uniform Continuous distribution
It is the simplest form of special probability densities.
22
Cont.
Similarly
23
24
Moment generation Function of a uniformly distributed
random variable, X, is given by:
26
The distribution is usually written as , and the
values of the two parameters are unknown. Though tedious,
it possible to indicate that for the normal distribution:
Note that: i f x 0 x R
ii f x dx 1
27
4) the two tails of the distribution extend indefinitely and
never touch the horizontal axis;
5) the shape of the distribution is determined by its Mean
(µ) and Standard Deviation (σ)
28
The shape of the normal distribution shows that
observations occur mostly in the neighbourhood of the
mean, which is equal to the median and the mode of the
distribution.
Their frequency decreases as they move away from the
mean. Approximately, 68% of the area under the curve lies
in the region [μ-σ, μ + σ], 95% in [μ-2σ, μ+2σ] and 99% in
[μ-3σ, μ+3σ]. That is, p(μ-σ, μ + σ) = 0.68; p(μ-2σ, μ+2σ) =
0.95 and p(μ-3σ, μ+3σ) = 0.99 Graphically,
29
Moment Generating Function of a Normal Random Variable
Let X N(, 2), then
30
Cont.
31
The standard normal distribution
A special case of the normal distribution is when = 0 and
2 =1. This is known as the standard normal distribution
and its density function is independent of the parameters as
follows
x2
1
f ( x) e 2
, x
2
X
Proposition: If X ~ N(μ, σ ) and2 Z
then Z ~ N(0, 1).
Prove that!!
The standard normal is symmetric around the origin and is bell
shaped.
32
Its CDF is given as
x
1 1t 2
x F z e 2 dt
2
33
Example: Let Y be the marks obtained by students in an
examination and the following probabilities are given:
P(Y 60) = 0.2 and P(Y < 40) = 0.3
Find the mean and the standard deviation of the marks.
Now
Y 60
P(Y 60) P assuming that Y ~ N ( , 2
)
60
P z Z ~ N (0,1)
60
P z =0.2
X np
Let Y
npq
Soln.
Let X = # of heads in 16=n tosses of a balanced coin.
Then,
16
P X 6 0.5 6 0.5 10
6
16!
6! x 10! 2
1
16
8008
0.1222
65536
36
P[X = 6] is approximated by the area of the normal
distribution between 5.5 and 6.5.
np = μ = 8 & σ2 = np(1-p) = 4 → σ = 2
37
The Gamma Distribution:
Definition: The function that takes the form:
38
The Moment generating Function for a
gamma random variable is:
39
40
41
Special Cases of a Gamma Distribution
i) When α = 1, the Gamma distribution boils down to the
exponential distribution (Exponential Density) given
by:
42
43