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Continuous Distributions

The document discusses several continuous probability distributions including the exponential, normal, t, chi-squared, and F distributions. It provides the density functions and key characteristics of each distribution such as their means and variances. Standardization of normal distributions to the standard normal distribution is also covered.

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Елизавета Мохова
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8 views6 pages

Continuous Distributions

The document discusses several continuous probability distributions including the exponential, normal, t, chi-squared, and F distributions. It provides the density functions and key characteristics of each distribution such as their means and variances. Standardization of normal distributions to the standard normal distribution is also covered.

Uploaded by

Елизавета Мохова
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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4. Continuous Probability
Distributions
4.1 The Exponential Distribution
A random variable X with density

1
f  x 
 x
e , x  0,  >0 [1]

follows the Exponential distribution with parameter 𝜇. We write X ~ Exp    .

Results:

1) 𝐸(𝑋) = 𝜇
2) 𝑉𝑎𝑟(𝑋) = 𝜇 2
𝑥
−
3) 𝐹(𝑥) = 1 − 𝑒 𝜇
4) 𝑝(𝑋 > (𝑎 + 𝑏)|𝑋 > 𝑎) = 𝑝(𝑋 > 𝑏)

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4.2 The Normal Distribution


A random variable X with density

  x 2
1
f  x 
 12
e  ,    x  ,      ,   0 [2]
2 2
Follows the Normal distribution with parameters  and  2 . We write X ~ N   ,  2 

Characteristics of the Normal distribution”

 𝑋 ∈ ℝ (all reals)
 𝐸(𝑋) = 𝜇
 𝑉𝑎𝑟(𝑋) = 𝜎 2
 f is bell-shaped with points of inflection at 𝑋 = 𝜇 ± 𝜎
 The highest point on the curve occurs when 𝑋 = 𝜇
 The curve is symmetric about the mean 𝜇
 The “flatness” or “compactness” of the bell curve is defined by the value of 𝜎. Larger
values of 𝜎 produce flatter curves (more variability), while smaller values of 𝜎
produce more compact curves, i.e. more compressed towards the center, (less
variability.

 The curve is asymptotic to the 𝑥-axis; i.e. it approaches but never touches the 𝑥-
axis.
 The total area bounded by the normal curve and the 𝑥-axis is equal to 1.

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 𝑝(𝑎 < 𝑋 < 𝑏), and corresponds to the area under the curve and above the 𝑥-axis
between the values of 𝑥 = 𝑎 and 𝑥 = 𝑏.

p(a<X<b)

x
-3 -2 -1 a 1 b 2 3

 Because of continuity we have that


o 𝑝(𝑋 = 𝑐) = 0, for any constant 𝑐
o 𝑝(𝑎 ≤ 𝑋 ≤ 𝑏) = 𝑝(𝑎 < 𝑋 < 𝑏)

The Standard Normal Distribution: Z ~ N  0,1 , i.e.   0 and  2    1 .

1  x22
f  x  e
2

Theorem (without proof)


X 
If X ~ N   ,  2  then Z  ~ N  0,1 .

This transformation is called Standardization, and it is useful for finding
probabilities for any normal variable.

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Using Table 3 to find Normal probabilities


The table provides values for F  z   p  Z  z  , where Z is the standard Normal rv. It
can also be used to find z p given a known p in p  Z  z p   p

e.g. Find a) p  Z  1.53


b) p  Z  0.74 
c) p  0.32  Z  1.86 
d) z0.025 , i.e. p  Z  z0.025   0.025

e.g. X ~ N  3,16  . Find


 X 3 53
a) p  X  5   p     p  Z  0.5 
 16 16 
b) p  X  2 
c) p  2.5  X  4.5 
d) Find k such that p  X  k   0.80

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The Normal Probability Rule


If X ~ N   ,  2  then

p      X      0.68
p    2  X    2  0.95
p    3  X    3  0.997

Summary
Density function
Distribution Mean Variance
f  x

Exponential 1 x0
f  x  e
 x
 2
X ~ Exp      >0

Normal   x  
  x 2
1
f  x 
 12
e        2
X ~ N  , 2
 2 2
 0

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4.3 Some Other Continuous Distribution


1) 𝒕 −distribution:
X follows the 𝑡 −distribution with 𝑘 degrees of freedom.
We write 𝑋~𝑡𝑘

The curve of the 𝑡 −distribution is similar to the Standard Normal rv (symmetric


about 0, bell-shaped) but with flatter tails.

2) Chi Squared distribution:


X follows the chi squared distribution with 𝑘 degrees of freedom.
We write 𝑋~𝜒 2 𝑘 .

3) F distribution:
X follows the F distribution with 𝑘1 and 𝑘2 degrees of freedom.
We write 𝑋~𝐹𝑘1 ,𝑘2 .

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