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Continuous Probability Distributions

The document discusses continuous probability distributions and their properties. It defines concepts like probability density functions, cumulative distribution functions, and expected values for continuous random variables. It also provides an example of using a triangular distribution to model the benefits of a flood control project, defining the distribution and calculating expectations and variance. Finally, it defines the uniform distribution and gives its probability density function and expectations.

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Jeff Hardy
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© © All Rights Reserved
Available Formats
Download as PPT, PDF, TXT or read online on Scribd
0% found this document useful (0 votes)
65 views

Continuous Probability Distributions

The document discusses continuous probability distributions and their properties. It defines concepts like probability density functions, cumulative distribution functions, and expected values for continuous random variables. It also provides an example of using a triangular distribution to model the benefits of a flood control project, defining the distribution and calculating expectations and variance. Finally, it defines the uniform distribution and gives its probability density function and expectations.

Uploaded by

Jeff Hardy
Copyright
© © All Rights Reserved
Available Formats
Download as PPT, PDF, TXT or read online on Scribd
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Continuous Probability

Distributions

Continuous Random Variables and


Probability Distributions

Random Variable: Y
Cumulative Distribution Function (CDF): F(y)=P(Yy)
Probability Density Function (pdf): f(y)=dF(y)/dy
Rules governing continuous distributions:
f(y) 0 y

f ( y )dy 1

P(aYb) = F(b)-F(a) =

P(Y=a) = 0 a

f ( y )dy

Expected Values of Continuous RVs

Expected Value : E (Y ) yf ( y )dy (assuming absolute convergence)

E g (Y ) g ( y ) f ( y )dy

y 2 y f ( y )dy y f ( y )dy 2
E Y 2 ( ) (1) E Y

Variance : V (Y ) E (Y E (Y )) ( y ) 2 f ( y )dy
2

yf ( y )dy

E aY b (ay b) f ( y )dy a yf ( y )dy b f ( y )dy

a( ) b(1) a b

V aY b E (aY b) E (aY b)

(ay a ) f ( y )dy a

aY b a

(ay b) (a b) f ( y )dy

( y ) 2 f ( y )dy a 2V (Y ) a 2 2

f ( y )dy

Example Cost/Benefit Analysis of


Sprewell-Bluff Project (I)
Subjective Analysis of Annual Benefits/Costs of
Project (U.S. Army Corps of Engineers assessments)
Y = Actual Benefit is Random Variable taken from a
triangular distribution with 3 parameters:
A=Lower Bound (Pessimistic Outcome)
B=Peak (Most Likely Outcome)
C=Upper Bound (Optimistic Outcome)

6 Benefit Variables
3 Cost Variables
Source: B.W. Taylor, R.M. North(1976). The Measurement of Uncertainty in Public Water Resource
Development, American Journal of Agricultural Economics, Vol. 58, #4, Pt.1, pp.636-643

Example Cost/Benefit Analysis of


Sprewell-Bluff Project (II) ($1000s, rounded)
Benefit/Cost

Pessimistic (A) Most Likely (B)

Optimistic (C)

Flood Control (+)

850

1200

1500

Hydroelec Pwr (+)

5000

6000

6000

Navigation (+)

25

28

30

Recreation (+)

4200

5400

7800

Fish/Wildlife (+)

57

127

173

Area Redvlp (+)

830

1192

Capital Cost (-)

-193K

-180K

-162K

Annual Cost (-)

-7000

-6600

-6000

Operation/Maint(-)

-2192

-2049

-1742

Example Cost/Benefit Analysis of SprewellBluff Project (III) (Flood Control, in $100K)


Triangular Distribution with:
lower bound=8.5
Peak=12.0

8.5 y 12.0
k ( y 8.5) 3.5

f ( y ) k (15.0 y ) / 3.0 12.0 y 15.0


0
elsewhere ( y 8.5, y 15.0)

upper bound=15.0
Choose k area under density curve is 1:
Area below 12.0 is: 0.5((12.0-8.5)k) = 1.75k
Area above 12.0 is 0.5((15.0-12.0)k) = 1.50k
Total Area is 3.25k k=1/3.25

