AMA528 Lec1 PDF

AMA528
PROBABILITY AND STOCHASTIC MODELS

Department of Applied Mathematics
Lecturer & Tutor: Dr. Daihai He
Contact: 2766 7864 (O); Ofce Venue: HJ614
Consultation Hours: 2:00pm-4:00pm, Fri.
E-mail: daihai.he@polyu.edu.hk
1-14/09/2014
AMA528 (By Dr. Catherine Liu) Chapter 1 R.V., Distribution, & Related Issues 1-14/09/2014 1 / 1
CHAPTER 1
RANDOM VARIABLES AND DISTRIBUTIONS
References:
Chapter 2, 3, 4, 5 & 7, ROSS, S. M. A First Course in Probability. 7th
+
Ed., Pearson
Chapter 2 & 3, Klugman, S.A., Panjer, H.H., and Willmot, G.E. Loss Models from Data to Decisions. 4th Ed. Wiley
Chapter 2, Ross, S.M. Introduction to Probability Models. 8th+ Ed., Pearson
Chapter 4, Walpole, R.E., Myers, R.H., Myers, S.L. and Ye, K. Probability and Statistics for Engineers and Scientists. 9th Ed.
Pearson.
Outline
1
Fundamental probability
2
Univariate random variable, distribution, and other key functions
3
Discrete r.v. and distributions
4
Continuous r.v. and distributions
5
Moments
6
Quantiles and boxplots
7
MGF and other key functions
I Probability: some concepts and terminologies
Approaches to probability different approaches.
We use axiomatic approach: probabilities are dened as mathematical
objects that behave according to certain well-dened rules
Sample Space : S = set of all possible outcomes
Event : any subset of S
Experiment : any process of observation or measurement
Eg Roll a die; see the number turning up. (Experiment)
Sample space is
S = {1, 2, . . . , 6}
The event that the number turned up is even is
A = {2, 4, 6}
The event that the number is less than 4 is
B = {1, 2, 3}
{Notice that S, A, B above are called sets in set theory}
Union of 2 events A, B write as A B, can also read as A or B, meaning either A
occurs or B occurs (or both occur)
Intersection of 2 events A, B write as A B, can also read as A and B, meaning both
A and B occur
Complement of an event A write as A
, meaning the event that A does not occur ,

and thus contains all the elements of S that are not in A.
Consider the event E that the number is less than 2,
i.e. E = {1},
A E =
empty set
In such cases, the 2 events A and E are said to be mutually exclusive or disjoint .
Venn Diagrams
A B A B

A B A B
A
A B =

A B

A
Some laws of set theory:
(i) A B = B A
(ii) A B = B A
(iii) (A B) C = A (B C) = A B C
(iv) (A B) C = A (B C) = A B C
(v) (A B) C = (A C) (B C)
(vi) (A B) C = (A C) (B C)
(i) and (ii) are clear
(iii) A B C (iv) (A B) C

A B
C

A B
C
(v) (A B) C (A C) (B C)

A B
C
(vi) try yourself
II Probability of an event
Postulates of probability (no proof but make
sense)
1. P(A) 0, for any A S (any A which is a subset of sample
space S)
2. P(S) = 1
3. If A
1
, A
2
, A
3
, . . . is a nite or innite sequence of mutually
exclusive events of S, then
P(A
1
A
2
) = P(A
1
) + P(A
2
) +
Some rules of probability
1. P(A
) = 1 P(A)
2. P() = 0
3. If A B, then P(A) P(B)
4. 0 P(A) 1
5. P(A B) = P(A) + P(B) P(A B)
6. P(A B C) = P(A) + P(B) + P(C) P(A B)
P(A C) P(B C) + P(A B C)
7. P(A
B) = P(B) P(A B)
III Conditional probability and independent events
P(F W) = P(F|W)
P(W)
called Multiplication Rule (General)

Denition : For any events A and B, we have
P(A|B) =
P(A B)
P(B)
, where P(B) = 0
Intuitively sensible
Denition : Two events A and B are indepen-
dent, iff
P(A|B) = P(A|B
)
Denition : Two events A and B are indepen-
dent, iff
P(A B) = P(A) P(B)
Multiplication Rule (independent case)

