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p. 1/30
p. 2/30
1
f (x) = b a
0,
We write
a x b,
elsewhere .
X U [a, b].
F (x) =
f (u)du =
0,
x a
ba
1,
x < a,
a x b,
x > b.
p. 3/30
1
, 0 x < 360
f (x) =
360
0,
elsewhere
Solution:
180
1
x x=180
a). P (90 X 180) =
dx =
=
360
360 x=90
90
Z 90
1
x x=90 1
b). P (0 X 90) =
dx =
= .
360
360 x=0
4
0
1 1
c). P (0 X 90) + P (270 X < 360) = + =
4 4
Z
1
.
4
1
.
2
p. 5/30
b
a
etx
ebt eat
dx =
ba
(b a)t
if t 6= 0
and MX (0) = 1.
Joke
p. 7/30
1 ex/ ,
f (x) =
0,
if x > 0,
otherwise.
Notation
If X has an exponential distribution with parameter ,
we write
X Exp().
1 ex/ , if x > 0,
F (x) =
Data Models: Part II
0, Continuous
otherwise.
p. 8/30
ex/ , if x > 0,
S(x) = 1 F (x) =
1,
otherwise.
Hazard Function
p. 9/30
tX
= E[e
=
]=
1
,
1t
tx 1 x/
e
e
dx =
1
for t < .
1 (1/t)x
e
dx
Moments
Expanding in powers of t, we get
X
X
1
tk
1
k
k
=
=
MX (t) =
(t ) =
(k! ) .
1t
1t
k!
k=0
k=0
p. 10/30
Solution:
Let X denote the amount of sugar that each plant can
process. Then X Exp(4) The probability that any
given plant will process more than 4 tons on a given day
is
P (X > 4) = e4/4 = e1 0.3679
Continuous Data Models: Part II
p. 11/30
Lack of Memory
If X Exp(), then
P X s + t|X t = P (X s)
p. 12/30
p. 13/30
p. 14/30
Find the probability that the demand will exceed 200 cfs on a
randomly selected day.
b).
Solution:
We have X Exp(100)
a). P (X > 200) = e200/100 = .1353
b).
p. 15/30
b).
Solution:
We have X Exp(10)
a).
b).
We have
P (C > 2607) = P X < 109/3 or X > 23
= P X < 109/3) + P X > 23
= 0 + e23/10 = .1003 .
p. 16/30
x1 ex dx ,
() =
for > 0.
Properties:
(i) When = k , Zwhere k is an integer, we have
(k) =
where X Exp(1).
In particular,
R xwe have
(1) = 0 e dx = 1 = (1 1)!
R x
(2) = 0 xe dx = 1 = (2 1)!
R 2 x
(3) = 0 x e dx = 2 = (3 1)!
p. 17/30
=x (ex ) +
ex d(x ) =
x1 ex dx
0
0
0
Z
=
x1 ex dx = ().
0
= .
2
p. 18/30
if X has density
1
f (x) =
x1 ex/ , x > 0,
()
> 0 is the shape parameter and it influences the
peakedness of the distribution,
> 0 is the scale parameter and controls the spread of
the distribution.
p. 19/30
0.6
Gamma(alpha,1)
0.4
0.3
0.2
0.1
0.0
0.5
alpha=.5
alpha=1
alpha=2
alpha=3
alpha=4
alpha=5
6
8Data Models:
10 Part II 12
Continuous
x
p. 20/30
b=1/3
b=1
b=1
b=2
b=3
0.2
0.4
0.6
0.8
a=2,
a=1,
a=2,
a=2,
a=3,
0.0
1.0
Gamma(a,b)
4
6
Continuous
Data Models:
Part II
x
p. 21/30
0.04
0.03
0.02
0.01
0.00
0.05
Gamma(50, 1)
20
40
60
80
Continuous
Data Models:
Part II100
x
p. 22/30
()
0
Z
1
1
1 (1/t)x
=
x
e
dx
=
()(1/
t)
() 0
()
1
1
=
,
=
(1/ t)
(1 t)
Z
p. 23/30
A Special Case
When = 1, the gamma distribution reduces to an
exponential distribution. That is,
Gam( = 1, ) = Exp().
n
When = and = 2, we say that we say that the
2
r.v. X has a chi-square distribution. We write
Continuous Data Models: Part II
p. 24/30
X 2n .
Xi Gam =
i ,
i=1
Theorem 5.9:
If Xi , i = 1, . . . , n are n independent exponential random
variables, each with rate , then
n
X
i=1
Xi Gam ( = n, )
Continuous Data Models: Part II
p. 25/30
Joke
p. 26/30
p. 27/30
We write
X beta(, ).
p. 28/30
Z 1
1
1
1
1
E[X] =
x
x
(1 x)
dx =
x1+1 (1 x)1 dx
B(, )
0
0 B(, )
Z 1
B( + 1, )
1
x1+1 (1 x)1 dx
=
B(, )
0 B( + 1, )
B( + 1, )
( + 1)() ( + )
=
=
B(, )
( + + 1) ()()
()()
( + )
=
=
( + )( + ) ()()
+
Z
and
E[X](1 E[X])
Var(X) =
=
.
2
( + + 1)( + )
( + + 1)
Continuous Data Models: Part II
p. 29/30
K x2 (1 x)4 , 0 x 1
f (x) =
0,
elsewhere
a).
b).
Solution: