FE - Engineering Probability and Statistics
FE - Engineering Probability and Statistics
σ 2 = ^1/N h:` X1 − µ j + ` X 2 − µ j + f + ` X N − µ j D
2 2 2
= ^1/N h / ` Xi − µ j
N 2
i=1
i=1
2
When n is even, the median is the average of the b l and b + 1l items.
th th
n n
2 2
The mode of a set of data is the value that occurs with greatest frequency.
The sample range R is the largest sample value minus the smallest sample value.
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Laws of Probability
Property 1. General Character of Probability
The probability P(E) of an event E is a real number in the range of 0 to 1. The probability of an impossible event is 0 and that of
an event certain to occur is 1.
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i=1
where
P ` A j j = the probability of event A j within the population of A
P ` B j j = the probability of event B j within the population of B
Expected Values
Let X be a discrete random variable having a probability
mass function
f (xk), k = 1, 2,..., n
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µ = E6X @ = / xk f _ xk i
n
k=1
σ 2 = V6X @ = / ` xk − µj f_ xk i
n 2
k=1
Let X be a continuous random variable having a density function f(X) and let Y = g(X) be some general function.
The expected value of Y is:
E 6Y @ = E 7g ] X gA = # g ^ xh f ^ xh dx
3
-3
When Y = f(X1, X2,.., Xn) and Xi are independent, the standard deviation of Y is expressed as:
Binomial Distribution
P(x) is the probability that x successes will occur in n trials.
Pn ^ x h = C _n, x i p x q n
−x n! −x
= p xqn
x! _ n − x i !
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where
x = 0, 1, 2, …, n
C(n, x) = number of combinations
n, p = parameters
The variance is given by the form:
σ2 = npq
Normal Distribution (Gaussian Distribution)
This is a unimodal distribution, the mode being x = µ, with two points of inflection (each located at a distance σ to either side
of the mode). The averages of n observations tend to become normally distributed as n increases. The variate x is said to be
normally distributed if its density function f (x) is given by an expression of the form
2
−1 d
x µn
−
f^ xh =
1
e 2 σ
σ 2π
where
µ = population mean
σ = standard deviation of the population
-3 # x # 3
When µ = 0 and σ2 = σ = 1, the distribution is called a standardized or unit normal distribution. Then
A unit normal distribution table is included at the end of this section. In the table, the following notations are utilized:
F(x) = area under the curve from –∞ to x
R(x) = area under the curve from x to ∞
W(x) = area under the curve between –x and x
F(-x) = 1 - F(x)
It should be noted that for any normal distribution with mean µ and standard deviation σ, the table for the unit normal
distribution can be used by utilizing the following transformation:
x−µ
z= σ
f(x) then becomes f(z), F(x) becomes F(z), etc.
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t-Distribution
Student's t-distribution has the probability density function given by:
Cc 2 m
v+1 v+1
2 − 2
f^ t h = c1 + t m
vr C a 2 k
v v
where
v = number of degrees of freedom
n = sample size
v=n-1
Γ = gamma function
xr - n
t=
s/ n
-∞ ≤ t ≤ ∞
A table later in this section gives the values of tα, v for values of α and v. Note that, in view of the symmetry of the t-distribution,
t1−α,v = –tα,v
χ2 - Distribution
If Z1, Z2, ..., Zn are independent unit normal random variables, then
| 2 = Z12 + Z22 + f + Zn2
A table at the end of this section gives values of |a2, n for selected values of α and n.
Gamma Function
C ^ nh = #0 t n - 1e- t dt, n > 0
3
Propagation of Error
Measurement Error
Measurement error is defined as: Measured quantity value minus a reference quantity value. [Source: ISO JCGM 200:2012
definition 2.16]
Sources of errors in measurements arise from imperfections and disturbances in the measurement process, and added noise. One
may model a measurement as:
where x is the measurand (value being measured), xref is the reference value, dsystematic is a disturbance from the measurement
process such as a drift or bias, and drandom is a disturbance such as random noise.
Linear Combinations
In mathematics, a linear combination is an expression constructed from a set of terms by multiplying each term by a constant
and adding the results (e.g., if z is a linear combination of x and y, then z = ax+by where a and b are constants).
