Introduction to Probability and Statistics

7th Week (4/19)

Special Probability Distributions (2)

(Discrete) Poisson Distribution

-

Describe an event that rarely happens.

All events in a specific period are mutually independent.
The probability to occur is proportional to the length of the period.
The probability to occur twice is zero if the period is short.

(Discrete) Poisson Distribution

It is often used as a model for the number of events (such as the number of
telephone calls at a business, number of customers in waiting lines, number
of defects in a given surface area, airplane arrivals, or the number of
accidents at an intersection) in a specific time period.
If z > 0

Satisfy the PF
condition

Probability function :

(Discrete) Poisson Distribution

Ex.1. On an average Friday, a waitress gets no tip from 5 customers. Find the
probability that she will get no tip from 7 customers this Friday.
The waitress averages 5 customers that leave no tip on Fridays: = 5.
Random Variable : The number of customers that leave her no tip this Friday.
We are interested in P(X = 7).

Ex. 2 During a typical football game, a coach can expect 3.2 injuries. Find the
probability that the team will have at most 1 injury in this game.
A coach can expect 3.2 injuries : = 3.2.
Random Variable : The number of injuries the team has in this game.
We are interested in

(Discrete) Poisson Distribution

Ex. 3. A small life insurance company has determined that on the average it receives 6
death claims per day. Find the probability that the company receives at least seven
death claims on a randomly selected day.
P(x 7) = 1 - P(x 6) = 0.393697

Ex. 4. The number of traffic accidents that occurs on a particular stretch of road
during a month follows a Poisson distribution with a mean of 9.4. Find the probability
that less than two accidents will occur on this stretch of road during a randomly
selected month.
P(x < 2) = P(x = 0) + P(x = 1) = 0.000860

(Discrete) Poisson Distribution

Characteristics of Poisson Distribution

E(X) increases with parameter or .
The graph becomes broadened with increasing the parameter or

(Discrete) Poisson Distribution

Probability mass function

Cumulative distribution function

(Discrete) Poisson Distribution

(Discrete) Poisson Distribution

(Discrete) Poisson Distribution

Comparison of the Poisson
distribution (black dots) and the
binomial distribution with n=10 (red
line), n=20 (blue line), n=1000 (green
line). All distributions have a mean of
5. The horizontal axis shows the
number of events k. Notice that as n
gets larger, the Poisson distribution
becomes an increasingly better
approximation for the binomial
distribution with the same mean

Discrete Probability Distributions: Summary

Uniform Distribution
Binomial Distributions
Multinomial Distributions
Geometric Distributions
Negative Binomial Distributions
Hypergeometric Distributions
Poisson Distribution

Continuous Probability Distributions

What kinds of PD do we have to know to

solve real-world problems?

(Continuous) Uniform Distribution

(Continuous) Uniform Distributions

In a Period [a, b], f(x) is constant.

f(x)

E(x):

 Var(X)
:
F(X) :

If X U(0, 1) and Y = a + (b - a) X,
(1)Distribution function for Y
(2)Probability function for Y
(3)Expectation and Variance for Y
(4) Centered value for Y

(1)

Since y = a + (b - a) x so 0 y b,

(2)

(3)

(4)

(Continuous) Uniform Distributions

(Continuous) Exponential Distribution

Analysis of survival rate
Period between first and second earthquakes
Waiting time for events of Poisson distribution

For any positive

(Continuous) Exponential Distribution

From a survey, the frequency of traffic accidents X is given by

f(x) = 3e

-3x

(0 x)

(1)Probability to observe the second accident after one month of the first
accident?
(2)Probability to observe the second accident within 2 months
(3)Suppose that a month is 30 days, what is the average day of the
accident?

(1)

(2)
(3) =1/3, accordingly 10 days.

 Survival function :
Hazard rate, Failure rate:

A patient was told that he can survive average of 100 days. Suppose that the
probability function is given by

(1) What is the probability that he dies within 150 days.

(2) What is the probability that he survives 200 days

=0.01 :
F(x)=1-e

-x/100

S(x)=e

-x/100

(1) 150 :
P(X < 150) = F(150) = 1-e

-1.5

= 1-0.2231 = 0.7769

(2) 200
P(X 200) = S(200) = e

-2.0

= 0.1353

(Continuous) Exponential Distribution

Relation with Poisson Process
(1) If an event occurs according to Poisson process with the ratio , the waiting
time between neighboring events (T) follows exponential distribution with the
exponent of .

(Continuous) Gamma Distribution

(Continuous) Gamma Distribution

: shape parameter, > 0

: scale parameter, > 0

=1

(1, ) = E(1/)

(Continuous) Gamma Distribution

(Continuous) Gamma Distribution

Relation with Exponential Distribution
Exponential distribution is a special gamma distribution with = 1.

IF X1 , X2 , , Xn have independent exponential distribution with the same

exponent 1/, the sum of these random variables S= X1 + X2 + +Xn results in
a gamma distribution, (n, ).

