Useful Probability Distributions

Similar documents
Probability Theory and Simulation Methods. April 9th, Lecture 20: Special distributions

ME3620. Theory of Engineering Experimentation. Spring Chapter III. Random Variables and Probability Distributions.

Sampling & populations

UQ, STAT2201, 2017, Lectures 3 and 4 Unit 3 Probability Distributions.

Probability Distributions II

Statistics 6 th Edition

Statistical Methods in Practice STAT/MATH 3379

Section 7.5 The Normal Distribution. Section 7.6 Application of the Normal Distribution

Lean Six Sigma: Training/Certification Books and Resources

Chapter 3 - Lecture 5 The Binomial Probability Distribution

Lecture Slides. Elementary Statistics Tenth Edition. by Mario F. Triola. and the Triola Statistics Series

4 Random Variables and Distributions

MA : Introductory Probability

ECE 340 Probabilistic Methods in Engineering M/W 3-4:15. Lecture 10: Continuous RV Families. Prof. Vince Calhoun

Lecture 23. STAT 225 Introduction to Probability Models April 4, Whitney Huang Purdue University. Normal approximation to Binomial

Examples: Random Variables. Discrete and Continuous Random Variables. Probability Distributions

Statistical Tables Compiled by Alan J. Terry

Continuous Distributions

II - Probability. Counting Techniques. three rules of counting. 1multiplication rules. 2permutations. 3combinations

CHAPTER 8 PROBABILITY DISTRIBUTIONS AND STATISTICS

CHAPTER 5 SOME DISCRETE PROBABILITY DISTRIBUTIONS. 5.2 Binomial Distributions. 5.1 Uniform Discrete Distribution

Statistics for Managers Using Microsoft Excel 7 th Edition

Chapter 4: Commonly Used Distributions. Statistics for Engineers and Scientists Fourth Edition William Navidi

4.3 Normal distribution

TOPIC: PROBABILITY DISTRIBUTIONS

Random Variables Handout. Xavier Vilà

Discrete Random Variables and Probability Distributions

Chapter 4 Probability Distributions

Normal distribution Approximating binomial distribution by normal 2.10 Central Limit Theorem

A probability distribution shows the possible outcomes of an experiment and the probability of each of these outcomes.

Some Discrete Distribution Families

Random Variable: Definition

Central Limit Theorem (cont d) 7/28/2006

4-1. Chapter 4. Commonly Used Distributions by The McGraw-Hill Companies, Inc. All rights reserved.

Basic Principles of Probability and Statistics. Lecture notes for PET 472 Spring 2012 Prepared by: Thomas W. Engler, Ph.D., P.E

Discrete Random Variables and Probability Distributions. Stat 4570/5570 Based on Devore s book (Ed 8)

Engineering Statistics ECIV 2305

PROBABILITY DISTRIBUTIONS

Random Variables and Probability Functions

Overview. Definitions. Definitions. Graphs. Chapter 4 Probability Distributions. probability distributions

Commonly Used Distributions

2011 Pearson Education, Inc

Probability Theory. Mohamed I. Riffi. Islamic University of Gaza

Central Limit Theorem 11/08/2005

Math 14 Lecture Notes Ch. 4.3

Chapter 5 Student Lecture Notes 5-1. Department of Quantitative Methods & Information Systems. Business Statistics

8.1 Binomial Distributions

Lecture 8. The Binomial Distribution. Binomial Distribution. Binomial Distribution. Probability Distributions: Normal and Binomial

Basic Principles of Probability and Statistics. Lecture notes for PET 472 Spring 2010 Prepared by: Thomas W. Engler, Ph.D., P.E

S = 1,2,3, 4,5,6 occurs

Random variables. Contents

Describing Uncertain Variables

Data Analytics (CS40003) Practice Set IV (Topic: Probability and Sampling Distribution)

Mathematics of Randomness

Probability: Week 4. Kwonsang Lee. University of Pennsylvania February 13, 2015

PROBABILITY. Wiley. With Applications and R ROBERT P. DOBROW. Department of Mathematics. Carleton College Northfield, MN

6.5: THE NORMAL APPROXIMATION TO THE BINOMIAL AND

Binomial Random Variables. Binomial Random Variables

Business Statistics. Chapter 5 Discrete Probability Distributions QMIS 120. Dr. Mohammad Zainal

Two hours. To be supplied by the Examinations Office: Mathematical Formula Tables and Statistical Tables THE UNIVERSITY OF MANCHESTER

Simple Random Sample

Favorite Distributions

Theoretical Foundations

Central limit theorems

Review. Binomial random variable

Consider the following examples: ex: let X = tossing a coin three times and counting the number of heads

Unit 4 The Bernoulli and Binomial Distributions

The Normal Distribution

Contents. The Binomial Distribution. The Binomial Distribution The Normal Approximation to the Binomial Left hander example

MATH MW Elementary Probability Course Notes Part IV: Binomial/Normal distributions Mean and Variance

Chapter 4 and 5 Note Guide: Probability Distributions

continuous rv Note for a legitimate pdf, we have f (x) 0 and f (x)dx = 1. For a continuous rv, P(X = c) = c f (x)dx = 0, hence

Lecture Stat 302 Introduction to Probability - Slides 15

4.2 Bernoulli Trials and Binomial Distributions

Chapter 5. Discrete Probability Distributions. McGraw-Hill, Bluman, 7 th ed, Chapter 5 1

Chapter 4 Discrete Random variables

Lecture 3: Probability Distributions (cont d)

SOCIETY OF ACTUARIES EXAM STAM SHORT-TERM ACTUARIAL MATHEMATICS EXAM STAM SAMPLE QUESTIONS

The normal distribution is a theoretical model derived mathematically and not empirically.

