= p x (1 p) 1 x. Var (X) =p(1 p) M X (t) =1+p(e t 1).

Similar documents
ENGI 4421 Discrete Probability Distributions Page Discrete Probability Distributions [Navidi sections ; Devore sections

Limit Theorems. Convergence in Probability. Let X be the number of heads observed in n tosses. Then, E[X] = np and Var[X] = np(1-p).

4. Partial Sums and the Central Limit Theorem

4. Basic probability theory

Probability and statistics: basic terms

0, otherwise. EX = E(X 1 + X n ) = EX j = np and. Var(X j ) = np(1 p). Var(X) = Var(X X n ) =

AMS570 Lecture Notes #2

Lecture 7: Properties of Random Samples

To make comparisons for two populations, consider whether the samples are independent or dependent.

NOTES ON DISTRIBUTIONS

Topic 9: Sampling Distributions of Estimators

Topic 9: Sampling Distributions of Estimators

IE 230 Seat # Name < KEY > Please read these directions. Closed book and notes. 60 minutes.

Econ 325/327 Notes on Sample Mean, Sample Proportion, Central Limit Theorem, Chi-square Distribution, Student s t distribution 1.

Probability and Statistics

Topic 9: Sampling Distributions of Estimators

MIT Spring 2016

f X (12) = Pr(X = 12) = Pr({(6, 6)}) = 1/36

IE 230 Probability & Statistics in Engineering I. Closed book and notes. No calculators. 120 minutes.

EE 4TM4: Digital Communications II Probability Theory

Introduction to Extreme Value Theory Laurens de Haan, ISM Japan, Erasmus University Rotterdam, NL University of Lisbon, PT

This section is optional.

Basics of Inference. Lecture 21: Bayesian Inference. Review - Example - Defective Parts, cont. Review - Example - Defective Parts

AMS 216 Stochastic Differential Equations Lecture 02 Copyright by Hongyun Wang, UCSC ( ( )) 2 = E X 2 ( ( )) 2

HOMEWORK I: PREREQUISITES FROM MATH 727

Parameter, Statistic and Random Samples

Some discrete distribution

It is always the case that unions, intersections, complements, and set differences are preserved by the inverse image of a function.

Approximations and more PMFs and PDFs

( ) = is larger than. the variance of X V

Hypothesis Testing. H 0 : θ 1 1. H a : θ 1 1 (but > 0... required in distribution) Simple Hypothesis - only checks 1 value

IIT JAM Mathematical Statistics (MS) 2006 SECTION A

Chapter 2 Transformations and Expectations

Statisticians use the word population to refer the total number of (potential) observations under consideration

Generalized Semi- Markov Processes (GSMP)

Extreme Value Theory in Civil Engineering

Stat 200C HW 1 Solution (typeset and submitted by Hao Ho)

f X (12) = Pr(X = 12) = Pr({(6, 6)}) = 1/36

Modeling and Performance Analysis with Discrete-Event Simulation

Mathematical Statistics - MS

Lecture 2: Poisson Sta*s*cs Probability Density Func*ons Expecta*on and Variance Es*mators

tests 17.1 Simple versus compound

Topic 5 [434 marks] (i) Find the range of values of n for which. (ii) Write down the value of x dx in terms of n, when it does exist.

[ ] ( ) ( ) [ ] ( ) 1 [ ] [ ] Sums of Random Variables Y = a 1 X 1 + a 2 X 2 + +a n X n The expected value of Y is:

Appendix A: Mathematical Formulae and Statistical Tables

Closed book and notes. No calculators. 60 minutes, but essentially unlimited time.

Learning Theory: Lecture Notes

Random Variables, Sampling and Estimation

CH.25 Discrete Random Variables

2.1. Convergence in distribution and characteristic functions.

Distribution of Random Samples & Limit theorems

Lecture 6: Coupon Collector s problem

John H. J. Einmahl Tilburg University, NL. Juan Juan Cai Tilburg University, NL

Chapter 6 Principles of Data Reduction

The beta density, Bayes, Laplace, and Pólya

Discrete probability distributions

Introduction to Probability. Ariel Yadin

Discrete Probability Functions

Module 1 Fundamentals in statistics

CEE 522 Autumn Uncertainty Concepts for Geotechnical Engineering

Unit 6: Sequences and Series

ECE534, Spring 2018: Final Exam

Confidence Intervals

B Supplemental Notes 2 Hypergeometric, Binomial, Poisson and Multinomial Random Variables and Borel Sets

Statistical Theory; Why is the Gaussian Distribution so popular?