Example Cost/Benefit Analysis of


Sprewell-Bluff Project (IV) (Flood Control)
( y 8.5) 11.375 8.5 y 12.0

f ( y ) (15.0 y ) / 9.75 12.0 y 15.0


0
elsewhere

y 8.5 F ( y ) 0

8.5 y 12 F ( y ) (t 8.50) 11.375 dt (1 / 11.375) t 2 2 8.5t


8.5

y
8.5

12 y 15 F ( y ) F (12) (15 t ) 9.75 dt .5385 (1 / 9.75)15t t 2


.5385 15 y y 2 15(12) 12 2 9.75
.5385 216 30 y y 19.5 12 y 15

y 2 8.5 y 8.5 2 8.5 11.375 y

y 12 F ( y ) 1

17 y 8.52 22.75

12

y
12

Example Cost/Benefit Analysis of


Sprewell-Bluff Project (V) (Flood Control)
( y 8.5) 11.375 8.5 y 12.0

f ( y ) (15.0 y ) / 9.75 12.0 y 15.0


0
elsewhere

y 8.5
0
3.175824 0.747253 y 0.043956 y 2
8.5 y 12

F ( y)
2

10
.
538462

1
.
538462
y

0
.
051282
y
12 y 15

1
y 15

Example Cost/Benefit Analysis of Sprewell-Bluff Project (VI) (Flood Control)

Example Cost/Benefit Analysis of Sprewell-Bluff Project


(VII) (Flood Control)

12

E (Y ) yf ( y )dy y

8.5

15 15 y
y3
y 8 .5
8.5 y 2
dy y
dy 29.25 19.5
12
9.75
11
.
375

12

15 y 2
y3

22
.
75
34
.
125

8 .5

15

12

123
8.5(12) 2 8.53 8.53 153
153 15(12) 2
123




29
.
25
19
.
5
29
.
25
19
.
5
22
.
75
34
.
125
22
.
75
34
.
125



59.08 62.77 21.00 31.49 148.35 98.90 94.95 50.64


3.69 10.49 49.45 44.41 11.84

E Y2

15
y 4 8.5 y 3
2
2 y 8.5
2 15 y
y f ( y )dy y
dy 12 y 11.375 dy 39 29.25

8 .5
9
.
75

12

12

15 y 3
y4

34
.
125
45
.
5

8.5

12 4 8.5(12)3 8.54 8.54 154


154 15(12)3 12 4




39
29
.
25
39
29
.
25
34
.
125
45
.
5
34
.
125
45
.
5



531.69 502.15 133.85 178.46 1483.52 1112 .64 759.56 455.74


29.54 44.61 370.88 303.82 141.21

V (Y ) E Y 2 E (Y ) 141.21 11.84 2 141.21 140.19 1.02


1.02 1.01

15

12

Uniform Distribution
Used to model random variables that tend to occur
evenly over a range of values
Probability of any interval of values proportional to its
width
Used to generate (simulate) random variables from
virtually any distribution
Used as non-informative prior in many Bayesian
analyses

1
b a
f ( y)

a yb
elsewhere

0
ya
F ( y)
ba
1

ya
a yb
yb

Uniform Distribution - Expectations


E (Y )

E Y2

1
1 y
y
dy

ba
ba 2

2 b

b 2 a 2 (b a )(b a ) b a

2(b a )
2(b a )
2

3 b

1
1 y
y
dy

a
b

b 3 a 3 (b a )(a 2 b 2 ab)

3(b a )
3(b a )

(a 2 b 2 ab)

V (Y ) E Y 2 E (Y )
2

(a b ab) b a

3
2
2

4(a 2 b 2 ab) 3(b 2 a 2 2ab) a 2 b 2 2ab (b a ) 2

12
12
12
(b a ) 2 b a

0.2887(b a )
12
12

Exponential Distribution
Right-Skewed distribution with maximum at y=0
Random variable can only take on positive values
Used to model inter-arrival times/distances for a
Poisson process
1 y /
e

y0

elsewhere

f ( y)

F ( y)

1 t
1
e dt

1 t
e

y
0

e y e 0 1 e y

y0

Exponential Density Functions (pdf)

Exponential Cumulative Distribution Functions (CDF)

Gamma Function

( ) y 1e y dy
0

( 1) y e y dy Integrating by Parts :
0

u y du y 1dy
dv e y dy v e y

( 1) y e dy uv vdu y e
y

y 1e y dy
0

0 (0) y 1e y dy ( ) (Recursive Property)


0

Note that if is an integer, ( ) ( 1)!


Consider the integral :
y x dy dx

y
0

1 y

EXCEL Function:

y 1e y dy

dy ( x )
0

1 x

Letting x y :

e dx

=EXP(GAMMALN(

x 1e x dx ( )

Exponential Distribution - Expectations


E (Y )

1 y
1 y
2 1 y
y e
dy

ye
dy

y
e dy

0
0

1
(2) 2 (2 1)!

