Chapter 5 Probability Densities

Transcription

1 Chapter 5 Probability Densities 1 Defn: The probability distribution of a random variable X is the set A, PA : A. (Note: This definition is not quite correct. There are some subsets of for which the probability cannot be defined. However, any event A that is of practical interest will have an associated P(A).) Under certain simple conditions, we may describe the distribution for a continuous random variable using a probability density function. Defn: If the distribution of a continuous random variable has a probability density function, f(x), then for any interval (a, b), we Pa X b have f x b a dx. The probability density function (p.d.f.) has the following properties, which follow from Kolmogorov s Axioms: 1) x 0 f everywhere; ) xdx 1 f. Note: If X is a continuous r.v., then X x 0 (Think about this.) Note: As a result, we have P P for any x. a X b Pa X b Pa X b Pa X b.

2 Examples: pp Defn: The cumulative distribution function (or c.d.f.) for a continuous r.v. X is given by Fx PX x f t dt x, for all x. If the distribution does not have a p.d.f., we may still define the c.d.f. for any x as the probability that X takes on a value no greater than x. Note: The c.d.f. for the distribution of a r.v. is unique, and completely describes the distribution. Examples: pp Mean and Variance Defn: Let X be a discrete random variable with p.m.f. f(x). We define the k th moment about the origin to be ( ) We also define the k th central moment (or the k th moment about the mean) as ( ) ( ) The first moment about the origin is just the mean of the distribution. The second central moment is the variance of the distribution. Third moments are related to the skewness of the distribution.

3 Defn: The mean, or expected value, or expectation, of a continuous r.v. X with p.d.f. f(x) is given by EX xf xdx. Note: We interpret the mean in terms of relative frequency. If we were to repeated take a measurement of the random variable X, recording all of our measurements, and calculating the average after each measurement, the value of the average would approach a limit as we continued to take measurements, and this limit is the expectation of X. Defn: Let X be a continuous r.v. with p.d.f. f(x), and mean. The variance of X, or the variance of the distribution of X, is given by V x f xdx X E X X is just the square root of the variance.. The standard deviation of Note: In practice, it is easier to use the computational formula for the variance, rather than the defining formula: X x f xdx E. Use of this formula, rather than the defining formula, often prevents errors in calculations. Example: p. 14, Exercise

4 The Normal Distribution 4 The normal distribution is a special type of bell-shaped curve. Defn: A random variable X is said to be normally distributed or to have a normal distribution if its p.d.f has the form x x 1 f e, for - < x <, - < <, and > 0. Here and are the parameters of the distribution; = the mean of the random variable X (or of the distribution of X); and = the standard deviation of X (or of the distribution of X). Note: The normal distribution is not just a single distribution, but rather a family of distributions; each member of the family is characterized by a particular pair of values of and. For shorthand, we will write X ~ Normal(µ, σ) to mean that the continuous random variable X has a normal distribution with mean µ and standard deviation σ. The graph of the p.d.f. has the following characteristics: 1) It is a bell-shaped curve; ) It is symmetric about ; 3) The inflection points are at - and + ; 4) It is unimodal; 5) It is continuous on the whole real line. The normal distribution is very important in statistics for the following reasons:

5 1) Many phenomena occurring in nature or in industry have normal, or approximately normal, distributions. 5 Examples: a) heights of people in the general population of adults; b) for a particular species of pine tree in a forest, the trunk diameter at a point 3 feet above the ground; c) fill weights of 1-oz. cans of Pepsi-Cola; d) IQ scores in the general population of adults; e) diameters of metal shafts used in disk drive units. ) Under general conditions (independence of members of a sample and finiteness of the population variance), the possible values of the sample mean for samples of a given (large) size have an approximate normal distribution (Central Limit Theorem, to be covered later). The Empirical Rule: For the normal distribution, 1) The probability that X will be found to have a value in the interval ( -, + ) is approximately 0.687; ) The probability that X will be found to have a value in the interval ( -, + ) is approximately ; 3) The probability that X will be found to have a value in the interval ( - 3, + 3) is approximately Unfortunately, the p.d.f. of the normal distribution does not have a closed-form anti-derivative. Probabilities must be calculated using numerical integration methods. This difficulty is the reason for the importance of a particular member of the family of normal distributions, the standard normal distribution, which has p.d.f.