Also note A and B are independent iff
P(A|B) = P(A)
IV Bayes Theorem
Note
P(A B) = P(A|B)P(B) = P(B|A)P(A)
=
P(B|A) =
P(A|B)P(B)
P(A)
, where P(A) = 0
Bayes Theorem (one form)
Remark : Get the reverse (conditional) probability
In general, for any event A; and k mutually ex-
clusive events B
1
, . . . , B
k
, and they are exhaus-
tive, i.e.
B
1
B
2
B
k
= S, and P(B
i
) > 0,
for all i . Then
P(B
r
|A) =
P(A|B
r
)P(B
r
)
k
i =1
P(A|B
i
)P(B
i
)
; r = 1, . . . , k
Bayes Theorem
Note:
P(A) = P(A B
1
) + P(A B
2
) + + P(A B
k
)
=
k
i =1
P(A|B
i
)P(B
i
)
is called rule (or law) of total probability (or rule of
elimination)
Random Variable
Random variable X A real-valued function dened on a sample space
with a probability measure.
Cumulative distribution function (cdf): F(x) = P(X x)
< x <
Properties of cdf F:
_
_
F
lim
b
F(b) = 1.
lim
b
F(b) = 0.
F is right continuous : F(x + 0) = F(x).
Eg: Suppose that a random variable X has the density function
f (x) =
_
1 |x 1|, for 0 < x < 2
0 elsewhere.
Find the cdf of X.
Discrete r.v.
Discrete r.v. A r.v. that can take on nite or
countable innite possible values
Probability mass function: p(a) = P {X = a}.
_
_
p(x
i
) 0 i = 1, 2,
p(x) = 0 all other values of x
i =1
p(x
i
) = 1.
Example 1
Continuous r.v.
Continuous r.v. P {X B} =
_
B
f (x)dx.
Eg:
_
b
a
f (x)dx = P {a X b}
Probability density function of the r.v. X: f .
Properties:
_
f (x) 0
_
f (x)dx = P {X (, )} = 1
All probability statements about X can be answered in terms of f .
P(X = a) = 0.
F is differentiable: dF(x)/dx =?
Example 2
A real number is randomly chosen from [0,1]. Then this number is squared. Let X
represent the result. Find the PDF and CDF for X .
Outline I
1
Bernoulli(*)
2
Binomial(x) (***)
3
Geometric
4
Hypergeometric
5
Negative binomial
6
Discrete uniform
7
Poisson (***)
1 Bernoulli distribution
A trial has 2 possible outcomes, success and
failure, with probabilities, p and 1 p, then the
number of successes X is being 0 or 1
f (x) =
_
1 p for x = 0
p for x = 1
failure success
x 0 1
f (x) 1 p p
= p
x
(1 p)
1x
, x = 0, 1 Bernoulli distribution
E(X) = p; Var (X) = p(1 p).
Example I.1
During a policy year, an AIA life insurance policy
either results in a single claim if the policyholder dies
with a probability of 0.1% or results in no claims
otherwise.
Find the average number of claims and its variability
on the policy during the policy year aforementioned.
2 Binomial distribution
Bernoulli trials: each trial has 2 possible outcomes
(to which the Bernoulli distribution applies),
repeatable, independent
X: # of successes in a sequence of n Bernoulli
trials with P (success) = p
Eg # of correct answers in n multiple choice questions purely by sheer
guessing
b(x; n, p) =
_
n
x
_
p
x
(1 p)
nx
, x = 0, 1, 2, . . . , n
Remarks w.r.t b(x;n,p)
Where does the name Binomial come from?
(q + p)
n
= b(0; n, p) + b(1; n, p) + + b(n : n, p).
The most often used discrete random distribution
Application area: Dichotomous outcomes in any
industrial situation;
Medical and military: cure, no cure; hit, miss;
Remarks w.r.t b(x;n,p)
E(X) = np, Var (X) = np(1 p); probability mass
functions when n=2, 3;
X =
n
i =1
Y
i
; sum of iid.
Application in insurance: model frequency, i.e. #
of losses;
Eg; The total # of rare events like burglaries or
res that happens to a group of geographically
dispersed homes.
In Exam P, binomial, negative binomial, and
geometric distributions will not be told.
Justify b(x;n,p).
Example I.2
As the lawyer for a client accused of murder, you are looking for ways
to establish reasonable doubt in the minds of the jurors. Central to
the prosecutors case is testimony from a forensics expert who claims
that a blood sample taken from the scene of the crime matches the
