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MATH 181

1st SEMESTER/AY 2018-2019


Lecturer: Eleanor Gemida

Frequently used continuous random variables

1. Uniform Distribution

We write X ~ U (a, b).


1
PDF: f ( x) = , a  x  b,0 otherwise
b−a
 0 if x  a
x x−a

CDF: F ( x) = f ( y )dy = 
 b−a
if a  x  b
−
 1 if x  b

a+b
E( X ) =
2
b2 − a 2
Var ( X ) =
12
MGF:
ebt − eat
M X (t ) = , for any real number t
(b − a)t

Example
The future lifetime (in years) of a
newborn is uniformly distributed over
the interval (0,100).

What is the probability that the newborn


will die between ages 80 and 90?

Given that the newborn survived to age


x, find the distribution of the future
lifetime of the person aged x.
2. Exponential Distribution

We write X ~ Exp( ).

PDF: f ( x) = e− x , x  0,   0

CDF: F ( x) = 1 − e− x

1
E( X ) =

1
Var ( X ) =
2
1 1
MGF: M X (t ) = , t
1 − t 

Example
The future lifetime (in years) of
a newborn is exponentially
distributed with mean 𝜆.

Given that the newborn


survived to age x, find the
distribution of the future
lifetime of the person aged x.
What do you notice?
3. Gamma Distribution We call this integral the
gamma function.
x −1e− x /  , x  0.
Consider number of 1
We write the PDF as f ( x) =

independent, identically ( ) 
distributed random variables ✓ The gamma function is a
X1, X 2 ,..., X . generalization of the
Suppose their common factorial.
distribution is exponential ✓ If  is an integer, then ( ) = ( − 1)!
with mean 𝛽. Let Exercise!
✓ ( + 1) =  ( ),   0
S = X1 + X 2 + ... + X  . Exercise!
That is, for all i=1, 2, …, ,
Moments and MGF:
X i Exp(1/  ),
E ( S ) = 
f X i ( x) =  −1e− x /  .
Var ( S ) =  2
M S (t ) = (1 −  t ) − .
The above results can be
generalized to the case when
> 0, not necessarily an
integer. The distribution of S is Example
known as the gamma In the Razon household, Mr.
distribution. and Mrs. Razon both have jobs.
The income of Mr. Razon has a
✓ That is, the sum of gamma distribution of mean 3
independent, identically and variance 3.
distributed exponential The income of Mrs. Razon has a
random variables is gamma gamma distribution of mean 2
distributed. and variance 2. The two
incomes are independent.
We write X ~ Gam( ,  ). Calculate The probability that
PDF: the income of Mr. Razon is less
f ( x) =
1  −1 − x / 
x e , x  0, c is a constant than that of Mrs. Razon’s. (Set-
c  up only.)
+
 −1 −t
The constant c is c = t e dt. EXERCISE!
0
✓ If  = 1, then X ~ Pois(1/  ).

+
 −1 −t
Let c = t e dt = ( ).
0
4. Beta Distribution

Suppose U ~ Gam(1,1), V ~ Gam( 2 ,1),


U and V are independent.
We are interested on the
distribution of the proportion
U
B= .
U +V

The distribution of B is called


the Beta distribution.

We write X ~ B(1,  2 ).
PDF:
(1 +  2 ) 1 −1
f ( x) = x (1 − x) 2 −1, 0  x  1
(1 )( 2 )
EXERCISE!

1
E( X ) =
1 +  2
1 2
Var ( X ) =
(1 +  2 )2 (1 +  2 + 1)

Example
From the previous problem on
the income of Mr. and Mrs.
Razon, calculate the expected
value and variance of the ratio
of income of Mr. Razon to the
total income of the couple.

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