See the section "Combinations of Random Variables" for how variances and standard deviations of random variables combine.
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Measurement Uncertainty
Measurement uncertainty is defined as: A quantitative estimate of the range of values about the reported or measured value in
which the true value is believed to lie. [Source: ISO JCGM 200:2012, definition 2.26]
Given a desired state or measurement y, which is a function of different measured or available states xi:
y = f(x1, x2,…, xn)
Given the individual states xi and their standard deviations σx , and assuming that the different xi are uncorrelated, the
i
Kline-McClintock equation can be used to compute the expected standard uncertainty of y (σy) is:
Expanded uncertainties are typically given at an approximately 95% level of confidence with a coverage factor of k = 2.
This represents 95% of the area under a Normal probability distribution and is often called 2 sigma.
Linear Regression and Goodness of Fit
Least Squares
yt = at + bx
t
where
bt = Sxy/Sxx
at = y - bt x
Sxy = / xi yi - ^1/nhe / xi oe / yi o
n n n
i=1 i=1
y = ^1/n he / yi o
n
i=1
x = ^1/n he / xi o
n
i=1
where
n = sample size
Residual
ei = yi - yt = yi - _at + bx
t ii
i=1 i=1
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Hypothesis Testing
Let a "dot" subscript indicate summation over the subscript. Thus:
n a n
yi• =
/ yij and y•• / / yij
j=1 i=1 j=1
/ / ` yij - y •• j2 = / ni _ y i• - y •• i2 + / / ` yij - y i• j2
k ni k k ni
/ / ` yij - y •• j2 = b / _ y i• - y •• i2 + k / ` y •j - y •• j2 + / / ` y ij - y •j - y i• + y •• j2
k b k b k b
1 k y2
SStreatments = b / yi2• - bk••
i=1
1 b y2
SSblocks = k / y•2j - bk••
j=1
SSerror = SStotal - SStreatments - SSblocks
Montgomery, Douglas C., and George C. Runger, Applied Statistics and Probability for Engineers, 4 ed., New York: John Wiley and Sons, 2007.
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SS error
Error N–k SSerror MSE =
N −k
Degrees of Sum of
Source of Variation Mean Square F
Freedom Squares
SStreatments MST
k–1 SStreatments MST =
Between Treatments k −1 MSE
SS blocks MSB
n–1 SSblocks MSB =
Between Blocks n −1 MSE
SS error
(k − 1 )(n − 1 ) SSerror MSE =
Error (k − 1 )(n − 1 )
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Degrees of Sum of
Source of Variation Mean Square F
Freedom Squares
SSA MSA
A Treatments a–1 SSA MSA =
a −1 MSE
SS B MSB
B Treatments b–1 SSB MSB =
b −1 MSE
SS AB MSAB
(a − 1 )(b − 1 ) SSAB MSAB =
AB Interaction (a − 1 )(b − 1 ) MSE
SSE
Error ab(n – 1) SSerror MSE =
ab(n – 1)
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H0: µ = µ0 X − µ0
Z0 ≡ Z0 < –Z α
H1: µ < µ0 σ n
H0: µ = µ0
H1: µ > µ0 Z0 > Z α
H0: µ1 – µ2 = γ
H1: µ1 – µ2 ≠ γ |Z0| > Zα /2
X1 − X 2 − γ
H0: µ1 – µ2 = γ Z0 ≡
σ 12 σ 22 Z0 <– Zα
H1: µ1 – µ2 < γ +
n1 n2
H0: µ1 – µ2 = γ
H1: µ1 – µ2 > γ Z0 > Z α
H0: µ = µ0 X − µ0
t0 = t0 < –t α , n – 1
H1: µ < µ0 s n
H0: µ = µ0
t0 > tα , n – 1
H1: µ > µ0
X1 − X 2 − γ
t0 =
H0: µ1 – µ2 = γ 1 1
Variances sp + |t0| > t α /2, v
H1: µ1 – µ2 ≠ γ n1 n2
equal
v = n1 + n2 − 2
X1 − X 2 − γ
H0: µ1 – µ2 = γ t0 =
s12 s 22 t0 < –t α , v
H1: µ1 – µ2 < γ Variances +
unequal n1 n2
( )
2
s12 s 22
+
H0: µ1 – µ2 = γ n1 n2
ν= t0 > tα , v
( ) +( )
2 2
H1: µ1 – µ2 > γ s12 n1 s 22 n 2
n1 − 1 n2 − 1
In Table B, sp2 = [(n1 – 1)s12 + (n2 – 1)s22]/v
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H0: σ 2 = σ 02
H1: σ 2 > σ 02 χ 02 > χ 2α, n−1
H0: σ 12 = σ 22 s 22
H1: σ 12 < σ 22 F0 = F0 > Fα , n2 −1, n1 −1
s 12
H0: σ 12 = σ 22 s 12
F0 = F0 > Fα , n1 −1, n2 −1
H1: σ 12 > σ 22 s 22
Assume that the values of α and β are given. The sample size can be obtained from the following relationships. In (A) and (B),
µ1 is the value assumed to be the true mean.