DNA of your client. One-tenth of 1% of the time, though, such tests are
in error.
Suppose your client is actually guilty. If six other labs in the country are
capable of doing this kind of DNA analysis (and you hire them all),
what are the chances that at least one will make a mistake and
conclude that your client is innocent?
3 Geometric distribution
Interested in the number of trials (X) to get the
rst success, where P(success) = p,
f (x) = (1 p)
x1
p x = 1, 2, . . .
E(X) = 1/p ; Var (X) = (1 p)/p
2
Remark
Memoryless property:
P(X = n 1 + k|X > n 1) = P(X = k).
Eg: Radioactive decay If time is divided into consecutive
intervals of equal duration, the period in which a nucleus decays is
modeled by the geometric distribution, where p is a function of the
atoms half-life.
Double-your-bet: One of the cant miss schemes that every
would-be gambler sooner or later reinvents is the double-your-bet
strategy. Imagine playing a series of evenly matched games. You
bet 1 on the rst game; if you lose, you bet $2 on the second
game; if you lose that one, too, you bet $4 on the third game; and
so on. Suppose you win for the rst time on the kth game, you net
winning will be $1.
It would appear that doubling our bets guarantees a prot. Where
is the catch?
Example I.3
1
At busy time a telephone exchange is very near capacity, so callers
have difculty placing their calls. It may be of interest to know the
number of attempts necessary in order to gain a connection. Suppose
that we let p = 0.05 be the probability of a connection during busy time.
We are interested in knowing the probability that 5 attempts are
necessary for a successful call.
2
The annual number of losses incurred by a policyholder of an auto
insurance policy, N, is geometrically distributed with parameters p = 0.4.
Find E(N 2|N > 2), Var (N 2|N > 2), E(N|N > 2), Var (N|N > 2).
4 Hypergeometric distribution
A bag of N balls, k red, N k orange. Select n
randomly without replacement. Let X be the no. of
the red balls selected
h(x; N, n, k) =
_
k
x
__
N k
n x
_
_
N
n
_
x = 0, 1, . . . , n
x k
n x N k
E(X) =
nk
N
; Var (X) =
nk(N k)(N n)
N
2
(N 1)
Remark
Sampling without replacement.
Eg: Acceptance sampling; electronic testing; quality assurance
Relationship to Binomial:
As a rule of thumb, a binomial distribution can be used to
approximate the hypergeometric distribution when
n
N
0.05. Thus
the quantity
k
N
plays the role of the binomial parameter p.
Example I.4
A manufacture of automobile tires reports that among a shipment of
5000 sent to a local distributor, 1000 are slightly blemished. If one
purchase 10 of these tires at random from the distributor, what is the
probability that exactly 3 are blemished?
5 Negative binomial distribution
Number of trials (X) needed to get k successes
f (x) =
_
x 1
k 1
_
p
k
(1 p)
xk
, x = k, k + 1, . . .
E(X) = k/p ; Var (X) = k(1 p)/p
2
Application in insurance
The number of claims is a negative binomial distribution if
i) The number of claims by the insured has a Poisson distribution with mean
;
ii) changes from one risk group to another (i.e. low risk insureds have a
lower average claim than a high risk group) and have a gamma distribution.
Example I.5
The total number of claims in a year incurred by a small block of auto
insurance policies is modeled as a negative binomial distribution with p = 0.2
and k = 5. If there is a claim, the claim amount is $2000 per claim for all
claims. Find the probability that the total amount of annual claims incurred by
this block of auto insurance will exceed $100, 000.
6 Discrete uniform distribution
Equally likely outcomes
f (x; k) =
1
k
, for x = x
1
, x
2
, . . . , x
k
E(X) =
k
i =1
x
i
k
;
Var (X) =
i
(x
i
)
2
1
k
Eg: Roll a die.

