1.

(Deterministic)
(Random)
(Stochastic Process)
Random Deterministic
Random



Random

 2.


Random
(Probability
Distribution)
A
Sample space
A nA/n

(1)
 P(A) = lim nA/n (1)
N

P(A) = A, nA=
A n =
Objective Probabilities

Random

Subjective Probabilities
 3.



(Frequency and Probability
Functions)
Observations
(Identically distributed)
Histogram
Random
(Intervals)
plot
X Histogram

Histogram
ni Observations
 fs(xi) = ni/n (2)

(2)
Random X (Xi- X, Xi)
Subscript s


(Cumulative Frequency
Function) Fs(x) (3)
 Fs(xi) =
j=
fs(xj) (3)
1

P( x xI)
(Cumulative probability) xi

n


 f(x) = lim. fs(xi) (4)
n x
n





F(x) (5)
n F(x) = lim. F s
(x)
n
(5)


(Derivative) F(x)
dx
Probability Density Function
f(x)= d F(x)
(6)
 fit (Sample)
(Theoretical Distribution)
( fs(xi))
(Fs(xi))
(F(x)) Probability density function
(f(x)) 1
(a)



 1 Fit

 4.

(Sample)

(Inferential Statistic)
1

 1


(Probability Distribution
Functions)
5.1 (Gumbel Distribution)

Double Exponential Distribution Function
Type I General Extreme Value
(7) - (8)
 F (x) =exp [ - exp ( - (x xo))] (7)

- < X <
F (x) =
Cumulative Distribution Function (CDF) of x
Xo =
Location Parameter (Mode)
= Scale
Parameter
F ( Xo) = 0.3679
 Probability Density Function (PDF) f
(x) (7)

f (x) = 1 exp [ - ( x xo) - exp [ - ( x

xo)] ] (8)




(mean ; )
(variance ; 2)
(skewness coefficient ; )

(9) (13)
 (9)

(10)

= (11)
 X0 = X - 0.45
Sx
(12)
= 0.7797 Sx

(13)
X = (mean
of samples)
Sx =
(standard deviation of samples)
 5.2 2
( Lognormal 2 parameters Distribution)

X Y = lnX
Y
y y
X
y
y
(14) - (15) Probability Density
Function of X (14) (1
4)
Cumulative Distribution Function of X
 (15)

0 < X <
y = Location Parameter
y = Scale Parameter

2

(mean; y) (standard
deviation; y) (16) (17)

(16)

(17)
6.


(Goodness of Fit Test of Probability
Distribution Function)

Smirnov-
Kolmogorov
Chi - Square
 6.1 Smirnov-Kolmogorov
(Goodness of Fit
Test)


Smirnov-Kolmogorov
2


max
= MAX
F(X)
F(X) Smirnov-Kolmogorov ( 18)
(18)
max < N,

 2 ( ) Smirnov
Kolmogorov
(Yevjevich, V.,
 6.2 Chi-Square
Chi Square

Chi Square
i Smirnov
Kolmogorov X
2
= X2 (N j Chi Square
X j=1
NPj) (19)
2
2
Nj =
(Class) j
N =
Pj = (Probability)
j
j = j
 3 X2 degree of
freedom