Empirical Distributions

STAT 515 fa 2016 Lec Sampling distribution of the mean, part 2 (central limit theorem)

Lecture 5. Random variable and distribution of probability

Lecture Chapter 6: Convergence of Random Sequences

Chapter 6: BINOMIAL PROBABILITIES

Lecture 19: Convergence

STAT 516 Answers Homework 6 April 2, 2008 Solutions by Mark Daniel Ward PROBLEMS

Discrete Mathematics and Probability Theory Summer 2014 James Cook Note 15

Handout #5. Discrete Random Variables and Probability Distributions

ECE534, Spring 2018: Solutions for Problem Set #2

Probability 2 - Notes 10. Lemma. If X is a random variable and g(x) 0 for all x in the support of f X, then P(g(X) 1) E[g(X)].

Discrete Random Variables and Probability Distributions. Random Variables. Discrete Models

Stat 319 Theory of Statistics (2) Exercises

Binomial Distribution

Discrete Mathematics and Probability Theory Spring 2016 Rao and Walrand Note 19

Notation List. For Cambridge International Mathematics Qualifications. For use from 2020

7.1 Convergence of sequences of random variables

Mathematics 170B Selected HW Solutions.

Chapter 2 The Monte Carlo Method

Lecture 18: Sampling distributions


Distribution of Sample Proportions

The variance of a sum of independent variables is the sum of their variances, since covariances are zero. Therefore. V (xi )= n n 2 σ2 = σ2.

STAT Homework 1 - Solutions

The Sampling Distribution of the Maximum. Likelihood Estimators for the Parameters of. Beta-Binomial Distribution

Chapter 6 Sampling Distributions

Lecture 2: Monte Carlo Simulation

Large Sample Theory. Convergence. Central Limit Theorems Asymptotic Distribution Delta Method. Convergence in Probability Convergence in Distribution

MATH 320: Probability and Statistics 9. Estimation and Testing of Parameters. Readings: Pruim, Chapter 4

Lecture 12: November 13, 2018

Test of Statistics - Prof. M. Romanazzi

CH5. Discrete Probability Distributions

Lecture 4. Random variable and distribution of probability

Introduction to probability Stochastic Process Queuing systems. TELE4642: Week2

Lecture 6 Chi Square Distribution (χ 2 ) and Least Squares Fitting

Transcription:

Prob. fuctio:, =1 () = 1, =0 = (1 ) 1 E(X) = Var (X) =(1 ) M X (t) =1+(e t 1). 1.1.2 Biomial distributio Parameter: 0 1; >0; MGF: M X (t) ={1+(e t 1)}. Cosider a sequece of ideedet Ber() trials. If X = total umber of successes, the X B(, ). Probability fuctio: () = (1 ) Note: If Y 1,...,Y are uderlyig Beroulli RV s the X = Y 1 + Y 2 + + Y. (same as coutig the umber of successes). Probability fuctio if: () 0, () =1. =0 =0, 1,...,, 1.1.3 Geometric distributio This is a discrete waitig time distributio. Suose a sequece of ideedet Beroulli trials is erformed ad let X be the umber of failures recedig the first success. The X Geom(), with () =(1 ), =0, 1, 2,... 3

1.1.4 Negative Biomial distributio Suose a sequece of ideedet Beroulli trials is coducted. If X is the umber of failures recedig the th success, the X has a egative biomial distributio. Probability fuctio: () = + 1 1 (1 ), ways of allocatig failures ad successes (1 ) E(X) =, (1 ) Var (X) =, 2 M X (t) =. 1 e t (1 ) 1. If = 1, we obtai the geometric distributio. 2. Also see to arise as sum of ideedet geometric variables. 1.1.5 Poisso distributio Parameter: rate λ > 0 MGF: M X (t) =e λ(et 1) Probability fuctio: () = e λ λ, =0, 1, 2,...! 1. The Poisso distributio arises as the distributio for the umber of oit evets observed from a Poisso rocess. Eamles: Figure 1: Poisso Eamle Number of icomig calls to certai echage i a give hour. 4

2. The Poisso distributio also arises as the limitig form of the biomial distributio:, 0 λ The derivatio of the Poisso distributio (via the biomial) is uderied by a Poisso rocess i.e., a oit rocess o [0, ); see Figure 1. AXIOMS for a Poisso rocess of rate λ > 0 are: (A) The umber of occurreces i disjoit itervals are ideedet. (B) Probability of 1 or more occurreces i ay sub-iterval [t, t+h) is λh+o(h) 0) (aro rob. is equal to legth of iterval λ). (h (C) Probability of more tha oe occurrece i [t, t + h) is o(h) is small, egligible). (h 0) (i.e. rob Note: o(h), roouced (small order h) is stadard otatio for ay fuctio r(h) with the roerty: r(h) lim h 0 h =0 "! % # $!%!# $ # % &!#!% Figure 2: Small order h: fuctios h 4 (yes) ad h (o) 5

