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Part 2 - Probability Distribution Functions
Part 2 - Probability Distribution Functions
Shipbuilding 5
Probability distributions
CONTENTS
Shipbuilding 5
Probability distributions
Random variables
Let the sample space be made up of sample points representing the
outcome of an experiment
Let X be a function having the sample space as domain and the real axis
as range
X:
Let x be the set of points x, belonging to , such that: x =X(),
x = {x x =X(), }
x represents a new sample space in the domain of real numbers
(x or is a part of it).
x = X()
X
Shipbuilding 5
Probability distributions
Random variables(2)
Consider now a subset Ex di x. The ensemble of points belonging to
transformed from X to Ex constitutes the inverse image of Ex, indicated as X-1(Ex)
X-1(Ex) = {, X()Ex, Exx}
If it is possible to associate to X-1(Ex) a probability P[X-1(Ex)],
P[Ex] = P[X-1(Ex)]
it is postulated that:
(i.e. the function X induces a probability from the domain to the range)
Definition: random variable
A function X is defined as a random variable if P[X-1(Ex)] exists for every Exx
X-1(EX)
= X-1(x)
x
EX
X
Shipbuilding 5
Probability distributions
Note 2: In most engineering cases the result of an experiment is directly (or can
easily be represented by) a real number (e.g. 2 coins: {CC}0 {CT,TC,TT}1).
In such cases, the equivalence x is assumed and the above reported
distinction between the two becomes merely formal.
In the following, stochastic variables will be directly treated as real numbers.
Shipbuilding 5
Probability distributions
Probability distribution
As not all the outcomes of an experiment have the same probability, we need to
describe how such probability is distributed.
In the following, physical quantities will be directly treated as real numbers,
assuming the above mentioned properties without checks.
The possibility of describing the outcome of the experiment (e.g. measurement of
a physical quantity) with real numbers allows us to represent the probability
associated to the various results with a mathematical function.
We quantify the probability P[X x] through the so-called probability distribution
function FX(x) sometimes also indicated as cumulative probability d.f..
FX(x) = P [X x]
Note 1: X represents the stochastic variable, x one of its value (the same way as
represents a realisation of )
Note 2: independently from the actual extension of the range x of X(), Fx(x) is
defined on the whole real axis:
(- < x < )
Shipbuilding 5
Probability distributions
(a)
or, equivalently,
Fx(x+) = Fx(x)
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Probability distributions
if C X =0;
100%
50%[
0
P[ X < 0] = 0;
if T X =1;
1
P[ X 0] = 0.5
X
P[ X < 1] = 0.5; P[ X 1] = 1
Example 2: die
1
[
)
[
)
3
[
)
[
)
[
)
Shipbuilding 5
Probability distributions
F(h)
h [m]
Note:
F(h) = 0
for h 0
0 <F(h) <1
(unbounded at right)
Shipbuilding 5
Probability distributions
0.5
/2
/2
Note:
F() = 0
for -/2
F() =1
for /2
(bounded at left and right)
Shipbuilding 5
Probability distributions
Def. The density probability distribution fx(x) is defined, for a continuous variable
as the derivative, when existing, of the probability distribution function F(x) with
respect to x
f x (x) =
dFx
dx
Note 1 The derivative of a random variable can be not defined in a finite number
of points: in such points an arbitrary positive value can be assigned.
