DISTRIBUTION FUNCTIONS (Revision)

The distribution function [or cumulative distribution function

(cdf)] of X is the function defined by

Most of the information about a random experiment described

by the r.v. X is determined by the behavior of FX(x)
Properties of FX(x):

Determination of Probabilities from the Distribution

Function:
From definition (2.4), we can compute other probabilities,
such as P(a < X <= b), P(X > a), and P(X < b):

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DISCRETE RANDOM VARIABLES AND
PROBABILITY MASS FUNCTIONS:
Let X be a r.v. with cdf FX(x). If FX(x) changes values only in
jumps (at most a countable number of them) and is constant
between jumps-that is, FX(x) is a staircase function then X is
called a discrete random variable. Alternatively, X is a
discrete r.v. only if its range contains a finite or countably
infinite number of points.
Suppose that the jumps in FX(x) of a discrete r.v. X occur at
the points x,, x,, . . . , where the sequence may be either finite
or countably infinite, and we assume xi < xj if i < j.

The function px(x) is called the probability mass function

(pmf) of the discrete r.v. X.

CONTINUOUS RANDOM VARIABLES AND

PROBABILITY DENSITY FUNCTIONS:
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Let X be a r.v. with cdf FX(x). If FX(x) is continuous and. also
has a derivative dFx(x)/dx which exists everywhere except at
possibly a finite number of points and is piecewise
continuous, then X is called a continuous random variable.
Alternatively, X is a continuous r.v. only if its range contains
an interval (either finite or infinite) of real numbers. Thus, if
X is a. continuous r.v., then

Probability Density Function: of a continuous random

variable is defined as

Properties of fx(x) :

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Statistics:
Mean:
The mean (or expected value) of a r.v. X, denoted by µx or
E(X), is defined by

An important quantity is the coefficient of variation of the

positive random variable X defined as

The coefficient of variation is a (dimensionless) measure of

the variability of the random variable X.

Moment:
The nth moment of a r.v. X is defined by:

The mean and variance of the Bernoulli r.v. X are

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Bernoulli distribution:
A r.v. X is called a Bernoulli r.v. with parameter p if its pmf
is given by:

where 0<= p <= 1. By, the cdf FX(x) of the Bernoulli r.v. X is
given by:

Poisson distribution
In many practical situations we are interested in measuring
how many times a certain event occurs in a specific time
interval or in a specific length or area. For instance:
1 the number of phone calls received at an exchange or call
centre in an hour;
2 the number of customers arriving at a toll booth per day;
3 the number of defects on a length of cable;
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4 the number of cars passing using a stretch of road during a
day.
The Poisson distribution plays a key role in modelling such
problems.

The Poisson distribution is a discrete probability distribution

for the counts of events that occur randomly in a given
interval of time (or space).
If we let X = The number of events in a given interval t.
Then, if the mean number of events per unit time is
The probability of observing k events in a given interval, t, is
given by

− λt (λt ) k
P( X = k ) = e
k!

The corresponding cdf is:

k
(λt )i
FX (k ) = e − λt
∑ i!
0

The average = E(X) = t

The Variance = t

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Uniform Distribution:
A r.v. X is called a uniform r.v. over (a, b) if its pdf is given
by

The cdf is:

Statistics are:

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Negative Exponential Distribution:
A r.v. X is called an exponential r.v. with parameter >0 if its
pdf is given by:

The cdf is:

The most interesting property of the exponential distribution

is its "memoryless" property. By this we mean that if the
lifetime of an item is exponentially distributed, then an item
which has been in use for some hours is as good as a new
item with regard to the amount of time remaining until the
item fails. The exponential distribution is the only distribution
which possesses this property.

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Normal (or Gaussian) Distribution:
r.v. X is called a normal (or gaussian) r.v. if its pdf is given
by

The cdf is:

Also:

The normal r.v. is probably the most important type of

continuous r.v. It has played a significant role in the study of
random phenomena in nature. Many naturally occurring
random phenomena are approximately normal.

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Sum of Two Poisson Variables:
Prove the following: If two Poisson variables X, Y have
rates 1 & 2 respectively. If a third variable Z is constructed
by adding X & Y, then Z is also a Poisson variable that has a
rate of 1+ 2.

Example: Now suppose we know that in hospital A births

occur randomly at an average rate of 2.3 births per hour and
in hospital B births occur randomly at an average rate of 3.1
births per hour. What is the probability that we observe 7
births in total from the two hospitals in half an hour period?

Erlang distribution:
A random variable X has an Erlang-k (k = 1; 2; : : :)
distribution with mean k/µ if X is the sum of k independent
random variables X1; : : : ;Xk having a common exponential
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distribution with mean 1=. The common notation is Ek()
or briefly Ek. The density of an Ek(µ) distribution is given by:

The distribution function equals:

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