An approximate result is
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Sample Size
Test Statistics
The following definitions apply.
where
Zvar = standard normal Z score
tvar = sample distribution test statistic
σ = standard deviation
µo = population mean
X = hypothesized mean or sample mean
n = sample size
s = computed sample standard deviation
The Z score is applicable when the standard deviation (s) is known. The test statistic is applicable when the standard deviation
(s) is computed at time of sampling.
Zα corresponds to the appropriate probability under the normal probability curve for a given Zvar.
tα, n-1 corresponds to the appropriate probability under the t distribution with n-1 degrees of freedom for a given tvar.
Values of Zα/2
Confidence Interval Zα/2
80% 1.2816
90% 1.6449
95% 1.9600
96% 2.0537
98% 2.3263
99% 2.5758
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x x x −x x −x x
Student's t-Distribution
tα,v
VALUES OF tα,v
α
v v
0.25 0.20 0.15 0.10 0.05 0.025 0.01 0.005
1 1.000 1.376 1.963 3.078 6.314 12.706 31.821 63.657 1
2 0.816 1.061 1.386 1.886 2.920 4.303 6.965 9.925 2
3 0.765 0.978 1.350 1.638 2.353 3.182 4.541 5.841 3
4 0.741 0.941 1.190 1.533 2.132 2.776 3.747 4.604 4
5 0.727 0.920 1.156 1.476 2.015 2.571 3.365 4.032 5
6 0.718 0.906 1.134 1.440 1.943 2.447 3.143 3.707 6
7 0.711 0.896 1.119 1.415 1.895 2.365 2.998 3.499 7
8 0.706 0.889 1.108 1.397 1.860 2.306 2.896 3.355 8
9 0.703 0.883 1.100 1.383 1.833 2.262 2.821 3.250 9
10 0.700 0.879 1.093 1.372 1.812 2.228 2.764 3.169 10
11 0.697 0.876 1.088 1.363 1.796 2.201 2.718 3.106 11
12 0.695 0.873 1.083 1.356 1.782 2.179 2.681 3.055 12
13 0.694 0.870 1.079 1.350 1.771 2.160 2.650 3.012 13
14 0.692 0.868 1.076 1.345 1.761 2.145 2.624 2.977 14
15 0.691 0.866 1.074 1.341 1.753 2.131 2.602 2.947 15
16 0.690 0.865 1.071 1.337 1.746 2.120 2.583 2.921 16
17 0.689 0.863 1.069 1.333 1.740 2.110 2.567 2.898 17
18 0.688 0.862 1.067 1.330 1.734 2.101 2.552 2.878 18
19 0.688 0.861 1.066 1.328 1.729 2.093 2.539 2.861 19
20 0.687 0.860 1.064 1.325 1.725 2.086 2.528 2.845 20
21 0.686 0.859 1.063 1.323 1.721 2.080 2.518 2.831 21
22 0.686 0.858 1.061 1.321 1.717 2.074 2.508 2.819 22
23 0.685 0.858 1.060 1.319 1.714 2.069 2.500 2.807 23
24 0.685 0.857 1.059 1.318 1.711 2.064 2.492 2.797 24
25 0.684 0.856 1.058 1.316 1.708 2.060 2.485 2.787 25
26 0.684 0.856 1.058 1.315 1.706 2.056 2.479 2.779 26
27 0.684 0.855 1.057 1.314 1.703 2.052 2.473 2.771 27
28 0.683 0.855 1.056 1.313 1.701 2.048 2.467 2.763 28
29 0.683 0.854 1.055 1.311 1.699 2.045 2.462 2.756 29
