Continuous Distributions

Lecture 26
Uniform Distribution

 1
 a xb
f ( X  x)   b  a
 0 otherwise

Find the Expectation and Variance of this distribution

Expectation and Variance
b b
1
E ( x )   x f ( x)dx  
b b
1 2 2 2
E ( x)   xf ( x)dx   xdx ba a
x dx
a
b  a a
a

1 1 3 b 1 b3  a 3 b 2  ab  a 2
1 1 2 b 1 b a
2 2
ba  x  
 x   3ba a 3 ba 3
2 ba a 2 ba 2
b 2  ab  a 2  b  a 
2

Var ( x)  E ( x )  E ( x) 
2 2
 
3  2 
(b  a ) 2

12
Normal / Gaussian Distribution
• THE MOST IMPORTANT DISTRIBUTION IN APPLIED MATHEMATICS
(computer science, electrical engineering, physics …)

1  ( x   )2 
f ( X  x)  exp    , -  x  
 2  2 2


• It has two parameters – μ and σ

A fundamental proof


  / 2) dz   / 2  
 ( x   )2 
2
exp( z 1
0  f ( x)dx    2 exp  2 2  dx
Proof x
Substitute z    dz  dx
 
I   exp( z / 2)dz 2 
1

 z2  1

 z2 
0 

f ( x)dx   exp  2  dz  2 2 0 exp  2  dz
2 
 
 
 
1 
I    exp( x / 2)dx   exp( y / 2)dy     exp{ ( x 2  y 2 )}dxdy
2 2 2
2
1
 1
0  0  00 2 2 2

Change to Polar Co-ordinate

dxdy  rdrd
 /2 
1 2   /2    1 
 I    exp( r )rdrd    d    exp( r 2 )rdrd 
2

0 0
2  0  0 2 
 /2  1 2  


  2

  0   exp( r )    1
 2
 0 


I 
2
Expectation
• (Using a trick)
Let's find E ( x -  )

1  ( x   )2 
E(x   ) 
 2  ( x   ) exp  
 2 2  dx

Setting z  x    dz  dx

1  z2   z2 
E(x   )  
 2 
z exp   2  dz  0, z exp   2  is an odd function
 2   2 
 E ( x)  
 Variance

1  ( x   )2 
Var ( x)  E ( x   )    ( x   ) exp  
2 2
 dx
 2   2 2

x
Setting z    dz  dx


2 z2
E ( x   )    z exp( 2 )dz
2 2

2
Integration by parts: udv  uv   vdu
z2 z2
u  z and v  z exp(
2
)  du  dz and dv  z exp( )
 2
 2

  
z2 z2 z2 
        
2
z exp( ) dz z exp( ) exp( ) dz 2 , first term is 0
2 2   2 2
2 
Var ( x)  E ( x   )  
2
2 2
2 2
Symmetric Property
• The distribution is symmetric about μ.
1  h2 
f (   h)  exp   2   f (   h)
 2  2 

• Owing to the symmetric property, the mean and the median of the
Normal distribution are the same.
• Also the mode is the same.
Linear function of Normal Variable
• If X is a Normally distributed random variable with mean μ and
standard deviation σ, then for a RV Y = a + bX

E (Y )  E (a  bX )  a  b
Var (Y )  Var (a  bX )  b 2  2
Proof
CDF of Y for b > 0
 ya  ya
FY ( y )  P(Y  y )  P (a  bX  y )  P  X    FX  
 b   b 
CDF of Y for b > 0
 ya  ya
FY ( y )  P(Y  y )  P (a  bX  y )  P  X    1  FX  
 b   b 
To get the PDF we differentiate
 1  ya
 b f X  b  for b  0
 ya  ya
2
   1 1 
fY ( y )    fY ( y )  fX   exp   2 2
 1 f  y  a  for b  0 b  b  2 b  b 
 b X  b 
1
 fY ( y )  exp  y  (a  b )  2b 2 2
2

2 b
 Y  a  bX is Normally distributed with mean a  b and variance b 2 2
Standard Normal Variable
If X N (  ,  2 ), then Z N (0,1)
X 
where Z  is called the Standard Normal Variable with distribution

z

 e dy, -  y  
 y /2
( z ) 
2



This allows us to express all probabilities about X in terms of probabilities for Z, e.g.
 X  b   b  b
P ( X  b)  P     P  Z     ( )
       
Similarly
a X  b  a b 
P ( a  X  b)  P      
  
 
P Z
    
 b   a  b a
 PZ    P  Z     ( )   ( )
       
Note :  ( z )  P( Z   z )  P( Z  x) by symmetry
 ( z )  1   ( z )
Exponential Random Variable
• A continuous random variable with pdf
 e   x for x  0
f ( x)  
 0 for x  0

• The CDF is given by

x
F ( x)  P( X  x)    e   y dy  1  e   x
0
Expectation
 
E ( x)  

xf ( x)dx   x e   x dx
0

Integration by parts: udv  uv   vdu

1
u   x and v   e   x  du   dx and dv  e   x dx


 1  1
 E ( x)    xe   x  e   x  
  0 
Variance

E ( x )   x 2  e   x dx
2

Integration by parts: udv  uv   vdu

1
u   x 2 and v   e   x  du  2 xdx and dv  e   x dx

  
2  x   2  x 2  x 2  x  2
0 0
 x  x
x 2
 e dx   x e  2 xe dx    x e  xe  xe  
0
   0 
2

2 1 1
Var ( x)  E ( x 2 )  E ( x) 2  2  2  2
  
Memoryless Property
P( X  s  t | X  t )  P( X  s)
Proof
P( X  s  t , X  t )
P( X  s  t | X  t ) 
P( X  t )
P( X  s  t )
 t0
P( X  t )
e ( s t )
  t  e  s  P( X  s)
e
Problem
• Buses arrive at a specified stop at 15 mins intervals starting at 7 AM. If
a passenger arrives at the stop at a time that is uniformly distributed
between 7 and 7:30, find the probability that he waits
• Less than 5 minutes for a bus
• At least 12 minutes for a bus
 Solution
X  the time in minutes past 7 AM, that the passenger arrives at the stop.
X is a uniform random variable in the interval (0,30)
Passenger waits less than 5 minutes only if he arrives between 7:10 and 7:15 (for 7:15 bus)
and 7:25 and 7:30 (for 7:30 bus)
Hence the desired probability for the first part is
5 5 1
P(10  X  15)  P (25  X  30)   
30 30 3
For the second part, he has to wait 12 minutes or more if he arrives between 7:00 and 7:03 or between 7:15 and 7:18.
The probability is
3 3 1
P(0  X  3)  P(15  X  18)   
30 30 5
Example
• Given a random variable X having a normal distribution with μ = 50
and σ = 10, find the probability that X assumes a value between 45
and 62.
45  50 X  50 62  50
P(45  X  62)  P(   )  P(.5  Z  1.2)
10 10 10
 P( Z  1.2)  P( Z  .5)   (1.2)   (.5)
 0.8849  0.3085  0.5764
Problem
• Given that X has a normal distribution with p — 300 and a = 50, find
the probability that X assumes a value greater than 362.
(ask me the value of Φ – the CDF of the Normal Deviate)
Problem
• Given that X has a normal distribution with p — 300 and a = 50, find
the probability that X assumes a value greater than 362.
(ask me the value of Φ – the CDF of the Normal Deviate)
X  300 362  300
P( X  362)  P(  )  P( Z  1.24)
50 50
 1  P( Z  1.24)  1  0.8925  0.1075