If the time to observe an traffic accident (X) in a region have the following
probability distribution
f(x) = 3e

-3x

, 0<x<

Estimate the probability to observe the first two accidents between the first
and second months. Assume that the all accidents are independent.
X1 : Time for the first accident
X2 : Time between the first and second accidents
Xi Exp(1/3) , I = 1, 2
S = X1 + X2 : Time for two accidents
S (2, 1/3)
Probability function for S :

Answer:

(Continuous) Chi Square Distribution

A special gamma distribution = r/2, = 2

PD

E(X)
Var(X)

(Continuous) Chi Square Distribution

(Continuous) Chi Square Distribution

(Continuous) Chi Square Distribution

(Continuous) Chi Square Distribution

(Continuous) Chi Square Distribution

A random variable X follows a Chi Square Distribution with a degree of

freedom of 5, Calculate the critical value to satisfy P(X < x0 )=0.95

Since P(X < x0 )=0.95, P(X > x0 )=0.05.

From the table, find the point with d.f.=5 and =0.05

(Continuous) Chi Square Distribution

Why do we have to be bothered?

(Continuous) Weibull Distribution

The Weibull distribution is used:
In survival analysis
In reliability engineering and failure analysis
In industrial engineering to represent
manufacturing and delivery times
In extreme value theory
In weather forecasting
In communications systems engineering
In General insurance to model the size of
Reinsurance claims, and the cumulative
development of Asbestosis losses

The probability of failure can be modeled by the Weibull distribution

Ex) What is the failure ratio of the smart phone with time?

(Continuous) Weibull Distribution

The following are examples of engineering problems solved with Weibull
analysis:
A project engineer reports three failures of a component in service
operations during a three-month period. The Program Manager asks, "How
many failures will we have in the next quarter, six months, and year?" What
will it cost? What is the best corrective action to reduce the risk and losses?
To order spare parts and schedule maintenance labor, how many units will
be returned to depot for overhaul for each failure mode month-by-month next
year?

(Continuous) Weibull Distribution

Probability distributions for reliability engineering
Exponential
Random failure

Gamma
Log-Normal
Weibull
- The Weibull is a very flexible life distribution model
with two parameters.
- It has the ability to provide reasonably accurate failure
analysis and failure forecasts with extremely small
samples.

(Continuous) Weibull Distribution

For positive ,

PDF :
CDF :
Survival

(Continuous) Weibull Distribution

When a is 1, Weibull distribution reduces to the Exponential Model

(Continuous) Weibull Distribution

Failure function :

= 3, = 2
CDF : F(x)
SF : S(x)
FF : h(x)

(Continuous) Weibull Distribution

Failure function :

(Continuous) Weibull Distribution

: shape parameter
: scale parameter

< 1.0 indicates infant mortality

= 1.0 means random failures (independent of age)
> 1.0 indicates wear out failures

(Continuous) Weibull Distribution

(Continuous) Beta Distribution

Ex) Ratio of customers who satisfy the service
Ratio of time for watching TV in a day
, > 0
Beta function :
PDF condition

Relationship between gamma and beta functions

(Continuous) Beta Distribution

If < 1, the graph goes to left. If < 1, it goes to right.

<1

<1

(Continuous) Beta Distribution

If < 1, the graph goes to left. If < 1, it goes to right.

<1

<1

(Continuous) Beta Distribution

If = , the graph is symmetric
With increasing and , the graph becomes narrow.

, > 0

(Continuous) Beta Distribution

(Continuous) Beta Distribution

The ratio of customers who ask about LTE service (X) to the total customer in
the S* Telecom was represented by a beta distribution with =3 and =4.
(1) Probability distribution function for X
(2) Mean and variance
(3) Probability that 70% of the total customer asked.

(1)
(2)

(3) P(X 0.7) :

(Continuous) Normal Distribution

(Continuous) Normal Distribution

[Ref]
is the center of the graph and is the degree of variance.

is different and is same

is same and is different.

(Continuous) Normal Distribution

(Continuous) Normal Distribution

(Continuous) Normal Distribution

Standardization

(Continuous) Normal Distribution

(Continuous) Normal Distribution

(Continuous) Normal Distribution

Use of the table

(Continuous) Normal Distribution

Use of the table

(Continuous) Normal Distribution

(Continuous) Normal Distribution

(Continuous) Normal Distribution

(Continuous) Normal Distribution

Approximation of Binomial distribution using Normal distribution

(Continuous) Normal Distribution

Approximation of Poisson distribution using Normal distribution

X P()

X N(, )

(Continuous) Normal Distribution

Chemical Oxygen Demand (COD) of the water samples are known to be described by a
normal distribution with mean of 128.4 mg/L and standard deviation of 19.6 mg/L.
(1)Probability that the COD for a random water sample is less than 100 mg/L.
(2) Probability that the COD for a random water sample is between 110 and 130 mg/L.
2

(1) X N(128.4, 19.6 )

(2)

(Continuous) Central limit theorem

Central limit theorem
2

X1 , X2 , , Xn : random variable with mean and variance

Large n

(Continuous) Central limit theorem

(Continuous) Log-Normal Distribution

(Continuous) Student t Distribution

(Continuous) Student t Distribution

(Continuous) F Distribution

(Continuous) F Distribution

(Continuous) F Distribution
Effect of the degree of freedom

For , 100(1- )% : f(m, n)

(1) P(X f(m, n) ) =
(2) P(f1-/2(m, n) X f/2(m, n)) =
(3) F F (m, n) 1/F F (n, m)

(Continuous) F Distribution

Continuous Probability Distributions: Summary

Uniform Distribution
Exponential Distributions
Gamma Distributions
Chi-square Distributions
Weibull Distributions
Beta Distributions
Normal Distribution
Student t Distribution