30 0.683 0.854 1.055 1.310 1.697 2.042 2.457 2.750 30
∞ 0.674 0.842 1.036 1.282 1.645 1.960 2.326 2.576 ∞
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9 5.12 4.26 3.86 3.63 3.48 3.37 3.29 3.23 3.18 3.14 3.07 3.01 2.94 2.90 2.86 2.83 2.79 2.75 2.71
10 4.96 4.10 3.71 3.48 3.33 3.22 3.14 3.07 3.02 2.98 2.91 2.85 2.77 2.74 2.70 2.66 2.62 2.58 2.54
11 4.84 3.98 3.59 3.36 3.20 3.09 3.01 2.95 2.90 2.85 2.79 2.72 2.65 2.61 2.57 2.53 2.49 2.45 2.40
12 4.75 3.89 3.49 3.26 3.11 3.00 2.91 2.85 2.80 2.75 2.69 2.62 2.54 2.51 2.47 2.43 2.38 2.34 2.30
13 4.67 3.81 3.41 3.18 3.03 2.92 2.83 2.77 2.71 2.67 2.60 2.53 2.46 2.42 2.38 2.34 2.30 2.25 2.21
14 4.60 3.74 3.34 3.11 2.96 2.85 2.76 2.70 2.65 2.60 2.53 2.46 2.39 2.35 2.31 2.27 2.22 2.18 2.13
15 4.54 3.68 3.29 3.06 2.90 2.79 2.71 2.64 2.59 2.54 2.48 2.40 2.33 2.29 2.25 2.20 2.16 2.11 2.07
16 4.49 3.63 3.24 3.01 2.85 2.74 2.66 2.59 2.54 2.49 2.42 2.35 2.28 2.24 2.19 2.15 2.11 2.06 2.01
17 4.45 3.59 3.20 2.96 2.81 2.70 2.61 2.55 2.49 2.45 2.38 2.31 2.23 2.19 2.15 2.10 2.06 2.01 1.96
18 4.41 3.55 3.16 2.93 2.77 2.66 2.58 2.51 2.46 2.41 2.34 2.27 2.19 2.15 2.11 2.06 2.02 1.97 1.92
19 4.38 3.52 3.13 2.90 2.74 2.63 2.54 2.48 2.42 2.38 2.31 2.23 2.16 2.11 2.07 2.03 1.98 1.93 1.88
20 4.35 3.49 3.10 2.87 2.71 2.60 2.51 2.45 2.39 2.35 2.28 2.20 2.12 2.08 2.04 1.99 1.95 1.90 1.84
21 4.32 3.47 3.07 2.84 2.68 2.57 2.49 2.42 2.37 2.32 2.25 2.18 2.10 2.05 2.01 1.96 1.92 1.87 1.81
22 4.30 3.44 3.05 2.82 2.66 2.55 2.46 2.40 2.34 2.30 2.23 2.15 2.07 2.03 1.98 1.94 1.89 1.84 1.78
23 4.28 3.42 3.03 2.80 2.64 2.53 2.44 2.37 2.32 2.27 2.20 2.13 2.05 2.01 1.96 1.91 1.86 1.81 1.76
24 4.26 3.40 3.01 2.78 2.62 2.51 2.42 2.36 2.30 2.25 2.18 2.11 2.03 1.98 1.94 1.89 1.84 1.79 1.73
25 4.24 3.39 2.99 2.76 2.60 2.49 2.40 2.34 2.28 2.24 2.16 2.09 2.01 1.96 1.92 1.87 1.82 1.77 1.71
26 4.23 3.37 2.98 2.74 2.59 2.47 2.39 2.32 2.27 2.22 2.15 2.07 1.99 1.95 1.90 1.85 1.80 1.75 1.69
27 4.21 3.35 2.96 2.73 2.57 2.46 2.37 2.31 2.25 2.20 2.13 2.06 1.97 1.93 1.88 1.84 1.79 1.73 1.67
28 4.20 3.34 2.95 2.71 2.56 2.45 2.36 2.29 2.24 2.19 2.12 2.04 1.96 1.91 1.87 1.82 1.77 1.71 1.65
29 4.18 3.33 2.93 2.70 2.55 2.43 2.35 2.28 2.22 2.18 2.10 2.03 1.94 1.90 1.85 1.81 1.75 1.70 1.64
30 4.17 3.32 2.92 2.69 2.53 2.42 2.33 2.27 2.21 2.16 2.09 2.01 1.93 1.89 1.84 1.79 1.74 1.68 1.62
40 4.08 3.23 2.84 2.61 2.45 2.34 2.25 2.18 2.12 2.08 2.00 1.92 1.84 1.79 1.74 1.69 1.64 1.58 1.51
60 4.00 3.15 2.76 2.53 2.37 2.25 2.17 2.10 2.04 1.99 1.92 1.84 1.75 1.70 1.65 1.59 1.53 1.47 1.39
