Probability Distributions

1.

Probability distributions

2.

Discrete probability distributions

3.

Continuous probability distributions

4.

Multidimensional probability distributions

Probability Distributions

Random (stochastic) variables

Experimental measurements are not reproducible in a
deterministic fashion
Each measurement can be viewed a random variable X
Defined on sample space S of an experiment

Probability distribution
Determines probability of particular events
Discrete distributions: random variables are discrete
quantities
Continuous distributions: random variables are
continuous quantities

Cumulative probability distribution function F(x)

F ( x) P ( X x) P (a X b) F (b) F (a )

Discrete Probability Distributions

Random variable X can only assume countably many

discrete values: x1, x2, x3,
Probability density function f(x)

p j P( X x j ) if x x j
f ( x)
0
otherwise

Cumulative distribution function

F ( x)

f (x ) p

x j x

x j x

Properties
P (a X b) F (b) F (a )

p
j

a x j b
j

Discrete Distribution Example

Matlab function: unicdf(x,n),

>> x = (0:6);
>> y = unidcdf(x,6);
>> stairs(x,y)

Continuous Probability Distributions

Random variable X can assume infinitely many real values

Cumulative distribution function

x

F ( x) f (v)dv

Probability density function

dF ( x)
f ( x)
dx

Properties
b

P(a X b) F (b) F (a ) f (v)dv

f (v)dv 1

Continuous Distribution Example

Probability density function

0.75(1 x 2 ) 1 x 1
f ( x)
0
otherwise

f (v)dv 0.75(1 v 2 )dv 1

1

Cumulative distribution function

x

F ( x) f (v)dv 0.75(1 v 2 )dv 0.5 0.75 x 0.25 x 3

F ( x)

x 1
1 x 1
x 1

0
0.5 0.75 x 0.25 x 3
1

Probability of events
P (0.5 x 0.5) F (0.5) F (0.5)

0.5

0.5

0.75(1 v 2 )dv 68.75%

P ( X x) F ( x) 0.95 0.5 0.75 x 0.25 x 3 x 0.73

Mean and Variance

Discrete distribution
x j f (x j )

Mean

Variance 2 ( x j ) 2 f ( x j )
j

Continuous distribution
Mean

xf ( x)dx

Variance 2 ( x ) 2 f ( x)dx

Symmetric distribution

If f(c-x) = f(c+x), then f(x) is symmetric with respect to = c

Transformation of mean and variance

Given random variable X with mean and variance 2

The standardized random variable Z has zero mean and unity variance

Expectations and Moments

Moments for continuous distributions

xf ( x)dx E ( X ) ( x ) 2 f ( x)dx E ([ X ]2 )
2

E ( X ) x k f ( x)dx

kth moment

E ([ X ]k ) ( x ) k f ( x)dx

kth central moment

Continuous distribution example

0.75(1 x 2 ) 1 x 1
f ( x)
0
otherwise

E ( X ) 0.75 x(1 x )dx (0.75) x (0.75) x

1

1
1

1
2

1
4

4 1
1

E ([ X ] ) ( x 0) 0.75(1 x )dx (0.75) x (0.75) x

2

1
3

1
5

5 1
1

0.2

Binomial Distribution

Governs randomness in games of chance, quality

inspections, opinion polls, etc.
X = {0,1,2,,n} = number of times event A occurs in n
independent trials

P ( X A) p P ( X A) q 1 p

Probability of obtaining A exactly x times in n trials

n
n x n x
n 1
n!
1
1
f ( x) p q
p q 2 f ( x)

x!(n x)! 2
x
x 2

np 2 npq

Mean and variance:

>> binopdf(x,n,p) binomial probability
>> binopdf(0,200,0.02) ans = 0.0176
>> binocdf(x,n,p) binomial cumulative probability
>> 1 - binocdf(100,162,0.5) ans = 0.0010

Poisson Distribution

Infinitely many possible events

Probability distribution function

x
f ( x)
e
x!

x 0,1,2,

Limit of binomial distribution as

p 0 n np constant

Mean and variance: 2 =

Example

Probability of a defective screw p = 0.01

Probability of more than 2 defects in a lot of 100 screws?
Binomial distribution: = np = (100)(0.01) = 1
Since p <<1, can use Poisson distribution to approximate solution
x

j
0
1
2
P ( X 2) F ( 2) f ( x j )
e e 1 10! 11! 12! 0.9197
j 0
j 0 x j !
P ( X 2) 1 P ( X 2) 8.03%
2

