p.

5-31
Summary for X ~ Normal(, o
2
)
Pdf:
Cdf: no close form, but usually denoted by u((x)/o).
Parameters: R and o>0.
Mean: E(X) = .
Variance: Var(X) = o
2
.
f(x) =
1

2
e

(x)
2
2
2
, < x < ,
Weibull Distribution
For o, |>0 and vR, the function
f(x) =
(

1
e

(
x

, if x ,
0, if x < ,
is a pdf since (1) f(x) 0 for all x R, and (2)
R

f(x) dx =
R

1
e

(
x

dx
=
R

0
e
y
dy = e
y
|

0
= 1.
p. 5-32
The distribution of a random variable X with this pdf is
called the Weibull distribution with parameters o, |, and v .
(exercise) The cdf of Weibull distribution is
F(x) =
(
1 e

(
x

, if x ,
0, if x < .
Theorem. The mean and variance of a Weibull distribution with
parameter o, |, and v are
=

1 +
1

+ and

2
=
2

1 +
2

1 +
1

i
2

.
E(X) =
R

v
x

1
e

(
x

dx
=
R

0
(y
1/
+)e
y
dy
=
R

0
y
1/
e
y
dy +
R

0
e
y
dy =

+ 1

+
Proof.
E(X
2
) =
R

v
x
2

1
e

(
x

dx
=
R

0
(y
1/
+ )
2
e
y
dy
=
2
R

0
y
2/
e
y
dy + 2
R

0
y
1/
e
y
dy +
2
R

0
e
y
dy
=
2

+ 1

+ 2

+ 1

+
2
NTHU MATH 2810, 2011 Lecture Notes
made by Shao-Wei Cheng (NTHU, Taiwan)
p. 5-33
Some properties
Weibull distribution is widely used to
model lifetime.
o: scale parameter; |: shape parameter;
v: location parameter
Theorem. If X~exponential(), then
is distributed as Weibull with parameter o, |, and v (exercise).
Y = (X)
1/
+
Cauchy Distribution
For R and o>0, the function
f(x) =

2
+(x)
2
, < x < ,
is a pdf since (1) f(x) 0 for all x R, and (2)
The distribution of a random variable X with this pdf is
called the Cauchy distribution with parameters and o,
denoted by Cauchy(, o).
R

f(x) dx =
R

2
+(x)
2
dx
=
R

1
1+y
2
dy =
1

tan
1
(y)

= 1.
p. 5-34
The mean and variance of Cauchy distribution do not exist
because the integral does not converge absolutely
Some properties
Cauchy is a heavy tail distribution
: location parameter; o: scale parameter
Theorem. If X~Cauchy(, o), then
aX+b~Cauchy(a+b, |a|o). (exercise)
The cdf of Cauchy distribution is
for <x<. (exercise)
Reading: textbook, Sec 5.4, 5.5, 5.6
F(x) =
R
x

2
+(y)
2
dy =
1
2
+
1

tan
1

x

NTHU MATH 2810, 2011 Lecture Notes

made by Shao-Wei Cheng (NTHU, Taiwan)