Distribuies de Probabilidade

Alfredo D. Egdio dos Reis

ISEG, Abril de 1999

Contedo
1 Distribuies Discretas 1
1.1 Bernoulli (p) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 Binomial (n, p) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.3 Binomial Negativa (k, p) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.4 Geomtrica(p) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.5 Hipergeomtrica(m, n, k) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.6 Poisson () . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.7 Uniforme discreta (n) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2

2 Distribuies Contnuas 2
2.1 Beta (, ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
2.2 Cauchy (, ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
2.3 Exponencial () . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
2.3.1 Combinao de Exponenciais . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
2.4 Exponencial Dupla ou de Laplace (, ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
2.5 F -Snedcor, F (m, n) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
2.6 Gama (, ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
2.7 Logstica (, ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
2.8 Gaussiana inversa (, ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
2.9 Lognormal (, 2 ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
2.10 Normal (, ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
2.11 Pareto (, ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
2.12 Pareto Generalizada (, , ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
2.13 Qui-Quadrado 2 (n) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
2.14 t-Student, t(n) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
2.15 Uniforme (a, b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
2.16 Weibull (, ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8

i
1 Distribuies Discretas
1.1 Bernoulli (p)
f (x) = P r(X = x) = px (1 p)1x , x = 0, 1 (0 < p < 1)
E[X] = p, V [X] = p(1 p), E[etX ] = (1 p) + pet
Notas: Bernoulli(p) Binomial(1; p)

1.2 Binomial (n, p)

n
f (x) = px (1 p)nx , x = 0, 1, 2, , n (0 < p < 1; n = 1, 2, )
x
n
E[X] = np, V [X] = np(1 p), E[etX ] = pet + 1 p
Notas: Binomial(1; p) Bernoulli(p)

1.3 Binomial Negativa (k, p)

k+x1
f (x) = pk (1 p)x , x = 0, 1, 2, (k = 1, 2, , 0 < p < 1
x
k
k(1 p) k(1 p) p
E[X] = V [X] = E[etX ] = , t < log(1 p)
p p2 1 (1 p)et
Notas: BN(1, p)Geomtrica(p)

1.4 Geomtrica(p)

f (x) = p(1 p)x , x = 0, 1, 2, (0 < p < 1)

Xx
F (x) = p (1 p)i = 1 (1 p)x+1 x = 0, 1, 2,
i=0

(1 p) (1 p) p
E[X] = V [X] = E[etX ] = , t < log(1 p)
p p2 1 (1 p)et
Notas: Geom(p)BN(1, p)

1.5 Hipergeomtrica(m, n, k)

m nm

x kx mn+k xm
f (x) = , x = 0, 1, 2, , k ,
n n, m, k 0
k
KM KM (N M )(N K)
E[X] = , V [X] =
N N N (N 1)

1.6 Poisson ()
x
f (x) = e , x = 0, 1, 2, ( > 0)
x!
t
E[X] = V [X] = E[etX ] = e(e 1)

1
1.7 Uniforme discreta (n)

1
f (x) = , x = 1, 2, , n (n = 1, 2, )
n
x
F (x) = , x = 0, 1, 2, , n
n
X1 n
n+1 (n2 1) et (1 ent )
E[X] = V [X] = E[etX ] = ekt =
2 12 n n(1 et )
k=1

2 Distribuies Contnuas
2.1 Beta (, )

f (x) = B (, )1 x1 (1 x)1 , 0 < x < 1 (, > 0)

Z 1
1 ()()
B (, ) = x1 (1 x) dx =
0 ( + )

B( + k, )
E[X] = V [X] = 2 E[X k ] =
+ ( + ) ( + + 1) B(, )

2.2 Cauchy (, )

f (x) = , < x < + ( > 0, < < +)
2 2
+ (x )

E[X] : no existe V [X] : no existe E[etX ] : no existe

Notas: Cauchy(1; 0) t(1)

0.08
y
0.07

0.06

0.05

0.04

0.03

-6 -4 -2 0 2 4 6
x
Densidade da Cauchy(2; 0)

2.3 Exponencial ()

f (x; ) = e x , x > 0 ( > 0)

F (x) = 1 e x

1 1
E[X] = V [X] = 2 E[etX ] =
t
Notas: Exp() Gama(1, )

2
 1.0
y
0.8

0.6

0.4

0.2

0.0
0 1 2 3 4

Densidade da Exp(1)

2.3.1 Combinao de Exponenciais

2.0 2.0
y y
1.5 1.5

1.0 1.0

0.5 0.5

0.0 0.0
0 1 2 3 4 5 0 1 2 3 4 5
x x
f (x) = ex f (x) = 2e2x
2.0
y
1.5

1.0

0.5

0.0
0 1 2 3 4 5
x
f (x) = 2ex 2e2x

2.4 Exponencial Dupla ou de Laplace (, )

|x|
f (x) = e , < x < + ( < < +, > 0)
2
2 et
E[X] = V [X] = 2/ 2 E[etX ] = , |t| <
2 t2

3
 0.5
y
0.4

0.3

0.2

0.1

-4 -3 -2 -1 0 1 2 3 4

Densidade da Laplace(0; 1)

