DISTRIBUTION FUNCTIONS (Revision)

The distribution function [or cumulative distribution function (cdf)] of X is the function defined by

Most of the information about a random experiment described by the r.v. X is determined by the
behavior of FX(x)
Properties of FX(x):

Determination of Probabilities from the Distribution Function:

From definition (2.4), we can compute other probabilities, such as P(a < X <= b), P(X > a), and P(X <
b):

DISCRETE RANDOM VARIABLES AND PROBABILITY MASS

FUNCTIONS:
Let X be a r.v. with cdf F X(x). If FX(x) changes values only in jumps (at most a countable number of
them) and is constant between jumps-that is, FX(x) is a staircase function then X is called a discrete
random variable. Alternatively, X is a discrete r.v. only if its range contains a finite or countably infinite
number of points.
Suppose that the jumps in FX(x) of a discrete r.v. X occur at the points x,, x,, . . . , where the sequence
may be either finite or countably infinite, and we assume xi < xj if i < j.

The function px(x) is called the probability mass function (pmf) of the discrete r.v. X.

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CONTINUOUS RANDOM VARIABLES AND PROBABILITY DENSITY FUNCTIONS:
Let X be a r.v. with cdf F X(x). If FX(x) is continuous and. also has a derivative dF x(x)/dx which exists
everywhere except at possibly a finite number of points and is piecewise continuous, then X is called a
continuous random variable. Alternatively, X is a continuous r.v. only if its range contains an interval
(either finite or infinite) of real numbers. Thus, if X is a. continuous r.v., then

Probability Density Function: of a continuous random variable is defined as

Properties of fx(x) :

Statistics:
Mean:
The mean (or expected value) of a r.v. X, denoted by mx or E(X), is defined by

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An important quantity is the coefficient of variation of the positive random variable X defined as

The coefficient of variation is a (dimensionless) measure of the variability of the random variable X.

Moment:
The nth moment of a r.v. X is defined by:

The mean and variance of the Bernoulli r.v. X are

Bernoulli distribution:
A r.v. X is called a Bernoulli r.v. with parameter p if its pmf is given by:

where 0<= p <= 1. By, the cdf FX(x) of the Bernoulli r.v. X is given by:

Poisson distribution
In many practical situations we are interested in measuring how many times a certain event occurs in a
specific time interval or in a specific length or area. For instance:
1 the number of phone calls received at an exchange or call centre in an hour;
2 the number of customers arriving at a toll booth per day;
3 the number of defects on a length of cable;
4 the number of cars passing using a stretch of road during a day.
The Poisson distribution plays a key role in modelling such problems.

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The Poisson distribution is a discrete probability distribution for the counts of events that occur
randomly in a given interval of time (or space).
If we let X = The number of events in a given interval t. Then, if the mean number of events per unit
time is
The probability of observing k events in a given interval, t, is given by

 t (t ) k
P( X  k )  e
k!
The corresponding cdf is:

k
( t )i
FX (k )  e  t
 i!
0
The average = E(X) = t
The Variance = t

Uniform Distribution:
A r.v. X is called a uniform r.v. over (a, b) if its pdf is given by

The cdf is:

Statistics are:

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Negative Exponential Distribution:
A r.v. X is called an exponential r.v. with parameter >0 if its pdf is given by:

The cdf is:

The most interesting property of the exponential distribution is its "memoryless" property. By this we
mean that if the lifetime of an item is exponentially distributed, then an item which has been in use for
some hours is as good as a new item with regard to the amount of time remaining until the item fails.
The exponential distribution is the only distribution which possesses this property.

Normal (or Gaussian) Distribution:

r.v. X is called a normal (or gaussian) r.v. if its pdf is given by

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The cdf is:

Also:

The normal r.v. is probably the most important type of continuous r.v. It has played a significant role in
the study of random phenomena in nature. Many naturally occurring random phenomena are
approximately normal.

Sum of Two Poisson Variables:

Prove the following: If two Poisson variables X, Y have rates 1 & 2 respectively. If a third variable Z
is constructed by adding X & Y, then Z is also a Poisson variable that has a rate of 1+ 2.

Example: Now suppose we know that in hospital A births occur randomly at an average rate of 2.3
births per hour and in hospital B births occur randomly at an average rate of 3.1 births per hour. What is
the probability that we observe 7 births in total from the two hospitals in half an hour period?

Erlang distribution:
A random variable X has an Erlang-k (k = 1; 2; : : :) distribution with mean k/m if X is the sum of k
independent random variables X1; : : : ;Xk having a common exponential distribution with mean 1=.
The common notation is Ek() or briefly Ek. The density of an Ek(m) distribution is given by:

The distribution function equals:

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