Lecture - 20

Beta Distribution :

The probability density function of the beta distribution, for 0 x 1, and

shape parameters > 0 and > 0, as follows:

f (x; , ) = constant x1 (1 x)1

= R1
0

x1 (1 x)1

u1 (1 u)1 du

( + ) 1
x
(1 x)1
()()

1
x1 (1 x)1
B(, )

() is gamma function.
Properties:

E(X) =

(1)

 V (X) =

(+)2 (++1)

Gamma Distribution:

f (x; 1 , 1 ) = (1 )1

1
x1 1 e1 x
(1 )

for x 0and1 , 1 > 0

(2)

Properties:

E(X) =

1
1

V (X) =

1 1
(1 +1 )2 (1 +1 +1)

Cumulative Distribution Function :

Cumulative density function are already discussed in previous lectures.

Important Statement:

X is continuous iff F (X) is continuous.

X is discrete iff F (X) is discrete.
X is mixture of continuous and discrete random variable, F (X) is
mixture of continuous and discrete random variable.

Definition 3.1 F (x) is said to be a cumulative distribution function for a

Rx
continuous random variable X iff F (x) = f (y)dy.
2

Definition 3.2 F (x) is said to be a cumulative distribution function for a

X
P (X = y).
discrete random variable X iff F (x) =
y|yx

Example 3.3 P (X = 1) = 1. What is F (X) ?

F (x) =

0 x<1
1 x1

Example 3.4 A coin is tossed and a head will occur with probability p.
Find out the distribution function.

Suppose X = 1 if head occurs and X = 0 if tail occurs. Then P (X =

0) = (1 p) and P (X = 1) = p

0
F (x) = (1 p)

if x < 0
if 0 x < 1
if x 1

For standard normal distribution,

F (x) = (x) =

z2
1
e 2 dz
2

For exponential distribution, we can obtained,

(
0
x0
F (x) =
x
(1 e ) x > 0
Properties:
3

1. F () = 0
Proof: Suppose as n , bn , therefore Bn = (, bn ] tends
to , Using continuity theorem,
F () = lim P (X bn ) = P ( lim Bn ) = P (X < ) = 0
n

2. F () = 0
Proof: Suppose, An = {X bn },

n 1, are increasing events whose

union is the event X < . Therefore using continuity theorem,

lim P (X bn ) = P ( lim An ) = P (X < ) = 1

3. F () is non-decreasing random variable.

Proof: If a < b. The event X a is contained in the event X b
and so can not have a larger probability. P (X a) P (X b) or
F (a) F (b).
4. F () is right-continuous.
We need to prove limn F (x + n1 ) = F (x).
Mn = (, x +

1
n]

is decreasing sequence of sets converges to the

intersection of such sets which is equals to (, x].

Therefore, by continuity theorem, limn P (X x+ n1 ) = limn F (x+
1
n)

= P (limn Mn ) = P ( < X x) = F (x)