2.5 F -Snedcor, F (m, n)

m m/21
1 nx m
f (x) = B (m/2, n/2) (m+n)/2
, x > 0 (m, n > 0)
1+ m n
nx

n 2n2 (m + n 2)
E[X] = , n > 2; V [X] = , n > 4;
n2 m(n 2)2 (n 4)
E[etX ] : no existe
2 (m)/m
Notas: X F (m, n) X 1 F (n, m); F = 2 (n)/n F (m, n) (var. independentes)

y 0.6
0.5

0.4

0.3

0.2

0.1

0.0
0 1 2 3 4

Densidade da F (10; 4)

2.6 Gama (, )

1 x
f (x) = x e , x > 0 (, > 0)
()
Z
() = x1 e x dx
0
n1
X k
(x) ex
Para = n inteiro positivo: (n) = (n 1)! e F (x|n, ) = 1
k!
k=0

( + k)
E[X] = V [X] = 2 E[etX ] = E[X k ] =
t ()
Notas: Gama(1, ) Exp()

4
 f(x) f(x)

x x
Densidade da Gama(2; 2) Densidade da Gama(3; 5)

2.7 Logstica (, )

e(x)
f (x) = 2 , < x < + ( < < +, > 0)
1 + e(x)
1
F (x) = 1 + e(x)

2
E[X] = V [X] = E[etX ] = et (1 t/)(1 + t/), |t| <
3 2

2.8 Gaussiana inversa (, )

1/2 1
3/2 2
f (x) = (2) x exp (x ) , x > 0 (, )
2x
r
2t
E[etX ] = exp 1 1

Densidade da GI(; ), = = 22 , 21 , 1, 2, 22 , 23 , 24 , 25

2.9 Lognormal (, 2 )
1 2 2
f (x|, 2 ) = e(log x) /(2 ) , < x < + ( < < +, > 0)
x 2

log x
F (x) =

5
 2 2
2
E[X] = e+ /2
V [X] = e2+ e 1 E[etX ] : no existe
2
2 /2
E[X k ] = ek+k , k = 1, 2, ...

Notas: Se X LN(, 2 ) Y = log X N(, 2 )

Densidade da LN(0; 1)

2.10 Normal (, )

1/2 1 (x)2
f (x) = 2 2 e 22 , < x < + ( < < +; > 0)
1 2 2
E[X] = ; V [X] = 2 ; E[etX ] = et+ 2 t

0.4

0.3

0.2

0.1

-3 -2 -1 0 1 2 3
x
Densidade da Normal(0; 1)
0.4 0.4

0.3 0.3

0.2 0.2

0.1 0.1

-3 -2 -1 0 1 2 3 4 -4 -3 -2 -1 0 1 2 3 4
x x
Densidades da Normal(0; 1) e Normal(1; 1) Densidades da Normal(0; 1) e Normal(0; 1.25)

6
2.11 Pareto (, )

f (x) = , x > 0 (, > 0)
( + x)+1


F (x) = 1 ,x>0
+x

2
E[X] = , > 1; V [X] = , > 2; F.g.m. no existe
( 1) ( 1)2 ( 2)

2.0
y
1.5

1.0

0.5

0.0
0 1 2 3 4

Densidade da Pareto(2; 1)

Notas:

Se X Pareto(, ) Y = log (1 + X/) exp();

Se X| exp() e Gama(, ) X Pareto(, ).

2.12 Pareto Generalizada (, , )

( + ) x1
f (x) = , x > 0 (, > 0)
() () ( + x)+

x
F (x) = , ; ,x>0
+x

k ( + k) ( k)
E[X k ] = , <k < E[etX ] : no existe
() ()

2.13 Qui-Quadrado 2 (n)

1
f (x) = (n/2)2n/2 xn/21 ex/2 , x > 0 (n = 1, 2, ...)
n/2
1 1
E[X] = n V [X] = 2n E[etX ] = , t<
1 2t 2
Notas: 2 (n) Gama(n/2, 1/2)

7
2.14 t-Student, t(n)
(n+1)/2
( n+1 ) x2
f (x) = 2 n 1+ , < x < +, (n = 1, 2, ...)
n( 2 ) n

n
E[X] = 0, n > 1; V [X] = , n>2
n2
((k + 1) /2)((n k) /2) 1 3 (k 1)
E[X k ] = nk/2 = nk/2 , n > k, se k par
(1/2)(n/2) (n k) (n k + 2) (n 2)
E[X k ] = 0, se kmpar
E[etX ] : no existe
N (0;1)
Notas: X e Y independentes, T = t t(n); t(n) 2 F(1,n)
2(n) /n

y 0.35 y
0.4
0.30
0.3
0.25
0.20
0.2
0.15
0.10 0.1
0.05

-3 -2 -1 0 1 2 3 -3 -2 -1 0 1 2 3
x x
Densidades da t(1) [...] e t(3) [] Densidades da t(5) [] e N (0; 1) [...]

2.15 Uniforme (a, b)

1
f (x) = , a < x < b ( < a < b < )
ba
xa
F (x) = , axb
ba
a+b (b a)2 ebt eat
E[X] = V [X] = E[etX ] =
2 12 (b a)t
Notas: U(0; 1) Beta(1; 1)

2.16 Weibull (, )

f (x) = x1 ex , x > 0 (, > 0)

F (x) = 1 ex , x > 0

(1 + 1/)
E[X] =
1/
(1 + k/)
E[X k ] =
k/