120 3.92 3.07 2.68 2.45 2.29 2.17 2.09 2.02 1.96 1.91 1.83 1.75 1.66 1.61 1.55 1.50 1.43 1.35 1.25
∞ 3.84 3.00 2.60 2.37 2.21 2.10 2.01 1.94 1.88 1.83 1.75 1.67 1.57 1.52 1.46 1.39 1.32 1.22 1.00
CRITICAL VALUES OF X 2 DISTRIBUTION
f (X 2 )
2
X
0 2
X α,n
2 2 2 2 2 2 2 2 2 2
Degrees of Freedom X .995 X .990 X .975 X .950 X .900 X .100 X .050 X .025 X .010 X .005
1 0.0000393 0.0001571 0.0009821 0.0039321 0.0157908 2.70554 3.84146 5.02389 6.63490 7.87944
2 0.0100251 0.0201007 0.0506356 0.102587 0.210720 4.60517 5.99147 7.37776 9.21034 10.5966
11 2.60321 3.05347 3.81575 4.57481 5.57779 17.2750 19.6751 21.9200 24.7250 26.7569
12 3.07382 3.57056 4.40379 5.22603 6.30380 18.5494 21.0261 23.3367 26.2170 28.2995
13 3.56503 4.10691 5.00874 5.89186 7.04150 19.8119 22.3621 24.7356 27.6883 29.8194
14 4.07468 4.66043 5.62872 6.57063 7.78953 21.0642 23.6848 26.1190 29.1413 31.3193
15 4.60094 5.22935 6.26214 7.26094 8.54675 22.3072 24.9958 27.4884 30.5779 32.8013
16 5.14224 5.81221 6.90766 7.96164 9.31223 23.5418 26.2962 28.8454 31.9999 34.2672
17 5.69724 6.40776 7.56418 8.67176 10.0852 24.7690 27.5871 30.1910 33.4087 35.7185
18 6.26481 7.01491 8.23075 9.39046 10.8649 25.9894 28.8693 31.5264 34.8053 37.1564
19 6.84398 7.63273 8.90655 10.1170 11.6509 27.2036 30.1435 32.8523 36.1908 38.5822
20 7.43386 8.26040 9.59083 10.8508 12.4426 28.4120 31.4104 34.1696 37.5662 39.9968
21 8.03366 8.89720 10.28293 11.5913 13.2396 29.6151 32.6705 35.4789 38.9321 41.4010
22 8.64272 9.54249 10.9823 12.3380 14.0415 30.8133 33.9244 36.7807 40.2894 42.7956
23 9.26042 10.19567 11.6885 13.0905 14.8479 32.0069 35.1725 38.0757 41.6384 44.1813
24 9.88623 10.8564 12.4011 13.8484 15.6587 33.1963 36.4151 39.3641 42.9798 45.5585
25 10.5197 11.5240 13.1197 14.6114 16.4734 34.3816 37.6525 40.6465 44.3141 46.9278
26 11.1603 12.1981 13.8439 15.3791 17.2919 35.5631 38.8852 41.9232 45.6417 48.2899
27 11.8076 12.8786 14.5733 16.1513 18.1138 36.7412 40.1133 43.1944 46.9630 49.6449
28 12.4613 13.5648 15.3079 16.9279 18.9392 37.9159 41.3372 44.4607 48.2782 50.9933
29 13.1211 14.2565 16.0471 17.7083 19.7677 39.0875 42.5569 45.7222 49.5879 52.3356
30 13.7867 14.9535 16.7908 18.4926 20.5992 40.2560 43.7729 46.9792 50.8922 53.6720
40 20.7065 22.1643 24.4331 26.5093 29.0505 51.8050 55.7585 59.3417 63.6907 66.7659
50 27.9907 29.7067 32.3574 34.7642 37.6886 63.1671 67.5048 71.4202 76.1539 79.4900
60 35.5346 37.4848 40.4817 43.1879 46.4589 74.3970 79.0819 83.2976 88.3794 91.9517
70 43.2752 45.4418 48.7576 51.7393 55.3290 85.5271 90.5312 95.0231 100.425 104.215
