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Chap 6

Chapter 6 covers various probability distributions including the uniform, Gaussian, standard normal, Gamma, exponential, and chi-square distributions. Key properties such as expected value and variance are provided for each distribution, along with their respective probability density functions. The chapter also discusses the normal approximation to the binomial distribution and the Gamma function.

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7 views5 pages

Chap 6

Chapter 6 covers various probability distributions including the uniform, Gaussian, standard normal, Gamma, exponential, and chi-square distributions. Key properties such as expected value and variance are provided for each distribution, along with their respective probability density functions. The chapter also discusses the normal approximation to the binomial distribution and the Gamma function.

Uploaded by

rasboutin1
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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STAT 230 Summary of Chapter 6 Ayoub H.

Saab

The uniform distribution:

The probability density function of the continuous uniform random variable X on the interval
[a, b] is:

1

b−a
, a≤x≤b
f (x; a, b) =
 0, elsewhere

Properties:

a+b
1. E(X) = 2

(b−a)2
2. V ar(X) = 12

Figure 1: Plot of the uniform distribution

1
The Gaussian (Normal) distribution:

The density of the normal random variable X with mean µ and variance σ 2 is:

1 (x−µ)2
f (x) = √ e− 2σ 2 , −∞ < x < ∞
2πσ 2

Properties:

1. E(X) = µ

2. V ar(X) = σ 2

Figure 2: Plot of the Gaussian distribution for different means and variances

The standard Normal distribution:

A normal distribution with µ = 0 and σ 2 = 1 is called the standard normal distribution.


X−µ
One can ‘standardize’ any normally distributed random variable X by taking Z = σ
. The
resulting probability density function is given by:

1 z2
f (z) = √ e− 2 , −∞ < z < ∞
2π

2
Properties:

1. E(Z) = 0

2. V ar(Z) = 1

The Normal approximation to Binomial:

If X follows a binomial distribution with n trials and probability of success p, then X can
be approximated by a Normal distribution with mean µ = np and variance σ 2 = np(1 − p).
The condition is valid for np ≥ 5.

The Gamma function:

The Gamma function is defined by:


Z ∞
Γ(α) = xα−1 e−x dx, for α > 0.
0

Properties:

1. Γ(α) = (α − 1)!
√
2. Γ(0.5) = π

The Gamma distribution:

The continuous random variable X has a Gamma distribution with parameters k and θ if its
density function is given by:

x
 1
θk Γ(k)
xk−1 e− θ , x > 0, and k, θ > 0
f (x; k, θ) =
 0, elsewhere

3
Properties:

1. E(X) = kθ

2. E(X 2 ) = k(k + 1)θ2

3. V ar(X) = kθ2
R∞ x
4. Important integral: 0
xk−1 e− θ = (k − 1)!θk

Figure 3: Plot of the Gamma distribution for different parameters

The Exponential distribution:

The exponential distribution is a Gamma distribution with k = 1. The density function is


given by:

 1 e− xθ , x > 0, θ > 0
θ
f (x; θ) =
 0, elsewhere

4
Properties:

1. E(X) = θ

2. E(X 2 ) = 2θ2

3. V ar(X) = θ2

The Chi-square distribution:

The chi-square distribution with degree of freedom r, denoted χ2 (r), is a Gamma distribution
r
with k = 2
and θ = 2. The probability density function is thus given as:
 r x
 r
1
x 2 −1 e− 2 , x > 0, r > 0
2 2 Γ( r2 )
f (x; θ) =
 0, elsewhere

Properties:

1. E(X) = r

2. V ar(X) = 2r

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