lacunary - Mathnotes

Some Continuous Probability Distributions

Uniform Distribution

Definition: Uniform Distribution \@{uniform-distribution}

The uniform distribution has a "flat" density function and thus a uniform probability in a closed interval [A,B].

The density function of the continuous uniform random variable X on the interval [A,B] is

f(x;A,B)={1BAfor AxB0otherwise

The mean and variance of the uniform distributions are

μ=A+B2,σ2=(BA)212.

The cumulative distribution function for a uniform distribution is

F(x)=xABA,AxB

and the probability that a value falls between a and b is

ab1BAdx=baBA,Aa,bB

Normal Distribution

Definition: Normal Distribution \@{normal-distribution}

The normal distribution or Gaussian distribution is the classic bell-shaped distribution.

The density of the normal random variable X, with mean μ and variance σ2, is

n(x;μ,σ)=12πσe12σ2(xμ)2,<x<.

The mean and variance of n(x;μ,σ) are μ and σ2, respectively.

Referenced by (1 direct)

The curve of a continuous probability distribution is constructed so that the area under the curve bounded by two coordinates x=x1 and x=x2 equals the probability that the random variable X assumes a value between x=x1 and x=x2. Thus

P(x1<X<x2)=x1x2n(x;μ,σ)dx=12πσx1x2e12σ2(xμ)2dx.

Definition: Standard Normal Distribution \@{standard-normal-distribution}

The standard normal distribution is the distribution of a normal random variable with mean 0 and variance 1. We can transform a normal random variable X into a standard normal random variable by

Z=Xμσ.

Thus, with z1=(x1μ)/σ and z2=(x2μ)/σ, we have

P(x1<X<x2)=x1x2n(x;μ,σ)dx=12πσx1x2e12σ2(xμ)2dx=12πσz1z2e12z2dz

=z1z2n(z;0,1)dz=P(z1<Z<z2).

This can make it easier to find probabilities using Z tables, which are used because the integration in a normal distribution is hard to do analytically.

Normal Approximation to the Binomial

Theorem: Normal Approximation to the Binomial \@{normal-approximation-binomial}

If X is a binomial random variable with mean μ=np and variance σ2=npq, then

Z=limnXnpnpq=n(z;0,1).

This works well when n is large and p is not extremely close to 0 or 1, and also works well when n is small and p is near 0.5.

Let X be a binomial random variable with parameters n and p. For large n, X has approximately a normal distribution with μ=np and σ2=npq=np(1p) and

P(Xx)=k=0xb(k;n,p)area under normal curve to the left of x+0.5=P(Zx+0.5npnpq)

and the approximation is good if np and n(1p) are greater than or equal to 5.

Note: Continuity Correction \@{continuity-correction}

The 0.5 is called a continuity correction and comes from the fact that

P(X=k)P(k0.5Xk+0.5).