1 2 3 4 5 6
) (x f
x
6
1

Example I.6
When a light bulb is selected at random from a box that contains a 40-watt
bulb, a 60-watt bulb, a 75-watt bulb, and a 100-watt bulb, each element of the
sample space S = {40, 60, 75, 100} occurs with probability 1/4. i) Write out
its probability mass function; ii) Get the average and variability.
7 Poisson distribution
P(X = x) =

x
e
x!
, x = 0, 1, , n.
Poisson approximation to Binomial: n independent trials, each with
success rate p. When n is large and p is small enough to make np
appropriate, then the number of success occuring is approximately a
Poisson r.v. with parameter = np.
Application:
No. of people in a community who survive to age 80;
No. of misprints on a page of a book;
No. of customers entering a post ofce on a given day.
Example I.7
i) Mary hospital draws its patients from a rural area that has twelve thousand
elderly residents. The probability that any one of the 12 thousand will have a
heart attack on any given day and will need to be connected to a special
cardiac monitoring machine has been estimated to be one in eight thousand.
Currently the hospital has three such machines. What is the probability that
equipment will be inadequate to meet tomorrows emergencies?
ii) Suppose that typographical errors are made at the rate of 0.4 per page in
Poly Us campus newspaper. If next Thursdays edition is 16 pages long, what
is the probability that fewer than three typos will appear?
Outline II
1
Continuous Uniform Distribution(*)
2
Normal Distribution (****)
3
Gamma Distribution(**)
4
Exponential Distribution(***)
5
Lognormal Distribution
6
Weibull Distribution
7
Beta Distribution
8
Pareto Distribution
The continuous uniform distribution
pdf
f (x) =
_
1
if < x <
0, otherwise
cdf
F(x) =
_
_
1, if x
x
if < x <
0, if x .
E(X) =
+
2
, Var (X) =
()
2
12
Diagrams of pdf and cdf
Example II.1
1
The conference room in Department of Applied Mathematics can be
reserved for no more than 4 hours. However, the use of the conference
room is such that both long and short conferences occur quite often. In
fact, it can be assumed that length X of a conference has a uniform
distribution on the interval [0, 4]. What is the probability that any given
conference lasts at least 3 hours?
2
Suppose that X has a uniform distribution on the interval (0, a), where
a > 0. Find P
_
X > X
2
_
.
3
In a policy year, a low risk auto insurance policyholder can incur either
one loss with probability of p or no loss with probability of 1 p. p is
uniformly distributed over [0, 0.3]. If there is a loss, loss is uniformly
distributed over [500,2500].
Assume that the probability of having a loss and the loss amount are
independent. Find the expected loss incurred by the policyholder in a
policy year.
The univariate normal distribution
pdf
f (x, ,
2
) =
1
2
exp{
(x )
2
2
2
}, < x < .
cdf
F(x) =
_
x
f (t , ,
2
)dt
E(X) = , Var (X) =
2
Remark
Example II.2
1
An electrical rm manufacture light bulbs that have a life, before
burn-out, that is normally distributed with mean equal to 800 hours and a
standard deviation of 40 hours. Find the probability that a bulb burns
between 778 and 834 hours.
2
There are 90 students in a statistics class. Suppose each student has a
standard deck of 52 cards of his/her own, and each of them selects 13
cards at random without replacement from his/her own deck
independent of the others. What is the chance that there are more than
50 students who got at least 2 or more aces?
3
The annual claim amount for an auto insurance policy has a mean of
$30,000 and a standard deviation of $5,000. A block of auto insurance
has 25 such policies.
Assume individual claims from this block of auto insurance are
independent. Using normal approximation, nd the probability that the
aggregate annual claims for this block of auto insurance exceed
$800,000.
The Gamma distribution
pdf: > 0, > 0, () =
_
0
x
1
e
x
dx
f (x; , ) =
_
1
()
x
1
e
x/
if x > 0
0, elsewhere
E(X) = , Var (X) =
2
Alternative
f (y; , ) =
_