6 6 f 1 z e z, for z. The c.d.f. of the standard normal distribution will be denoted by z w 1 z PZ z e dw. Values of this function have been tabulated in the front cover of your textbook. Alternatively, we may use the TI-83/TI-84 calculator to find normal probabilities. To find a normal probability using the TI-84 calculator: 1) Choose nd, DISTR, normalcdf. ) The calculator then needs four pieces of information: the lefthand endpoint of the interval of interest (if the left-hand endpoint is -, then use 10 standard deviations below the mean), the right-hand endpoint of the interval of interest (if the right-hand endpoint is +, then use 10 standard deviations above the mean), the mean of the distribution, and the standard deviation of the distribution. Hit ENTER. The probability will appear. Examples: p. 133, Exercise 5.19 a) To find the probability using Excel, ( ) ( ) p. 134, Exercise 5.7. p. 134, Exercise 5.9. The reason that the standard normal distribution is so important is that, if X ~ Normal(, ), then Z X ~ Normal(0, 1).

7 As a result, we find normal probabilities by using the standard normal distribution as follows: 7 Assume that X ~ Normal(µ, σ) Then for any real numbers a b, we have ( ) ( ) ( ) Since we have the TI-83/TI-84 calculator and the NORM.DIST function of Excel, however, this procedure is usually unnecessary. In statistical inference, we will have occasion to reverse the above procedure. Rather than finding the probability associated with a given interval, we will want to find the end point of an interval corresponding to a given tail probability for a standard normal distribution. I.e., we will want to find percentiles of the standard normal distribution, by inverting the distribution function (z). Example: p. 18, (a) Examples: a) Find the 90 th percentile of the standard normal distribution. b) Find the 95 th percentile of the standard normal distribution. c) Find the 97.5 th percentile of the standard normal distribution. Note: It was stated in the definition that the two parameters µ and σ are the mean and standard deviation, respectively, of the normal distribution. This actually requires some proof. Although the p.d.f. cannot be integrated in closed form, the mean and variance may easily be found by integration.

8 8 The Normal Approximation to the Binomial Distribution When the number of trials in our binomial experiment is relatively large, and the success probability, p, is close to 0.50, then we may approximate the binomial probabilities for intervals of values using the normal distribution. Theorem 5.1: If X is a random variable having a binomial distribution with the parameters n and p, the limiting form of the distribution function of the standardized random variable ( ) as n +, is given by the standard normal distribution ( ) Note: In practice, we correct for the fact that the binomial distribution is discrete, while the normal distribution is continuous. The correction for continuity is as follows: i) If we want to find ( ) we calculate ( ( ) ) ii) If we want to find ( ) we calculate ( ( ) ) Example: p. 13.

9 The Uniform Distribution 9 Consider a continuous r.v. X whose distribution has p.d.f. x f 1 b a, for a x b, and f x 0, otherwise. We say that X has a uniform distribution on the interval (a, b), abbreviated X ~ Uniform(a, b). If we take a measurement of X, we are equally likely to obtain any value within the interval. Hence, for some subinterval c, d a, b, we have d 1 d c P c x d dx b a b a. c The mean of the uniform distribution is interval (a, b). the midpoint of the The variance is ( ) and the standard deviation is b a. 3 Note: The longer the interval (a, b), the larger the values of the variance and standard deviation. Note: The uniform distribution on (0,1) is used as the basis for any random number generator. Example: p. 144, Exercise Lognormal Distribution Defn: We say that a continuous r.v. X has a lognormal distribution with parameters and if the natural logarithm of X has a normal distribution. The p.d.f. of X is

10 f x and 0 x 1 ln exp x, for 0 < x <, f x, for x 0. The mean and variance of X are 1 EX e and V X e e 1. These may easily be seen by using a change of variable and the results for the mean and variance of the normal distribution. The parameters and are the mean and variance of the r.v. W = ln(x). We write X ~ lognormal(, ) to denote that X has a lognormal distribution with parameters and. Note: The c.d.f. for X is given by ln x ln x F X P X x PW ln x P Z, for x > 0, and F(X) = 0, for x 0. Hence, we may find probabilities associated with X by using Table 1 in Appendix A. Note: This distribution is often applied to model the lifetimes of systems that degrade over time. Example: p Gamma Distribution Defn: The gamma function is defined by the integral 1 t t e dt, for α >

