author | Oleksandr Gavenko <gavenkoa@gmail.com> |
Wed, 16 Mar 2016 14:00:04 +0200 | |
changeset 4 | 5d6cec5fe095 |
child 6 | 9b4e31a03161 |
permissions | -rw-r--r-- |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Continuous random variables |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Probability density function. Continuous uniform random variable. Exponential
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parents:
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.. contents:: |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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:local: |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Probability density function |
5d6cec5fe095
Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
diff
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============================ |
5d6cec5fe095
Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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.. role:: def |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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:class: def |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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5d6cec5fe095
Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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:def:`Probability density function` (PDF) for continuous random variable |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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:math:`x` is function: |
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Probability density function. Continuous uniform random variable. Exponential
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parents:
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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.. math:: |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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PDF(a ≤ X ≤ b) = P(a ≤ X ≤ b) = ∫_{a, b} f_X(x) dx |
5d6cec5fe095
Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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f_X(x) ≥ 0 |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Probability density function. Continuous uniform random variable. Exponential
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parents:
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∫_{-∞, +∞} f_X(x) dx = 1 |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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5d6cec5fe095
Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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:math:`f_X(x)` funtion maps values :math:`x` from sample space to real numbers. |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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5d6cec5fe095
Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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For continuous random variable: |
5d6cec5fe095
Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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5d6cec5fe095
Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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.. math:: P(X = a) = 0 |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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5d6cec5fe095
Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Expectation |
5d6cec5fe095
Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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=========== |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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:def:`Expectation` of continuous random variable is: |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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.. math:: μ = E[X] = ∫_{-∞, +∞} x·f_X(x)·dx |
5d6cec5fe095
Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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5d6cec5fe095
Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Properties: |
5d6cec5fe095
Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
diff
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5d6cec5fe095
Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
diff
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.. math:: |
5d6cec5fe095
Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
diff
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5d6cec5fe095
Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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E[X + Y] = E[X] + E[Y] |
5d6cec5fe095
Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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5d6cec5fe095
Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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E[a·X] = a·E[X] |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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5d6cec5fe095
Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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E[a·X + b] = a·E[X] + b |
5d6cec5fe095
Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Variance |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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======== |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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5d6cec5fe095
Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
diff
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:def:`Variance` of continuous random variable is: |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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5d6cec5fe095
Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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.. math:: var[X] = ∫_{-∞, +∞} (x-μ)²·f_X(x)·dx |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Properties: |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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.. math:: |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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var[a·X + b] = a²·var[X] |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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var[X] = E[X²] - E²[X] |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Standard deviation |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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================== |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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:def:`Standard deviation` of continuous random variable is: |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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.. math:: σ_Χ = sqrt(var[X]) |
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Probability density function. Continuous uniform random variable. Exponential
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parents:
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Probability density function. Continuous uniform random variable. Exponential
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parents:
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Continuous uniform random variable |
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Probability density function. Continuous uniform random variable. Exponential
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parents:
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================================== |
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Probability density function. Continuous uniform random variable. Exponential
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parents:
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Probability density function. Continuous uniform random variable. Exponential
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parents:
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:def:`Continuous uniform random variable` is :math:`f_X(x)` that is non-zero |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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only on :math:`[a, b]` with :math:`f_X(x) = `1/(b-a)`. |
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Probability density function. Continuous uniform random variable. Exponential
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parents:
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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.. math:: |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Probability density function. Continuous uniform random variable. Exponential
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parents:
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E[unif(a, b)] = (b+a)/2 |
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Probability density function. Continuous uniform random variable. Exponential
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parents:
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Probability density function. Continuous uniform random variable. Exponential
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parents:
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var[unif(a, b)] = (b-a)²/12 |
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Probability density function. Continuous uniform random variable. Exponential
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parents:
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Probability density function. Continuous uniform random variable. Exponential
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parents:
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σ = (b-a)/sqrt(12) |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Probability density function. Continuous uniform random variable. Exponential
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parents:
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Proofs: |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Probability density function. Continuous uniform random variable. Exponential
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parents:
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.. math:: |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Probability density function. Continuous uniform random variable. Exponential
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parents:
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E[unif(a, b)] = ∫_{a, b} x·1/(b-a)·dx = x²/2/(b-a) |_{a, b} = (b²-a²)/(b-a)/2 = (b+a)/2 |
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Probability density function. Continuous uniform random variable. Exponential
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parents:
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Probability density function. Continuous uniform random variable. Exponential