()
y
1
e
y
if y > 0
0, elsewhere
E(Y) = /, Var (Y) = /
2
Example II.3
1
Solve the integration
_
+
0
e
t
t
n
dt .
2
In a biomedical study with rats, a dose-response investigation is used to
determine the effect of the dose of a toxicant on their survival time. The
toxicant is one that is frequently discharged into the atmosphere from jet
fuel. For a certain dose of the toxicant the study determines that the
survival time, in weeks, has a gamma distribution with = 5 and = 10.
What is the probability that a rat survives no longer than 60 weeks?
The exponential distribution
pdf: > 0
f (y; ) =
_
e
y
if y > 0
0, elsewhere
E(Y) = 1/, Var (Y) = 1/
2
Alternative: > 0
f (x; ) =
_
1
e
x/
if x > 0
0, elsewhere
E(X) = , Var (X) =
2
Example II.4
1
Let X be the time (in hours) required to repair a computer system. We
assume that X has an exponential distribution with parameter = 1/4.
Find (a)The cdf of X.
(b) P(X > 4).
(c)P(X > 10|X > 8)
2
You have a car and a van. The time-to-failure of the car and the
time-to-failure of the van are two independent exponential random
variables with mean of 8 years and 4 years respectively.
Calculate the probability that the car dies before the van.
The Lognormal distribution
pdf
f (x, , ) =
_
1
2x
exp{
(lnx)
2
2
2
}, x 0.
0, x < 0
E(X) = e
+
2
/2
, Var (X) = e
2+
2
(e
2
1)
Example II.5
1
Concentration of pollutants produced by chemical plants historically are
known to exhibit behavior that resembles a lognormal distribution. This
is important when one considers issues regarding compliance to
government regulations. Suppose it is assumed that the concentration of
a certain pollutant, in parts per million, has a lognormal distribution with
parameters = 3.2 and = 1. What is the probability that the
concentration exceeds 8 parts per million?
2
The value of investing $1 in stocks for 20 years is G(dollars). Assume
that Y is lognormal with the parameters
ln Y
= 2 and
ln Y
= 0.3. Find
the probability that Y is between 6 and 8.
The Weibull distribution
Example II.7
For a Weibull random variable X with parameter
= 10 and k =
1
4
, nd the 80th percentile and
P(X > 20).
The generalized Beta distribution
where 0 x 1, B(, ) =
()()
(+)
, and B
x
(, ) =
_
x
0
t
1
(1 t )
1
dt .
Simplied Beta distribution
m = 1 & n = 1 N
+
{0}
f (x; m, n) =
(m+n+2)
(m+1)(n+1)
x
m
(1 x)
n
=
1
B(m+1,n+1)
x
m
(1 x)
n
= (m + n + 1)C
n
m+n
x
m
(1 x)
n
Example II.8
A random variable X, 0 X 1, has the following
pdf:
f (x) = kx
3
(1 x)
2
where k is a constant. Find P(X
1
3
) = F(
1
3
)
The Pareto distribution
cdf: > 0, > 0
F(x) = 1 (

x +
)
, 0 x < +
For k < , the k-th moment is
E(X
k
) =

k
C
k
1
Example II.9
A Pareto distribution has the parameter = 100 and = 2. Find the 60th percentile.
Moments
Denition: The r th raw moment (or just the r th
moment) of a r.v. X is E(X
r
), denoted by
r
,
provided that it exists:
r
= E(X
r
) =
j
x
r
j
f (x
j
) discrete
=
_

x
r
f (x)dx continuous
NB: The rst raw moment is called the mean of X.
Denition: The r th central moment of a r.v. X,
denoted by
r
, is E[(X )
r
].
So
1
= 0,
2
= E[(X )
2
] called the variance of X, denoted by
2
,
write as var(X) or V(X)
2
= E[X
2
] {E(X)}
2
=
2
is called standard deviation.
The ratio of the standard deviation to the mean is
called the coefcient of variation.
Remarks
sometimes we consider E[X
3
] and E[X
4
].
Skewness of a distribution:
3
E[(X )
3
]/
3
. If
3
> 0, the
distribution is skewed to the right.
NB: More accurate to call coefcient of skewness: asymmetry.
Kurtosis of a distribution:
4
E[(X )
4
]/
4
{or
4
=
4
3}
which measures the peakedness (narrow humped) of a distribution. If
4
< 0, the distribution is more peaked than a normal distribution.
NB: More accurate to call coefcient of kurtosis: atness.
Expectation
Denition: The expected value of X is
E(X) =
x
xf (x); =
_

xf (x)dx
(discrete) (continuous)
E(X) is also called mean of X, denoted by or
x
.
Properties
1. Expected value of a function g(X) is
E[g(X)] =
x
g(x)f (x) discrete
E[g(X)] =
g(x)f (x)dx continuous

Eg 2: A point, y, is selected at random from the interval [0,1], dividing the line
into two segments. What is the expected value of the ratio of the shorter
segment to the longer segment?
2. If a and b are constants, then
E(aX + b) = aE(X) + b;
E(aX) = aE(X); E(b) = b
3. If c
1
, . . . , c
n
are constants, then
E
_
n
i =1
c
i
g
i
(X)
_
=
n
i =1
c
i
E[g
i
(X)]
Median and mode
Median: If X is a discrete random variable, the median, m, is the point for
which
P(X < m) = P(X > m).
In the event that P(X m) = 0.5 and P(X m
) = 0.5, the median is