Shipbuilding 5
Probability distributions
2)
Fx (x) = f x ( ) d
3)
Fx() = 1
f x ( ) d = 1
4)
x2
x1
5)
P{ X = x1} = 0
( ) d
Shipbuilding 5
Probability distributions
P{ x < X x +x } fx (x) x
x
on the other hand, according to the frequentistic definition of probability:
n ( x)
P{ x < X x +x } = lim
n
n
n ( x)
therefore:
fx (x) x lim
n
n
This establishes a link between the density probability and the normalised
histogram of occurrences
Shipbuilding 5
Probability distributions
CLH 04
0.4
0.3
0.2
0.1
0
-2
-1.5
-1
-0.5
0.5
1.5
2.5
3.5
4.5
Shipbuilding 5
Probability distributions
fx(x)
Fx(x)
0.5
0
0
1/a
2/a
3/a
4/a
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Probability distributions
x < 0: fx (x) = 0
x 0:
2x
f X (x) =
e
R
F(x) = 1 e
x 2
R = 0.5
R=1
R=2
R=3
R=4
- x 2 /R
0.5
1.5
2
x/R
2.5
3.5
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Probability distributions
=0.2
=0.4
=0.6
=0.8
=1.0
=1.5
1
-[(x - ) 2 / 2 2 ]
f x (x) =
e
2
-3
-2
-1
x/
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Probability distributions
_1_
b -a
0
0
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Probability distributions
x < 0: fx (x) = 0
x 0:
f x (x) =
1
s 2 x
e - [ (ln(x)-m )
/ 2s
parameters:
m=0
s = variable
0.2
0.4
0.6
0.8
1
1.5
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Probability distributions
x < 0: fx (x) = 0
x 0:
parameters
=1
c = variable
c c 1 (x )
f(x) = c x
F(x) = 1 e
Note:
1
2
3
4
(x )
Weibull with c = 1
with c = 2
exponential
Rayleigh = 1
Shipbuilding 5
Probability distributions
u(x) f
is finite
(x) dx
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Probability distributions
X = E [X] = x f x (x) dx
Note:
it represents the
order 1 moment (static
moment) of the area of fX(x)
with respect to axis y, (normal
to x in 0). As the area itself is
equal to 1 (fundamental
property
of
fX(x)),
it
corresponds also to the x
coordinate of the centre of
gravity of the area itself.
fX(x)
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Probability distributions
fX(x)
xm
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Probability distributions
Shipbuilding 5
Probability distributions
f X (x) dx
= 1 FX (+Xk) = k
xk
we may be interested in defining the average value of the fractile, i.e. the mean of values
x k = E[X
x k X ] =
x f X (x) dx
xk
f X (x) dx
1
=
k
x f X (x) dx
ak
xk
If k=1/3, the above mentioned average takes the name of significant value : x1/3
x1/3 = 3
x f X (x) dx
x 1/3
Shipbuilding 5
Probability distributions
x1/k
0.89 R
1/3
1.42 R
1/10
1.80 R
1/100
2.36 R
1/1000
2.81 R
1/10000
3.192 R
Shipbuilding 5
Probability distributions
Variability indexes
E [X 2 ] = x 2 f x (x) dx
Note: it represents the moment of inertia of the density distribution (with respect to
the reference axis
Variance of X: var [X] or x2
Note: it represents the moment of inertia of the density distribution with respect to
an axis through the barycentre
As a consequence (Huygin theorem):
2x = E [(X - x ) 2 ] = E [X 2 ] - x
Shipbuilding 5
Probability distributions
x = var [X]
Note: It represents the inertia radius. It quantifies the dispersion of the distribution
around the mean value x.
Coefficient of variation C.o.V.
C.o.V.= x/x
Shipbuilding 5
Probability distributions
Shape indexes
Skewness coefficient
1
1 = 3
x
3
(x
)
f x (x) dx
x
Note: if the distribution has an axis of symmetry, x belongs to the axis and 1 = 0
e.g: Gaussian distribution
Flatness coefficient (Kurtosis)
1
2 = 4
x
4
(x
)
f x (x) dx
x
Shipbuilding 5
Probability distributions
distribution
param.
Rayleigh
Gaussian
Log-normal
Weibull
mean
E[x] =
2
E[x] =
m, s
s
E[x] = exp m +
c,
1 1
E[x] = 1 +
c
variance
Var[x] = 1 R
4
Var[x] = 2
){ ( ) }
2
1 2 1
Var[x] = 2 1 + 1 +
c c
Shipbuilding 5
Probability distributions
~ X X
X=
X
[~ ]
average value = E X = X~ = 0
st. dev.
[~ ]
= X~ = Var X = 1
f X~ (~
x) is Gaussian, too (linear transformation of variable)
In this case the distribution is called normalised Gaussian distribution, indicated with
and (respectively density and cumulative distributions).