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parents:
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E[unif²(a, b)] = ∫_{a, b} x²·1/(b-a)·dx = x³/3/(b-a) |_{a, b} = (b³-a³)/(b-a)/3 = (b²+b·a+a²)/3 |
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Probability density function. Continuous uniform random variable. Exponential
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parents:
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Probability density function. Continuous uniform random variable. Exponential
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parents:
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var[unif(a, b)] = E[unif²(a, b)] - E²[unif(a, b)] = (b²+b·a+a²)/3 - (b+a)²/4 = (b-a)²/12 |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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.. note:: |
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Probability density function. Continuous uniform random variable. Exponential
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parents:
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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In maxima:: |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Probability density function. Continuous uniform random variable. Exponential
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parents:
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(%i4) factor((b^2+b*a+a^2)/3 - (a+b)^2/4); |
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Probability density function. Continuous uniform random variable. Exponential
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parents:
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2 |
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parents:
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(b - a) |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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-------- |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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12 |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Exponential random variables |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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============================ |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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:def:`Exponential random variables` with parameter :math:`λ` is: |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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.. math:: f_X(x) = λ·exp(-λ·x) |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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for :math:`x ≥ 0`, and zero otherwise. |
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Probability density function. Continuous uniform random variable. Exponential
Oleksandr Gavenko <gavenkoa@gmail.com>
parents:
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113 |
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114 |
Properties: |
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Probability density function. Continuous uniform random variable. Exponential
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115 |
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116 |
.. math:: |
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117 |
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Probability density function. Continuous uniform random variable. Exponential
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E[exp(λ)] = 1/λ |
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119 |
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Probability density function. Continuous uniform random variable. Exponential
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120 |
var[exp(λ)] = 1/λ² |
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121 |
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Probability density function. Continuous uniform random variable. Exponential
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122 |
Proof: |
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Probability density function. Continuous uniform random variable. Exponential
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123 |
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Probability density function. Continuous uniform random variable. Exponential
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124 |
.. math:: |
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Probability density function. Continuous uniform random variable. Exponential
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125 |
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126 |
∫_{-∞, +∞} f_X(x)·dx = ∫_{0, +∞} λ·exp(-λ·x)·dx = -exp(-λ·x) |_{0, +∞} = 1 |
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Probability density function. Continuous uniform random variable. Exponential
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127 |
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128 |
E[exp(λ)] = ∫_{0, +∞} x·λ·exp(-λ·x)·dx = 1/λ |
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129 |
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E[exp²(λ)] = ∫_{0, +∞} x²·λ·exp(-λ·x)·dx = 1/λ² |
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131 |
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132 |
.. note:: |
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Probability density function. Continuous uniform random variable. Exponential
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133 |
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Probability density function. Continuous uniform random variable. Exponential
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134 |
From maxima:: |
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Probability density function. Continuous uniform random variable. Exponential
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135 |
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Probability density function. Continuous uniform random variable. Exponential
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136 |
(%i15) assume(lambda>0); |
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Probability density function. Continuous uniform random variable. Exponential
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(%o15) [lambda > 0] |
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138 |
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Probability density function. Continuous uniform random variable. Exponential
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139 |
(%i16) integrate(lambda*%e^(-lambda*x),x,0,inf); |
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Probability density function. Continuous uniform random variable. Exponential
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140 |
(%o16) 1 |
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Probability density function. Continuous uniform random variable. Exponential
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141 |
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Probability density function. Continuous uniform random variable. Exponential
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142 |
(%i17) integrate(x*lambda*%e^(-lambda*x),x,0,inf); |
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Probability density function. Continuous uniform random variable. Exponential
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143 |
1 |
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Probability density function. Continuous uniform random variable. Exponential
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(%o17) ------ |
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Probability density function. Continuous uniform random variable. Exponential
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145 |
lambda |
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Probability density function. Continuous uniform random variable. Exponential
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146 |
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Probability density function. Continuous uniform random variable. Exponential
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147 |
(%i18) integrate(x^2*lambda*%e^(-lambda*x),x,0,inf); |
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Probability density function. Continuous uniform random variable. Exponential
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148 |
2 |
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Probability density function. Continuous uniform random variable. Exponential
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149 |
(%o18) ------- |
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Probability density function. Continuous uniform random variable. Exponential
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150 |
2 |
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Probability density function. Continuous uniform random variable. Exponential
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151 |
lambda |
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Probability density function. Continuous uniform random variable. Exponential
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152 |
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Probability density function. Continuous uniform random variable. Exponential
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153 |
Cumulative distribution functions |
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Probability density function. Continuous uniform random variable. Exponential
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154 |
================================= |
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Probability density function. Continuous uniform random variable. Exponential
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parents:
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155 |
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Probability density function. Continuous uniform random variable. Exponential
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156 |
:def:`Cumulative distribution functions` of random variable :math:`X` is: |
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Probability density function. Continuous uniform random variable. Exponential
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parents:
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157 |
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Probability density function. Continuous uniform random variable. Exponential
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158 |
.. math:: F_X(x) = P(X ≤ x) = ∫_{-∞, x} f_X(t)·dt |