1 2 y
2
2 1 y
E Y y e
dy y e dy y 31e y dy

0
0
0

1
(3) 3 2 (3 1)! 2 2

2
V (Y ) E Y 2 E (Y ) 2 2 ( ) 2 2

Exponential Distribution - MGF


M (t ) E etY

1
t

1 y
ty 1 y
e e
dy 0 e

1t

dy

1 y *

*
dy e
dy
where
0

1 t
1 1 y *
*
*
1
1
M (t )
e

(
0

1
)

(
1

t
)

0
1 *

1 t
1 y
e
0

M ' (t ) 1(1 t ) 2 ( ) (1 t ) 2
M ' ' (t ) 2 (1 t ) 3 ( ) 2 2 (1 t ) 3
E (Y ) M ' (0)
V (Y ) M ' ' (0) M ' (0) 2 2 2 2
2

Exponential/Poisson Connection
Consider a Poisson process with random variable X being
the number of occurences of an event in a fixed time/space
X(t)~Poisson(t)
Let Y be the distance in time/space between two such
events
Then if Y > y, no events have occurred in the space of y
Exponential "Survival ": P (Y y ) e y
e y ( y ) 0
Poisson Probability : P ( X ( y ) 0)
e y
0!
1 Inter - arrivals distances in Poisson Process are Exponential with mean 1

Gamma Distribution

Family of Right-Skewed Distributions


Random Variable can take on positive values only
Used to model many biological and economic characteristics
Can take on many different shapes to match empirical data

1
1 y
( ) y e

y 0, , 0

otherwise

f ( y)

Obtaining Probabilities in EXCEL:


To obtain: F(y)=P(Yy)

Use Function:

=GAMMADIST(y,,1)

Gamma/Exponential Densities (pdf)

Gamma Distribution - Expectations


1
1
1 y
y

E (Y ) y
y
e
dy

y
e dy

0
( )
( )

1
1
( 1)
( 1) 1 y
1

y
e dy
( 1)

( )
( )
( )
( )


( )

1
1
1 y
1 y

E Y y
y
e
dy

y
e dy

0
( )
( )

1
1
( 2) 2
( 2 ) 1 y
2

y
e dy
( 2)

( )
( )
( )

( 1)( 1) 2 ( 1)( ) 2

( 1)
( )
( )

V (Y ) E Y 2 E (Y ) ( 1) ( ) 2 2 2 2 2 2 2

Gamma Distribution - MGF


M (t ) E e

tY

1
1 y
dy
y
e

( )

ety

1
t

1 t

1
1
1
1
y
e
dy

y
e
0
0
( )
( )

1 y *
*

y
e
dy
where

( ) 0
1 t
1
*

M (t )

(
1

t
)
( )

dy

M ' (t ) (1 t ) 1 ( ) (1 t ) 1
M ' ' (t ) ( 1) (1 t ) 2 ( ) ( 1) 2 (1 t ) 2
E (Y ) M ' (0)
V (Y ) M ' ' (0) M ' (0) ( 1) 2 ( ) 2 2
2

Gamma Distribution Special Cases


Exponential Distribution
Chi-Square Distribution ( integer)

E(Y)= V(Y)=2
M(t)=(1-2t)-
Distribution is widely used for statistical inference
Notation: Chi-Square with degrees of freedom:

Y~

Normal (Gaussian) Distribution


Bell-shaped distribution with tendency for individuals to
clump around the group median/mean
Used to model many biological phenomena
Many estimators have approximate normal sampling
distributions (see Central Limit Theorem)

f ( y)

1
2

1 ( y )2

2 2

y , , 0

Obtaining Probabilities in EXCEL:


To obtain: F(y)=P(Yy)
Use Function:

=NORMDIST(y,,,1)

Normal Distribution Density Functions (pdf)

Normal Distribution Normalizing Constant

Consider the integral : e

( y )2

dy k

2 2

Changing variables : z

k e

( y )2
2

(we want to solve for k )

y
dz 1

dy dz

dy

dy e

z2
2

z2


k
dz e 2 dz

1
1
2
z12 z 22
k
2
2
e dz1 e dz 2 e 2
dz1dz 2


Changing to Polar Co - Ordinates :
z1 r cos , z 2 r sin with domains : r (0, ), [0,2 ) and dz1dz 2 rdrd
z2

1 2 2
z1 z 2
2

1
r2
2

z2

r 0

dz1dz 2

1
r 2 cos 2 sin 2
2

rdrd

d (0 (1))d d

2 k 2 2 2 k 2 2

1
r2
2

rdrd

(cos 2 sin 2 1)

