continuous probability spaces - university of torontofisher.utstat.toronto.edu/~hadas/sta257/lecture...
TRANSCRIPT
week 4 1
Continuous Probability Spaces
• Ω is not countable.
• Outcomes can be any real number or part of an interval of R, e.g. heights, weights and lifetimes.
• Can not assign probabilities to each outcome and add them for events.
• Define Ω as an interval that is a subset of R.
• F – the event space elements are formed by taking a (countable) number of intersections, unions and complements of sub-intervals of Ω.
• Example: Ω = [0,1] and F = A = [0,1/2), B = [1/2, 1], Φ, Ω
week 4 2
How to define P ?
• Idea - P should be weighted by the length of the intervals.- must have P(Ω) = 1- assign 0 probability to intervals not of interest.
• For Ω the real line, define P by a (cumulative) distribution function as follows: F(x) = P((- ∞, x]).
• Distribution functions (cdf) are usually discussed in terms of random variables.
week 4 3
Recalls
week 4 4
Cdf for Continuous Probability Space
• For continuous probability space, the probability of any unique outcome is 0. Because,
P(ω) = P((ω, ω]) = F(ω) - F(ω) = 0.
• The intervals (a, b), [a, b), (a, b], [a, b] all have the same probability in continuous probability space.
• Generally speaking, – discrete random variable have cdfs that are step functions.– continuous random variables have continuous cdfs.
week 4 5
Examples(a) X is a random variable with a uniform[0,1] distribution.
The probability of any sub-interval of [0,1] is proportional to the interval’s length. The cdf of X is given by:
(b) Uniform[a, b] distribution, b > a. The cdf of X is given by:
week 4 6
Formal Definition of continuous random variable
• A random variable X is continuous if its distribution function may be written in the form
for some non-negative function f.
• fX(x) is the (Probability) Density Function of X.
• Examples are in the next few slides….
week 4 7
The Uniform distribution
(a) X has a uniform[0,1] distribution. The pdf of X is given by:
(b) Uniform[a, b] distribution, b > a. The pdf of X is given by:
week 4 8
Facts and Properties of Pdf• If X is a continuous random variable with a well-behaved cdf F then
• Properties of Probability Density Function (pdf)
Any function satisfying these two properties is a probability density function (pdf) for some random variable X.
• Note: fX (x) does not give a probability.
• For continuous random variable X with density f
week 4 9
The Exponential Distribution
• A random variable X that counts the waiting time for rare phenomena has Exponential(λ) distribution. The parameter of the distribution λ = average number of occurrences per unit of time (space etc.). The pdf of X is given by:
• Questions: Is this a valid pdf? What is the cdf of X?
• Note: The textbook uses different parameterization λ = 1/β.
• Memoryless property of exponential random variable:
week 4 10
The Gamma distribution• A random variable X is said to have a gamma distribution with
parameters α > 0 and λ > 0 if and only if the density function of X is
where
• Note: the quantity г(α) is known as the gamma function. It has the following properties:– г(1) = 1– г(α + 1) = α г(α)– г(n) = (n – 1)! if n is an integer.
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week 4 11
The Beta Distribution
• A random variable X is said to have a beta distribution with parameters α > 0 and β > 0 if and only if the density function of X is
week 4 12
The Normal Distribution• A random variable X is said to have a normal distribution if and only if,
for σ > 0 and -∞ < μ < ∞, the density function of X is
• The normal distribution is a symmetric distribution and has two parameters μ and σ.
• A very famous normal distribution is the Standard Normal distribution with parameters μ = 0 and σ = 1.
• Probabilities under the standard normal density curve can be done using Table 4 in Appendix 3 of the text book.
• Example:
week 4 13
Example• Kerosene tank holds 200 gallons; The model for X the weekly demand is
given by the following density function
• Check if this is a valid pdf.
• Find the cdf of X.
week 4 14
Summary of Discrete vs. Continuous Probability Spaces
• All probability spaces have 3 ingredients: (Ω, F, P)
week 4 15
Poisson Processes• Model for times of occurrences (“arrivals”) of rare phenomena where
λ – average number of arrivals per time period.X – number of arrivals in a time period.
• In t time periods, average number of arrivals is λt.• How long do I have to wait until the first arrival?
Let Y = waiting time for the first arrival (a continuous r.v.) then we have
Therefore,
which is the exponential cdf.
• The waiting time for the first occurrence of an event when the number of events follows a Poisson distribution is exponentialy distributed.
week 4 16
Expectation
• In the long run, rolling a die repeatedly what average result do you expact?
• In 6,000,000 rolls expect about 1,000,000 1’s, 1,000,000 2’s etc.
Average is
• For a random variable X, the Expectation (or expected value or mean) of Xis the expected average value of X in the long run.
• Symbols: μ, μX, E(X) and EX.
week 4 17
Expectation of discrete random variable
• For a discrete random variable X with pmf
whenever the sum converge absolutely .
week 4 18
Examples1) Roll a die. Let X = outcome on 1 roll. Then E(X) = 3.5.
2) Bernoulli trials and . Then
3) X ~ Binomial(n, p). Then
4) X ~ Geometric(p). Then
5) X ~ Poisson(λ). Then
week 4 19
Expectation of continuous random variable
• For a continuous random variable X with density
whenever this integral converge absolutely.
week 4 20
Examples1) X ~ Uniform(a, b). Then
2) X ~ Exponential(λ). Then
3) X- is a random variable with density
(i) Check if this is a valid density.(ii) Find E(X)
week 4 21
4) X ~ Gamma(α, λ). Then
5) X ~ Beta(α, β). Then