2 of PU_2015_375 Which of the following measures is more flexible when compared to other measures?

Chapter 4 Continuous Random Variables and Probability Distributions

Tutorial 11: Limit Theorems. Baoxiang Wang & Yihan Zhang bxwang, April 10, 2017

TYPES OF RANDOM VARIABLES. Discrete Random Variable. Examples of discrete random. Two Characteristics of a PROBABLITY DISTRIBUTION OF A

Chapter 7 1. Random Variables

Probability Models.S2 Discrete Random Variables

Chapter 3. Discrete Probability Distributions

SYSM 6304 Risk and Decision Analysis Lecture 2: Fitting Distributions to Data

ECON 214 Elements of Statistics for Economists 2016/2017

Elementary Statistics Lecture 5

Probability Distributions. Chapter 6

The Central Limit Theorem

Overview. Definitions. Definitions. Graphs. Chapter 5 Probability Distributions. probability distributions

Continuous Probability Distributions & Normal Distribution

Chapter 4 Discrete Random variables

CHAPTER 7 RANDOM VARIABLES AND DISCRETE PROBABILTY DISTRIBUTIONS MULTIPLE CHOICE QUESTIONS

Binomial and multinomial distribution

Introduction to Probability

Learning Objec0ves. Statistics for Business and Economics. Discrete Probability Distribu0ons

Chapter 6 Part 6. Confidence Intervals chi square distribution binomial distribution

Data Analysis and Statistical Methods Statistics 651

Transcription:

Useful Probability Distributions Standard Normal Distribution Binomial Multinomial Hypergeometric Poisson Beta Binomial Student s t Beta Gamma Dirichlet Multivariate Normal and Correlation

Standard Normal Distribution X 2 ~ N, σ Standardization Z X / σ A general normally distributed random variable is transformed into one which has a standard normal distribution EZ0 and VarZ Division by σ ensures the resulting statistic is dimensionless PrZ<z is denoted Φz: cumulative distribution function Tabulated, e.g., z.6449, Φz0.950, z2.5758, Φz0.995 Φ-z- Φz

Student s t-distribution Similar to Standard Normal Distribution Standard deviation σ of a Normal Distribution is rarely nown T-statistic taes into account uncertainty associated with estimating σ If X i 2 has a normal distribution with X ~ N, σ / n If X i 2 ~ N, σ, n S is an estimate of then X / S X which has a i / std dev n has a t - distribution greater dispersion than standard normal

Binomial Models a sequence of independent trials in which there are only two possible mutually eclusive outcomes n is the number of trials X is the number of successes p is the probability of success in any individual trial, and q-p PX, 0,..,n is denoted p i Pr X n p n p n Distribution of X is denoted in shorthand as X ~ Binn,p If X is number of sies in 0 throws of a fair die, then X~Bin0,/6 EXnp, VarXnpq q n p

Normal Approimation to the Binomial Binomial is a discrete distribution where it is tedious to evaluate eact probabilities for large number of events, e.g., probability of 530 or fewer heads in 000 tosses of a fair coin X~Nnp,npq Pr X Pr Z 530 n 000, 2 If X ~ N µ, σ Z X µ / σ is N0, p 0.5 < z is denoted Φ z 530 0 Φ n 0.5 000 530.5 500 / 250 Φ.929 0.973 Z has a standard normal distribution which is tabulated

Multinomial Distribution Generalization of Binomial Models a sequence of independent trials where there are possible mutually eclusive outcomes...!!..!!,.., Pr 2 i i p p p n X X

Hypergeometric Distribution Binomial is with replacement Models a sequence of independent trials where there are 2 possible mutually eclusive outcomes Hypergeometric is without replacement E.g., Probability of the number X of illicit tablets in a sample of size m from a consignment of size N in which R are illicit and N-R are licit is PrX If N20, R0, m6 then PrX3 0 C 3 0 C 3 / 20 C 6 0.37 R N R m N m

Beta-Binomial Distribution Consignment of tablets, a proportion of which are suspected drugs. For large consignments, probability distribution of the proportion t which are drugs can be modeled with a beta distribution, which treats the proportion t as a variable which is continuous over the interval 0, For small consignments, say N<50, a more accurate distribution, which recognizes the discrete nature of possible values of the proportions is used

Beta Distribution Consignment of N tablets, No of illicit is R Proportion of illicit is R/N which has a finite no of values ranging from 0/N to N/N in steps of /N As N increases proportion becomes closer to a continuous measurement over interval 0, Modeled by a beta distribution Denote true proportion by random variable 0 < < p /, β where B, β B, β β Γ Γ β nown as the Γ + β Γ is the gamma function defined Γ +! Γ / 2 π beta as function Values of and β reflect prior beliefs before inspection Bayesian philosophy Large value of relative to β would imply a belief that was high Neutral belief would have β

Beta Distribution It is a general type of statistical distribution which is related to the gamma distribution. Beta distributions have two free parameters, which are labeled and The domain is [0,], and the probability function P and distribution function D are given by where Ba,b is the beta function, is the regularized beta function, and

Gamma Distribution Probability Density function epressed in terms of te Gamma function Alternatively epressed as 0, ; / > Γ for e f 0, ; > Γ for e g β β β

Modeling distributions of distances in writer verification Gamma Gaussian

Dirichlet Distribution Generalization of Beta distribution to categories analogous to generalization of binomial distribution to multinomial distribution Eample: proportion of illicit drugs when there are types of drugs Given a consignment of size N No of tablets of each type is R i, i.., Proportions are R i /N As N increases the proportions are continuous over 0,

Dirichlet Distribution Characterized by parameters {,.. } chosen to represent prior beliefs about proportions....,.., 0,....,.. i i i B where B f + Γ Γ Γ < <