Obtaining Value of

From Previous slide, we get : e

z2 2

e
0

z2 2

1
dz
2

dz 2

1
1 2 1 u
Now, Consider : u
e du u 1 2 e u du
0
0
2

z2
Changing Variables : u
du zdz
2
z
1


0
2
2
2

2 e
0

z2 2

1 2

z2 2

zdz

1
dz 2
2

1 z2 2
2 e
zdz
z

Normal Distribution - Expectations


1

1 2 z2
Z ~ N (0,1) f ( z )
e
2

1
e
2

E ( Z ) z

EZ

dz

1
2

1 12 z 2

dz 2
e

z
2

1
z2
2

ze

1
z2
2

dz
2

z e

1
z2
2

1
2

1
z2
2

0 (0) 0

dz

1
du zdz
2
1 2 12 z 2
2 12 z 2
2
u 2 1
ze
zdz

u
e
z e dz
du

0
0
0
2
2
2
2

Changing Variables : u z 2 du 2 zdz

3 2 1


Note : If Y ~ N ,

u 2

1
1 1 1 3 / 2 23 2
3 32
du
2
1
2
2 2
2 2 2
2 2

V ( Z ) E Z 2 E ( Z ) 1 0 2 1 1
2

then Y Z

E (Y ) E ( Z ) E ( Z ) (0)
V (Y ) V ( Z ) 2V ( Z ) 2 (1) 2

Normal Distribution - MGF


M (t ) E e

tY

2
1 y
1
exp
dy

2 2
2 2
2

e
ty

y2
y 2
exp

ty

2 2 2 2 2 dy

y2
y ( t 2 ) 2

exp 2
2 dy
2
2
2

2
2

Completing the square : ( t 2 ) 2 2 2 t 2 t 2


1

M (t )

2
1

exp

y2
y ( t 2 ) 2 2t 2 t 2
2

2
2
2 2

1 y ( t 2 )

exp
2
2
2
2
1

y2
y ( t 2 ) 2 2t 2 t 2
2
2
2
2
2
2 2

exp

2 t 2 t 2
exp
2 2

2
2
2t t
2

2t 2 t 2
M (t ) exp
2 2

t 2 2
exp t

2t 2 t 2

2 2

2 t 2 t 2

2 2

dy

dy

dy

1 y ( t 2 )
exp

2
2

2
2
The last integral being 1, since it is integrating over the density of
2

dy


a normal R.V. :

Y ~ N t 2 , 2

Normal(0,1) Distribution of Z2

1 z
e
2

M Z 2 (t ) E etZ e tz
2

2
2

1 2 t

z2

dz

2
e

dz

1 2 t

1
2

dz

Changing Variables : u z z u and dz


M Z 2 (t )

2
e

1
1


2 2
Z 2 ~ 12

1 2 t

1 2t

1
2 u

12

du

dz

z2

1
t
2

z2

1
2

2 u

du

2
1

1 u
1 2 t
2

du

(1 2t ) 1 2 (1 2t ) 1 2
2

Beta Distribution
Used to model probabilities (can be generalized to
any finite, positive range)
Parameters allow a wide range of shapes to model
empirical data
( ) 1
1
y
(
1

y
)
0 y 1, , 0
( )( )

f ( y)

otherwise

Obtaining Probabilities in EXCEL:


To obtain: F(y)=P(Yy)
Use Function:

=BETADIST(y,a,b)

Beta Density Functions (pdf)

Weibull Distribution

y0

F ( y)

y
1 exp

y 0 ( , 0)

y
dF ( y )
1

f ( y)
y exp
dy

E (Y )

1
y

y y exp

y
1

y exp

for y 0


dy

y
y 1
Changing variables : u
du
dy and y (u )1

1
1
dy (u )1 e u du 1 u1 e u du 1 1
E (Y ) y y exp
0
0
0

EY

1
y

y y exp

2
dy (u ) 2 e u du 2 u 2 e u du 2 1
0
0

2
1
2
V (Y ) E Y 2 E (Y ) 2 1 2 1

Note: The EXCEL function WEIBULL(y, uses parameterization: *=

Weibull Density Functions (pdf)

Lognormal Distribution

2y

f ( y)

1 log y

y 0, , 0

otherwise

Note : Y * ln(Y ) ~ N , 2

2 12
E (Y ) E e M Y * (t 1) exp (1)
2

2
Y* 2
2Y *
EY E e
Ee
M Y * (t 2) exp


Y*

V (Y ) E Y E (Y ) e
2

2 2

e 2

Obtaining Probabilities in EXCEL:


To obtain: F(y)=P(Yy)
Use Function:

2 2

2 22
2 2
e
(2)
2

=LOGNORMDIST(y,,)

Lognormal pdfs

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