Matlab functions: poisspdf(x,mu), poisscdf(x,mu)

Matlab: Poisson-Binomial Comparison

Screw example (p=0.01, n=100)

for less than 05 defective screws
>> x = (0:5);
>> y = poisscdf(x,1);
>> z = binocdf(x,100,0.01)

Number
0
1
2
3
4
5

Binomial Poisson
0.366032 0.367879
0.735762 0.735759
0.920627 0.919699
0.981626 0.981012
0.996568 0.99634
0.999465 0.999406

Compare Poisson to Binomial with equal , different p and n

1
0.9
0.8
0.7

Binomial n = 50, p = .02

Binomial n = 20, p = .05
Binomial n = 10, p = .1
Binomial n = 5, p = .2
Poisson mu=1

0.6
0.5
0.4

0.5

1.5

2.5

3.5

4.5

Normal (Gaussian) Distribution

Probability density function

1 x
1
f ( x)
exp

2
2

f ( x)dx 1

Cumulative distribution function

1
F ( x)
2

1 v

dv
2

exp

Standardized normal distribution ( = 0, = 1)

1
( z )
2

2
2

du

F ( x )

Computing Probabilities

Interval probabilities
b
a

P(a X b) F (b) F (a )

Sigma limits

P( X ) 68%
P ( 2 X 2 ) 95.5%
P( 3 X 3 ) 99.7%

Example
X is a random variable with and 2 = 4
Use Table A7 in text
2.44 0.8
P ( X 2.44) F ( 2.44)
(0.82) 0.7939 79%
2

Matlab: Normal Distribution

Normal distribution: normpdf(x,mu,sigma)

normpdf(8,10,2) ans = 0.1210
normpdf(9,10,2) ans = 0.1760
normpdf(8,10,4) ans = 0.0880

Normal cumulative distribution:

normcdf(x,mu,sigma)
normcdf(8,10,2) ans = 0.1587
normcdf(12,10,2) ans = 0.8413

Inverse normal cumulative distribution:

norminv(p,mu,sigma)
norminv([0.025 0.975],10,2) ans = 6.0801 13.9199

Random number from normal distribution:

normrnd(mu,sigma,v)
normrnd(10,2,[1 5]) ans = 9.1349
10.5754 7.7071

6.6688 10.2507

Matlab: Normal Distribution Example

The temperature of a bioreactor follows a

normal distribution with an average temperature
of 30oC and a standard deviation of 1oC. What
percentage of the reactor operating time will the
temperature be within +/-0.5oC of the average?
Calculate probability at 29.5oC and 30.5oC, then
calculate the difference:
0.4

p=normcdf([29.5 30.5],30,1)
p = [0.3085 0.6915]
p(2) p(1)
0.3829

0.3
0.2
0.1
0
25

26

27

28

29

30

31

Temperature

The reactor temperature will be within +/- 0.5oC

of the average ~68% of the operating time

32

33

34

35

Multidimensional Probability Distributions

Consider two random variable X and Y

Two-dimensional cumulative distribution function

F ( x , y ) P ( X x, Y y )

Discrete distributions
F ( x, y ) f ( xi , y j )
xi x y j y

f ( x , y ) 1
i

Continuous distribution
F ( x, y )

Y b )

f ( x*, y*)dx * dy *

P(a1 X b1 , a2

b2 b1
a 2 a1

f ( x*, y*)dx * dy* 1

f ( x, y )dxdy

Marginal distributions
Discrete

f1 ( x) P ( X x, Y arbitrary) f ( x, y j )
j

Continuous

f1 ( x) f ( x, y )dy

Independent Random Variables

Basic property
F ( x, y ) F1 ( x) F2 ( y )

f ( x, y ) f1 ( x) f 2 ( y )

Addition and multiplication of means

General

E( X1 X 2 X n ) E( X1) E( X 2 ) E( X n )

Independent variables only

E ( X 1 X 2 X n ) E ( X 1 ) E ( X 2 ) E ( X n )

Addition of variance

X : {1 , 1} Y : { 2 , 2 } X Y Z : { , }

E ( X Y ) E ( X ) E (Y ) 1 2
2 12` 22` 2 XY

Covariance
XY E ( XY ) E ( X ) E (Y )
E ( XY ) E ( X ) E (Y )
Independent variables
2 12 22