Chapter 4

Continuous Probability Distribution

 Definition 4.1
• Let Y denote any random variable. The (cumulative)
distribution function of Y, denote by, F(y) is such that
• F(y)=P(Y≤y), - < y <
 Theorem 4.1

• Properties of Distribution Function 分配函數的性質：

• 1. F(y) is a non-decreasing function ( 非遞減 ) of y
• 2. F( and F( i.e. 0 ≤ F(y) ≤ 1.
 Definition 4.2
• Let Y denote a random variable with distribution function F(y),
Y is a continuous random variable if F(y) is continuous.
 Example
• p(y)=pyqn-y, y=0,1,2, let p=, find F(y)
 Definition 4.3

• Let F(y) be the distribution function for a continuous random

variable, Y. Then f(y)=, wherever the derivative exists, is called
the probability density function (p.d.f) for the random variable
Y.
 Theorem 4.2:
• Properties of a Density Function for a continuous random
variable.
• 1. f(y) for all y y
• 2.
 Theorem 4.3
• If random variable Y has a density function f(y) and a < b , then
the probability that Y falls in the interval [a,b] is F(b)-F(a).
 example
• F(y)=, find the p.d.f. of Y
• f(y)= , find F(y) and graph f(y) and F(y).
f(y)= , find c and P(1.
 Exercise 4.11
• f(y)= , find c and F(y).
 Definition 4.5:
• Y is a continuous random variable with p.d.f f(y). The expected
value of Y is
E(Y)=
 Theorem 4.4
• Let g(y) be a function of Y, then the expected value of g(y) is
E(g(Y))=
 Theorem 4.5(3.3)
• Let Y be a continuous random variable with probability density
function f(y) and c be a constant, then E(c)=c
• Proof: E(c)=
 Theorem 4.5 (3.4)
• Let Y be a continuous random variable with probability density
function f(y), g(Y) be a function of Y, and c be a constant. Then
E(cg(Y))=cE(g(Y))
• Proof: E(cg(Y))=
E(g(Y))
•
 Theorem 4.5 (3.5)
• Let Y be a continuous random variable with probability density
function f(y) and g1(Y), g2(Y),…, gk(Y) be k functions of Y and c1,
c2,…, ck are constants. Then
E(c1g1(Y)+ c2g2(Y)+… +ckgk(Y))=c1E(g1(Y))+c2E(g2(Y))+…+ckE(gk(Y))
Proof: E(c1g1(Y)+ c2g2(Y)+… +ckgk(Y))
=
=+ +…+
= E(g1(Y))+E(g2(Y))+…+E(gk(Y))
 Theorem 4.6
• Let Y be a continuous random variable with probability density
function f(y) and mean E(Y)= μ. Then
V(Y)=E((Y-μ)2)=E(Y2)-μ2
proof: E((Y-μ)2)=E(Y2-2μY+μ2)
=E(Y2)-2E(μY)+E(μ2)
=E(Y2)-2μE(Y)+E(μ2)
=E(Y2)-2μE(Y)+μ2
=E(Y2)-2μ2+μ2
=E(Y2)-μ2
• f(y)= , find E(Y) and V(y).
 solution
• E(Y)=
• V(Y)=
• f(y)= , find E(Y) and V(y).
 solution
• E(Y)=
• V(Y)=
• f(y)=, find the p.d.f. of Y
 solution
• E(Y)=0.4
• V(Y)=
 Gamma Probability Distribution
• 從開店到第一個顧客上門經過多少時間
• ( 等到公車所需花的時間 )
 Exponential Distribution
• Waiting time W is a random variable
• F()=P(W= 1- P(W>)
• = 1-P(no chance in (0, ω) )
• = 1- 0~ω 的區間
• f()= , let y= ω
• f(y)= , let ,
• f(y)= , y > 0.
 MGF of exponential distribution
• M(t)=E(ety)=
• =
• =
• = =
• == =
• To prove that M’(t=0)=
•

• M’’(t=0)=
• Gamma Distribution G(
• 等到第 α 班公車的時間 ,
• 時 → exponentinal distribution 指數分配
• Y : waiting time , 第 α 次公車來的時間 假設 α= 5
• F(y)=P(Y 這個時間內可能有 0.1.2.3.4 班公車來
• =1- → distribution function of Y
•
 dF ( y )
f ( y)    (   )e   y , 當 k = 0
dy
1 ( y )0  e  y ( y )1 ( )e   y
[  ] , 當k=1
1! 1!
• f(y)= 2  ( y)1  e  y ( y) 2 ( )e   y
[  ] , 當k=2
2! 2!
3  ( y ) 2  e   y ( y ) 3 (   ) e   y
[  ] , 當k=3
3! 3!
⋮
(  1)  ( y) 2  e  y ( y) 1 ( )e  y
[  ] , 當 k =α- 1
(  1)! (  1)!
  y 1e  y 1
 , 令 
(  1)! 
y
 1 
y e
 ~ y0
(  1)!  
y
 1 
y e
( )  (  1)! f ( y)  
, 0 y
( )
• 已知
• →
•
• , 令
•
•
•

•
•
•
•
•
•
•
•
•
•
 Chi-Square distribution 卡方分配

• 當 , v=degrees of freedom 自由度

• 標準常態分配

•
 Uniform Probability Distribution 均勻分配

• Definition 4.6:
If
• （ p f ）：

•
• ＊沒有 mgf
•

•
•

•
•
•
•
 Exercise 4.38:

• Y has a uniform distribution over the interval ( 0 , 1 )

a. Find ?
b.Show that and depends only upon the value of b.
 solution

b.
• Normal Distribution 常態分配
• 鐘形對稱單峰
• 已知

•
•
•
•
•

• 標準化
 Theorem 4.12
• Let Y be a random variable with f(y) , g(Y) is a function of Y.
• Then the MGF of g(Y) is
•
• Let z = , z is the standard normal distribution
 MGF of standard normal distribution

•
• )
• 當時