dened to be the arithmetic average, (m + m
)/2.
If Y is a continuous random variable, its median is the solution to the integral
equation, F(m) =
_
m
f
Y
(y)dy = 0.5.
Mode: The mode of a r.v. is the most likely value:
1) Discrete: the value with the largest probability;
2) Continuous: the value for which the density function is the largest.
Quantiles
pth Quantile Let X be a random variable with a continuous cdf F. For 0 < p < 1,
dene the pth quantile of X to be
p
= F
1
(p) or alternatively, F(
p
) = P(X
p
) = p.
NB:
1) It is also called the 100pth percentile of X.
2) Eg: 70th percentile= 0.7quantile;
0.5
but never
50
.
3) More strictly F(
p
) p F(
p
).
4) The 50th percentile
0.5
is called the median.
eg:
0.5
, the 0.5 quantile.
pth Sample Quantile of the order statistics Y
1
< < Y
n
:
X
1
, , X
n
i.i.d. X; k = p(n + 1).
Y
k
is reasonably taken as an estimate of the quantile
p
. Hence, Y
k
is called the pth
sample quantile.
Application of sample quantiles
Boxplot > Five number summary: minimum, the rst quartile, median, the third
quartile, and the maximum.
Eg I.5: The following data are the ordered realization of a random sample of size 15
on a random variable X: 56 70 89 94 96 101 102 102 102 105 106 108 110 113 116.
Find the ve number summary, the data range, and draw a boxplot of the data.
Q-Q plot The plot of Y
k
versus
z,p
k
is called a Q-Q plot.
Aim: Detect deviations from the normality.
Normal Q-Q plot The Q-Q plot using normal quantiles are called a normal Q-Q plot.
Moment generating function (MGF)
Denition: The moment generating function of a random variable X,
where it exits, is given by M
X
(t ) = E[e
tX
]
=
x
e
tx
f (x); =
_

e
tx
f (x)dx
(discrete) (continuous)
Theorem: The r th moment of X, E(X
r
) can be obtained as
d
r
M
X
(t )
dt
r
t =0
=
r
E(X
r
)
denoted by
M
(r )
X
(0)
Q1
f (x) =
1
8
_
3
x
_
, x = 0, 1, 2, 3 (discrete)
M
X
(t ) = E[e
tX
] =
1
8
3
x=0
e
tx
_
3
x
_
=
1
8
_
1 + 3e
t
+ 3e
2t
+ e
3t
_
= M
(1)
X
(0) =
3
2
,
2
= M
(2)
X
(0) = 3
2
=
3
4
Q2 Suppose that the moment generating function of a random variable X is
given by M(t ) = e
3(e
t
1)
. What is P{X < 2}?
Properties
Let a and b be constants, we have
1. M
X+a
(t ) = E[e
t (X+a)
] = e
at
M
X
(t )
2. M
bX
(t ) = E[e
tbX
] = M
X
(tb)
3. M
X+a
b
(t ) = E
e
t
X+a
b
= e
a
b
t
M
X
t
b
{Especially useful when a = , b = . }

4. When X is independent of Y, then
M
X+Y
(t ) = M
X
(t ) M
Y
(t )
Eg: Get the pmf or pdf of X + Y if X and Y are independent
binomial r.v.s with parameters (n, p) and (m, p), respectively.
Poisson r.v.s with parameters

1
and
2
, respectively.
normal r.v.s with parameters (

1
,
2
1
), (
2
2
,
2
2
), respectively.
Key functions
r .v. X cdf pmf /pdf MGF
Survival function: usually denoted S
X
(x), F(x) or S(x).
S(x) = P(X > x) = 1 F(x)
Hazard rate function: also known as force of mortality and failure rate, and
usually denoted (t ), h(t ), or h
T
(t ).
h
X
(x) =
f
X
(x)
S
X
(x)
NB: When X is continuous,
h(x) =
f (x)
1 F(x)
=
S
(x)
S(x)
=
d lnS(x)
dx
.
NB:
S(x) = e
x
0
h(y)dy
.

AMA528 Lec1 PDF

Caricato da

Informazioni sul documento

Descrizione originale:

Titolo originale

Copyright

Formati disponibili

Condividi questo documento

Condividi o incorpora il documento

Opzioni di condivisione

Hai trovato utile questo documento?

Questo contenuto è inappropriato?

Copyright:

Formati disponibili

AMA528 Lec1 PDF

Caricato da

Copyright:

Formati disponibili

AMA528

PROBABILITY AND STOCHASTIC MODELS

, meaning the event that A does not occur ,

called Multiplication Rule (General)

Multiplication Rule (independent case)

All probability statements about X can be answered in terms of f .

g(x)f (x)dx continuous

) = 0.5, the median is

{Especially useful when a = , b = . }

binomial r.v.s with parameters (n, p) and (m, p), respectively.

Poisson r.v.s with parameters

normal r.v.s with parameters (

Potrebbero piacerti anche