1.1.6 Hyergeometric distributio Cosider a ur cotaiig M black ad N white balls. Suose balls are samled radomly without relacemet ad let X be the umber of black balls chose. The X has a hyergeometric distributio. Parameters: M,N > 0, 0 < M + N Possible values: ma (0, N) mi (, M) Prob fuctio: M N () = M + N, E(X) = M M + N, + N MN Var (X) =M M + N 1 (M + N). 2 The mgf eists, but there is o useful eressio available. 1. The hyergeometric distributio is simly # samles with black balls, # ossible samles M N = M + N. 2. To see how the limits arise, observe we must have (i.e., o more tha samle size of black balls i the samle.) Also, M, i.e., mi (, M). Similarly, we must have 0 (i.e., caot have < 0 black balls i samle), ad N (i.e., caot have more white balls tha umber i ur). i.e. N i.e. ma (0, N). 3. If we samle with relacemet, we would get X B, = M M+N. It is iterestig to comare momets: 6

fiite oulatio correctio hyergeometric E(X) = Var (X) = M+N [(1 )] M+N 1 biomial E() = Var (X) = (1 ) whe samle all balls i ur Var(X) 0 4. Whe M, N >>, the differece betwee samlig with ad without relacemet should be small. Figure 3: = 1 3 If white ball out Figure 4: = 1 2 (without relacemet) Figure 5: = 1 3 (with relacemet) Ituitively, this imlies that for M,N >>, the hyergeometric ad biomial robabilities should be very similar, ad this ca be verified for fied,, : lim M,N M M + N 0 @ N 0 10 A@ M @ M + N 1 A 1 A = (1 ). 7

1.2 Cotiuous Distributios 1.2.1 Uiform Distributio CDF, fora<<b: that is, F () = f() d = a 0 a 1 b a d = a b a, a F () = b a a<<b 1 b Figure 6: Uiform distributio CDF M X (t) = etb e ta t(b a) A secial case is the U(0, 1) distributio: 1 0 <<1 f() = 0 otherwise, F () = for 0 <<1, E(X) = 1 2, Var(X) = 1 12, M(t) 1 =et. t 8

1.2.2 Eoetial Distributio CDF: F () = 1 e λ, M X (t) = λ, λ > 0, 0. λ t This is the distributio for the waitig time util the first occurrece i a Poisso rocess with rate arameter λ > 0. 1. If X E(λ) the, P (X t + X t) =P (X ) (memoryless roerty) 2. It ca be obtaied as limitig form of geometric distributio. 1.2.3 Gamma distributio with f() = λalha Γ(α α 1 e λ, α > 0, λ > 0, 0 gamma fuctio : Γ(α) = 0 t α 1 e t dt α λ mgf : M X (t) =,t<λ. λ t Suose Y 1,...,Y K are ideedet E(λ) radom variables ad let X = Y 1 + +Y K. The X Gamma(K, λ), for K iteger. I geeral, X Gamma(α, λ), α > 0. 1. α is the shae arameter, λ is the scale arameter Note: if Y Gamma (α, 1) ad X = Y, the X Gamma (α, λ). That is, λ is λ scale arameter. 9

Figure 7: Gamma Distributio 2. Gamma 2, 1 distributio is also called χ 2 (chi-square with df) distributio 2 if is iteger; χ 2 2 = eoetial distributio (for 2 df). 3. Gamma (K, λ) distributio ca be iterreted as the waitig time util the K th occurrece i a Poisso rocess. 1.2.4 Beta desity fuctio Suose Y 1 Gamma (α, λ),y 2 Gamma (β, λ) ideedetly, the, Remark: see soo for derivatio! X = Y 1 Y 1 + Y 2 B(α, β), 0 1. 1.2.5 Normal distributio X N(µ, σ 2 ); M X (t) =e tµ e t2 σ 2 /2. 1.2.6 Stadard Cauchy distributio Possible values: PDF: f() = 1 π R 1 ; (locatio arameter θ = 0) 1+ 2 CDF: F () = 1 2 + 1 π arcta E(X), Var(X),M X (t) do ot eist. 10

Figure 8: Beta Distributio the Cauchy is a bell-shaed distributio symmetric about zero for which o momets are defied. Figure 9: Cauchy Distributio (Poitier tha ormal distributio ad tails go to zero much slower tha ormal distributio.) If Z 1 N(0, 1) ad Z 2 N(0, 1) ideedetly, the X = Z 1 Z 2 Cauchy distributio. 11