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05 ContinuousRV 1206

This document summarizes key properties of the Normal, Weibull, and Cauchy distributions. The Normal distribution is characterized by its mean and variance. The Weibull distribution models lifetime data and is characterized by scale, shape, and location parameters. Its mean and variance can be calculated using gamma functions. The Cauchy distribution has no defined mean or variance due to its heavy tails; it is characterized by location and scale parameters, and transformations of its variables follow certain rules.

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140 views2 pages

05 ContinuousRV 1206

This document summarizes key properties of the Normal, Weibull, and Cauchy distributions. The Normal distribution is characterized by its mean and variance. The Weibull distribution models lifetime data and is characterized by scale, shape, and location parameters. Its mean and variance can be calculated using gamma functions. The Cauchy distribution has no defined mean or variance due to its heavy tails; it is characterized by location and scale parameters, and transformations of its variables follow certain rules.

Uploaded by

Anonymous KUuLddnO98
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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p.

5-31
Summary for X ~ Normal(, o
2
)
Pdf:
Cdf: no close form, but usually denoted by u((x)/o).
Parameters: R and o>0.
Mean: E(X) = .
Variance: Var(X) = o
2
.
f(x) =
1

2
e

(x)
2
2
2
, < x < ,
Weibull Distribution
For o, |>0 and vR, the function
f(x) =
(

1
e

(
x

, if x ,
0, if x < ,
is a pdf since (1) f(x) 0 for all x R, and (2)
R

f(x) dx =
R

1
e

(
x

dx
=
R

0
e
y
dy = e
y
|

0
= 1.
p. 5-32
The distribution of a random variable X with this pdf is
called the Weibull distribution with parameters o, |, and v .
(exercise) The cdf of Weibull distribution is
F(x) =
(
1 e

(
x

, if x ,
0, if x < .
Theorem. The mean and variance of a Weibull distribution with
parameter o, |, and v are
=

1 +
1

+ and

2
=
2

1 +
2

1 +
1

i
2

.
E(X) =
R

v
x

1
e

(
x

dx
=
R

0
(y
1/
+)e
y
dy
=
R

0
y
1/
e
y
dy +
R

0
e
y
dy =

+ 1

+
Proof.
E(X
2
) =
R

v
x
2

1
e

(
x

dx
=
R

0
(y
1/
+ )
2
e
y
dy
=
2
R

0
y
2/
e
y
dy + 2
R

0
y
1/
e
y
dy +
2
R

0
e
y
dy
=
2

+ 1

+ 2

+ 1

+
2
NTHU MATH 2810, 2011 Lecture Notes
made by Shao-Wei Cheng (NTHU, Taiwan)
p. 5-33
Some properties
Weibull distribution is widely used to
model lifetime.
o: scale parameter; |: shape parameter;
v: location parameter
Theorem. If X~exponential(), then
is distributed as Weibull with parameter o, |, and v (exercise).
Y = (X)
1/
+
Cauchy Distribution
For R and o>0, the function
f(x) =

2
+(x)
2
, < x < ,
is a pdf since (1) f(x) 0 for all x R, and (2)
The distribution of a random variable X with this pdf is
called the Cauchy distribution with parameters and o,
denoted by Cauchy(, o).
R

f(x) dx =
R

2
+(x)
2
dx
=
R

1
1+y
2
dy =
1

tan
1
(y)

= 1.
p. 5-34
The mean and variance of Cauchy distribution do not exist
because the integral does not converge absolutely
Some properties
Cauchy is a heavy tail distribution
: location parameter; o: scale parameter
Theorem. If X~Cauchy(, o), then
aX+b~Cauchy(a+b, |a|o). (exercise)
The cdf of Cauchy distribution is
for <x<. (exercise)
Reading: textbook, Sec 5.4, 5.5, 5.6
F(x) =
R
x

2
+(y)
2
dy =
1
2
+
1

tan
1

x

NTHU MATH 2810, 2011 Lecture Notes


made by Shao-Wei Cheng (NTHU, Taiwan)

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