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Probability Density Function

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Probability Density Function

Uploaded by

golf03dmrc
Copyright
© © All Rights Reserved
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Download as PDF, TXT or read online on Scribd
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In probability theory, a probability density function (PDF), density function, or density of

an absolutely continuous random variable, is a function whose value at any given sample (or
point) in the sample space (the set of possible values taken by the random variable) can be
interpreted as providing a relative likelihood that the value of the random variable would be equal
to that sample.[2][3] Probability density is the probability per unit length, in other words, while
the absolute likelihood for a continuous random variable to take on any particular value is 0
(since there is an infinite set of possible values to begin with), the value of the PDF at two
different samples can be used to infer, in any particular draw of the random variable, how much
more likely it is that the random variable would be close to one sample compared to the other
sample.

More precisely, the PDF is used to specify the probability of the random variable falling within a
particular range of values, as opposed to taking on any one value. This probability is given by
the integral of this variable's PDF over that range—that is, it is given by the area under the
density function but above the horizontal axis and between the lowest and greatest values of the
range. The probability density function is nonnegative everywhere, and the area under the entire
curve is equal to 1.

The terms probability distribution function and probability function have also sometimes been
used to denote the probability density function. However, this use is not standard among
probabilists and statisticians. In other sources, "probability distribution function" may be used
when the probability distribution is defined as a function over general sets of values or it may
refer to the cumulative distribution function, or it may be a probability mass function (PMF) rather
than the density. "Density function" itself is also used for the probability mass function, leading to
further confusion.[4] In general though, the PMF is used in the context of discrete random
variables (random variables that take values on a countable set), while the PDF is used in the
context of continuous random variables.

Example [ edit ]

Suppose bacteria of a certain species typically live 20 to 30


hours. The probability that a bacterium lives exactly 5 hours is
equal to zero. A lot of bacteria live for approximately 5 hours,
but there is no chance that any given bacterium dies at
exactly 5.00... hours. However, the probability that the
bacterium dies between 5 hours and 5.01 hours is
quantifiable. Suppose the answer is 0.02 (i.e., 2%). Then, the
probability that the bacterium dies between 5 hours and 5.001
hours should be about 0.087, since this time interval is one-
tenth as long as the previous. The probability that the
bacterium dies between 5 hours and 5.0001 hours should be Examples of four continuous
about 0.0087, and so on. probability density functions.

In this example, the ratio (probability of living during an


interval) / (duration of the interval) is approximately constant, and equal to 2 per hour (or 2
hour−1). For example, there is 0.02 probability of dying in the 0.01-hour interval between 5 and
5.01 hours, and (0.02 probability / 0.01 hours) = 2 hour−1. This quantity 2 hour−1 is called the
probability density for dying at around 5 hours. Therefore, the probability that the bacterium dies
at 5 hours can be written as (2 hour−1) dt. This is the probability that the bacterium dies within an
infinitesimal window of time around 5 hours, where dt is the duration of this window. For example,
the probability that it lives longer than 5 hours, but shorter than (5 hours + 1 nanosecond), is (2
hour−1)×(1 nanosecond) ≈ 6 × 10−13 (using the unit conversion 3.6 × 1012 nanoseconds = 1 hour).

There is a probability density function f with f(5 hours) = 2 hour−1. The integral of f over any
window of time (not only infinitesimal windows but also large windows) is the probability that the
bacterium dies in that window.

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