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80 51.1720 53.5400 57.1532 60.3915 64.2778 96.5782 101.879 106.629 112.329 116.321
90 59.1963 61.7541 65.6466 69.1260 73.2912 107.565 113.145 118.136 124.116 128.299
100 67.3276 70.0648 74.2219 77.9295 82.3581 118.498 124.342 129.561 135.807 140.169
Source: Thompson, C. M., "Tables of the Percentage Points of the X2–Distribution," Biometrika, ©1941, 32, 188-189. Reproduced by permission of Oxford University Press.
Engineering Probability and Statistics
Montgomery, Douglas C., and George C. Runger, Applied Statistics and Probability for Engineers, 4 ed., New York: John Wiley and Sons, 2007.
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Montgomery, Douglas C., and George C. Runger, Applied Statistics and Probability for Engineers, 4 ed., New York: John Wiley and Sons, 2007.
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Approximations
The following table and equations may be used to generate initial approximations of the items indicated.
n c4 d2 d3
2 0.7979 1.128 0.853
3 0.8862 1.693 0.888
4 0.9213 2.059 0.880
5 0.9400 2.326 0.864
6 0.9515 2.534 0.848
7 0.9594 2.704 0.833
8 0.9650 2.847 0.820
9 0.9693 2.970 0.808
10 0.9727 3.078 0.797
where
σt = an estimate of σ
σR = an estimate of the standard deviation of the ranges of the samples
σS = an estimate of the standard deviation of the standard deviations of the samples
Tests for Out of Control
1. A single point falls outside the (three sigma) control limits.
2. Two out of three successive points fall on the same side of and more than two sigma units from the center line.
3. Four out of five successive points fall on the same side of and more than one sigma unit from the center line.
4. Eight successive points fall on the same side of the center line.
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Binomial
Coefficient ( nx ) = x!(nn−! x)!
b(x; n , p ) = ( ) p (1 − p )
n x n− x
Binomial np np(1 – p)
x
( ) N −r
r (N − r )n(N − n )
Hyper
h(x; n, r, N ) =
r
() n−x nr
Geometric x
(Nn ) N N 2 (N − 1)
λ x e −λ
Poisson f (x; λ ) = λ λ
x!
Negative
Binomial
f ( y ; r, p) = ( y + r −1 r
r −1 )
p (1 − p ) y r/p r (1 – p)/p2
n!
Multinomial f ( x1, …, xk) = p1x1 … pkxk npi npi (1 – pi)
x1! , …, xk !
1 −x β
Exponential f (x ) = e β β2
β
Weibull f (x ) =
α α − 1 − xα
β
x e β
β1 α Γ[(α + 1) α ] [ ( ) ( )]
β2 α Γ
α +1
α
− Γ2
α +1
α
( )
2
1 x−µ
1 −
Normal f (x ) = e 2 σ
µ σ2
{
σ 2π
2(x − a )
if a ≤ x ≤ m
Triangular f (x ) = (b − a )(m − a ) a+b+m a 2 + b 2 + m 2 − ab − am − bm
3 18
2(b − x )
if m < x ≤ b
(b − a )(b − m )
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