11 It may be shown using integration by parts that 1 1. Hence, in particular, if α is a positive 0.5. integer, 1!. We also have 11 Defn: A continuous r.v. X is said to have a gamma distribution with parameters α > 0 and β > 0 if the p.d.f. of X is 1 1 x/ f x x e, for x 0, and f(x) = 0, for x < 0. The mean and variance of X are given by EX and V X. We write X ~ Gamma(α, β) to denote that X has a gamma distribution with parameters α and β. It may be easily shown that the integral of the gamma p.d.f. over the interval (0, +) is 1, using the definition of the gamma function. The gamma distribution is very important in statistical inference, both in its own right and because it is the basis for constructing some other distributions useful in inference. For example, the signal-to-noise ratio statistic that we will use in analyzing the results of scientific experiments is based on a ratio of random variables which have gamma distributions of a particular form. The graphs of some gamma p.d.f. s are shown on p We may find probabilities associated with gamma distributions using the GAMMA.DIST function of Excel. Example: Suppose that he time spent by a randomly selected student who uses a terminal connected to a local time-sharing

12 computer facility has a gamma distribution with a mean of 0 min. and a variance of 80 min. a) What are the values of α and β? b) What is the probability that the student uses the terminal for at most 4 min.? c) What is the probability that the student spends between 0 and 40 minutes using the terminal? Defn: A continuous r.v. X is said to have a chi-square distribution with k degrees of freedom if X ~ gamma(k, 0.5). The chi-square distribution is important in the analysis of data from scientific experiments. The signal-to-noise ratio that is used to decide whether the experimental treatments had differing effects is proportional to a ratio of two random variables, each of which has a chi-square distribution. Defn: A continuous r.v. X is said to have an exponential distribution with mean β if its p.d.f. is given by 1 ( ) { Examples: p Weibull Distribution Defn: A continuous r.v. X is said to have a Weibull distribution with parameters α > 0 and > 0 if the p.d.f. of X is

13 f x x 1 exp x f x 0, for x 0. ( ), for x > 0, and 13 The mean and variance of X are 1/ 1 EX 1 and / 1 V X 1 1. We write X ~ Weibull(α,β). The c.d.f. for a Weibull(α, ) distribution is given by F x 1 exp x, for x > 0, and F(x) = 0, for x 0. The Weibull distribution is used to model the reliability of many different types of physical systems. Different combinations of values of the two parameters lead to models with either a) increasing failure rates over time, b) decreasing failure rates over time, or c) constant failure rates over time. Example: In the paper, Snapshot: a plot showing program through a device development laboratory (D. Lambert, J. Landwehr, and M. Shyu, Statistical Case Studies for Industrial Process Improvement, ASA-SIAM 1997), the authors suggest using a Weibull distribution to model the length of a baking step in the manufacture of a semiconductor. Let T represent the length (in hours) of the baking step for a randomly chosen lot of semiconductor. Then T ~ Weibull(α = 0.3, β = 0.1). What is the probability that the baking step takes at least 4 hours?

14 We want to find ( ) ( ) We use the Weibull c.d.f. to find this probability. Checking to See Whether the Data Are Normal A simple way to assess the fit of a particular probability distribution to a data set is to superimpose the p.d.f. of the distribution on a relative frequency histogram of the data. A better method uses a graph which plots quantiles of the proposed distribution against the corresponding quantiles of the data set. Defn: The p th quantile of a data set is the smallest number such that the fraction of the data values less than that number is p. Defn: The p th quantile of the distribution of a continuous r.v. X is the smallest number x such that F(x) = p. Defn: For a random sample of size n, consisting of observed values x 1, x,, x n, the i th order statistic is the i th data value when the data values are ordered from smallest to largest. The cumulative relative frequency associated with the i th order i 0.5 statistic is. n The general procedure for constructing a probability plot (or a quantile-quantile plot) is as follows: 1) Sort the data in ascending order. ) For the sample size n, calculate the cumulative relative frequencies. 3) Invert the assumed distribution function to find the quantiles associated with the cumulative relative frequencies. 14

15 4) Do a scatterplot of the order statistics of the data v. the quantiles of the distribution. 15 Constructing a normal probability plot If we have a set of data consisting of observed values x 1, x,, x n, and we want to decide whether it is reasonable to assume that the data were sampled from a normal distribution, we proceed as follows: 1) Sort the data from smallest to largest, yielding the order statistics x (1), x (),, x (n). ) Calculate the standardized normal scores z i 0.5 n 1 () i, for each i = 1,,, n, using the standard normal table or using the NORMINV function in Excel, or using the invnorm function of the TI-83/TI-84 calculator. 3) Plot the order statistics of the data set against the corresponding standardized normal scores on regular graph paper. If the plotted points lie near a straight line, then it is reasonable to assume that the data were sampled from a normal distribution. Example: Handout