Time series Analysis

(Elective III)

Er. Sushil Adhikari

Department of Civil and Geomatic Engineering,
Pashchimanchal Campus
3. Statistical principles for time series modelling
3.1 Concept of probability distribution
a) Frequency:
 For discrete random variable, the number of occurrences of a
variate is generally called frequency.
 When the number of occurrences of a variate, or the
frequency, is plotted against the variate as the abscissa, a
pattern of distribution is obtained.
 The pattern is called the frequency distribution.
3. Statistical principles for time series modelling
3.1 Concept of probability distribution
b) Relative frequency function:
 If the number of observations (ni) in interval (i) is divided by
the total number of observations, the result is called relative
frequency function fs(x)
fs(x) =ni/n
 This is also called the probability of a function.
3. Statistical principles for time series modelling
3.1 Concept of probability distribution
c) Probability mass function (PMF) and Cumulative
Distribution Function (CDF) of discrete random variable :
 PMF: PMF gives the probability associated with all possible
values of random variable. For a discrete random variable X,
PMF (P(xi)) is given by
P(xi) = P[X=xi]
Properties of PMF
3. Statistical principles for time series modelling
3.1 Concept of probability distribution
c) Probability mass function (PMF) and Cumulative
Distribution Function (CDF) of discrete random variable :
 PMF: PMF gives the probability associated with all possible
values of random variable. For a discrete random variable X,
PMF (P(xi)) is given by
P(xi) = P[X=xi] P(x)
Properties of PMF

X
3. Statistical principles for time series modelling
3.1 Concept of probability distribution
c) Probability mass function (PMF) and Cumulative
Distribution Function (CDF) of discrete random variable :
 CDF: CDF is the probability of the event that the random
variable X is less than or equal to x, for every value x.

F(x)
For a discrete random variable,
the CDF is found by summing up
the probabilities.
P[X=xi] can be computed by
P[X=xi] = F[xi]- F[xi-1]
X
Numerical
𝑥+5
Q. Check whether the function given by 𝑃 𝑥 = for x=1,2,3,4
30

can serve as a probability function of discrete random variable?

Solution:

x P(x) F(x)
1 0.20 0.20
2 0.23 0.43
3 0.27 0.70
4 0.30 1.00
 PMF CDF
0.35 1.20

0.30
1.00
0.25
0.80
0.20
P(x)

F(x)
0.60
0.15
0.40
0.10
0.20
0.05

0.00 0.00
1 2 3 4 1 2 3 4
X
X

As 0 ≤ 𝑃 𝑥𝑖 ≤ 1 𝑎𝑛𝑑 σ 𝑃 𝑥𝑖 = 1, the given function can serve

as a probability function of discrete random variable.

PMF, P(2 ≤ 𝑥 ≤ 3) = σ𝑥≤3

𝑥≥2 𝑃 𝑋𝑖 = 0.23+0.27

CDF, F(3) = P(𝑥 ≤ 3) = P(1)+P(2)+P(3) = 0.2+0.23+0.27 = 0.7

 3.1 Concept of probability distribution
d. Probability Density Function (PDF) and Cumulative
Distribution Function (CDF) for continuous random variable

f(x) F(x)

X X
(PDF) (CDF)

PDF represents the probability associated with the random

variable, which is given by
X = specified value of variable x, f(x) = frequency of occurrence of
x, 𝑃(𝑎 ≤ 𝑋 ≤ 𝑏) is the probability that x lies between a and b.
The CDF for continuous random variable is given by

The magnitude of a variable corresponding to a probability of

exceedance is called quantiles.
Numerical
Q. The duration of a monsoon strom is a random variable whose pdf
is given by
𝑓 𝑥 = 𝑘𝑥 2 𝑓𝑜𝑟 0 ≤ 𝑥 ≤ 3ℎ
2
𝑓 𝑥 =𝑘 2−𝑥 𝑓𝑜𝑟 3ℎ ≤ 𝑥 ≤ 6ℎ
𝑓 𝑥 = 0 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒
i) Find the value of k.
ii) Determine the corresponding CDF.
iii) What is the probability that the duration of the storm is less than
2h?
iv) What is the probability that the duration of the storm is more
than 5h?
v) What is the probability that the duration of the storm is in
between 2h and 5h?
Solution:
i) For a pdf,
∞
න 𝑓 𝑥 𝑑𝑥 = 1
−∞
0 3 6 ∞
න 𝑓 𝑥 𝑑𝑥 + න 𝑓 𝑥 𝑑𝑥 + න 𝑓 𝑥 𝑑𝑥 + න 𝑓 𝑥 𝑑𝑥 = 1
−∞ 0 3 6
3 6
0 + න 𝑘𝑥 2 𝑑𝑥 + න 𝑘 2 − 𝑥 2 𝑑𝑥 +0=1
0 3

On solving, k =
ii) CDF,
𝑥
𝐹 𝑥 = න 𝑓 𝑥 𝑑𝑥
−∞
Solution:
0 3 𝑥
= න 𝑓 𝑥 𝑑𝑥 + න 𝑘𝑥 2 𝑑𝑥 + න 𝑘 2 − 𝑥 2 𝑑𝑥
−∞ 0 3

On solving
𝑥 3 𝑥 2 2𝑥
− + + 0.4
90 15 15
iii) 𝑃 −∞ ≤ 𝑥 ≤ 2
0 2
= න 𝑓 𝑥 𝑑𝑥 + න 𝑓(𝑥)𝑑𝑥 = ⋯ … … … … ?
−∞ 0

iv) 𝑃 5 ≤ 𝑥 ≤ ∞
6 ∞
= න 𝑓 𝑥 𝑑𝑥 + න 𝑓(𝑥)𝑑𝑥 = ⋯ … … … … ?
5 6
Solution:
v) 𝑃 2 ≤ 𝑥 ≤ 5
3 5
= න 𝑓 𝑥 𝑑𝑥 + න 𝑓(𝑥)𝑑𝑥 = ⋯ … … … … ?
2 3
Class work (Numerical)
Q. The duration of a monsoon strom is a random variable whose pdf
is given by
𝑓 𝑥 = 𝑘𝑥 2 𝑓𝑜𝑟 0 ≤ 𝑥 ≤ 4ℎ
2
𝑓 𝑥 =𝑘 8−𝑥 𝑓𝑜𝑟 4ℎ ≤ 𝑥 ≤ 8ℎ
𝑓 𝑥 = 0 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒
i) Find the value of k.
ii) Determine the corresponding CDF.
iii) What is the probability that the duration of the storm is less than
2h?
iv) What is the probability that the duration of the storm is more
than 6h?
v) What is the probability that the duration of the storm is in
between 3h and 7h?