Chapter 6: Special Probability Densities

Section 4: The Beta Distribution

Definition 6.5. A random variable X has a beta distribution and it is referred to as
a beta random variable if and only if its probability density is given by
( ) ( )
( )

< <
I I
+ I
=

elsewhere
x f or x x
x f
0
1 0 1
) (
) (
1
1
|
o
| o
| o


where o > 0 and > 0.
( ) ( )
( )
( )
( ) ( )
( ) | o
| o
| o
| o
|
o
|
o
+ I
I I
=
=
I I
+ I
}
}

dx x x
dx x x
1
0
1
1
1
0
1
1
1
1 1
) (

This integral defines the beta function. That is,
( ) ( )
( ) | o
| o
| o
+ I
I I
= ) , ( B


Theorem 6.5. The mean and variance of the beta distribution are given by

( ) ( ) 1
2
2
+ + +
=
+
=
| o | o
o|
o
| o
o
and


The proportion of a certain brand of light bulbs that fail before the advertised life of
the light bulb is a beta random variable with parameters o = 3 and = 10.

1. What is the probability that at most 0.40 of the light bulbs will fail before
the advertised life for the brand.











2. Find the mean and variance for the proportion of light bulbs that will fail
before the advertised life for the light bulb.

Chapter 6: Special Probability Densities
Section 5: The Normal Distribution
Definition 6.6. A random variable X has a normal distribution and it is
referred to as a normal random variable if and only if its probability density is
given by

( ) < < =
|
.
|

\
|

x f or e x n
x
2
2
1
2
1
, ;
o

t o
o

where > 0.

- The graph of the function is a bell shaped curve that never touches
the horizontal axis.
- The density curve is a symmetric curve.
- The mean and median are the same value.
- The area under the curve is 1.
- The area under the curve represents probability or proportion.
- To find the probability or area under the curve, we can integrate the
normal density using appropriate limits.


Definition 6.7. The normal distribution with = 0 and = 1 is referred to as the
standard normal distribution.

1. Find the following probabilities. Z is a random variable with standard
normal distribution.

a. P(0 < Z < 1.23) = ______________







b. P(Z > 0.86) = ____________




c. P(2.17 < Z < 1.09) = ___________




d. P(Z > 1.55) = _____________

Find the value of Z
0
for the probability given below.
1. P(0 < Z < Z
0
) = 0.33 Z
0 = ____________________








2. P(Z < Z
0
) = 0.78 Z
0 = ____________________






3. P(Z < Z
0
) = 0.41 Z
0 = ____________________






4. P(Z > Z
0
) = 0.68 Z
0 = ____________________




Earlier we said that a standard normal distribution has a mean = 0 and a
standard deviation = 1.
With respect to the mean and standard deviation, what is Z a measure of?



Theorem 6.7. If X has a normal distribution with and standard deviation , then
o

=
X
Z

has the standard normal distribution.



Suppose that the average amount of sleep for adults is 7.1 hours with a
standard deviation of 1.2 hours. Assume that the amounts of sleep are
normally distributed.

1. What percent of adults get less than 7.6 hours of sleep each night?




















2. What is the probability of randomly choosing an adult who gets at
least 9 hours of sleep each night?
















A certain brand of battery has an average life of 9.8 hours with a
standard deviation 0.7 hours.

1. What is the probability that for any given battery that it will last
between 8 and 10 hours?









2. Seventy-five percent of the batteries will last at least __________
hours.

Chapter 6: Special Probability Densities
Section 7: The Bivariate Normal Distribution
In section 6.5, we looked at the univariate normal distribution. That is, we looked
at the normal distribution for one variable. This can be generalized for several
variables and is called the multivariate normal distribution. In this section, we will
look at the bivariate normal distribution.
Definition 6.8. A pair of random variables X and Y have a bivariate normal
distribution and they are referred to as jointly normally distributed random
variables if and only if their joint probability distribution is given by
2
2 1
2
) 1 ( 2
1
1 2
) , (
2
2
2
2
2
1
1
2
1
1
2
o to
o

=
(
(

|
|
.
|

\
|
+
|
|
.
|

\
|
|
|
.
|

\
|

|
|
.
|

\
|

y y x x
e
y x f

for < x < and < y < , where
1
> 0,
2
> 0, and 1 < < 1.
1. How would we find probability using the bivariate normal density?
2. If we were to integrate x and y over all real numbers, what would we
get?
3. What do you think the graph of the bivariate normal density looks
like?
4. With regard to the graph, what is the probability?

How would we find the marginal density for X?



The marginal density for X would be
2
2
1
1
1
1
2
1
) (
|
|
.
|

\
|

=
o

t o
x
e x g

What type of density function is this?



What does it tell us?



Likewise, the marginal density for Y is
2
2
2
2
1
2
2
1
) (
|
|
.
|

\
|

=
o

t o
y
e y h


2 1
) , cov(
o o

y x
=

The correlation between the random variables X and Y is .


Theorem 6.9. If X and Y have a bivariate normal distribution, the conditional
density of Y given X = x is a normal distribution with the mean
( )
1
1
2
2 |

o
o
+ = x
x Y

and the variance

( )
2 2
2
2
|
1 o o =
x Y

and the conditional density of X given Y = y is a normal distribution with the mean
( )
2
2
1
1 |

o
o
+ = y
y X

and the variance

( )
2 2
1
2
|
1 o o =
y X




What does this theorem tell us with regard to normal distribution?

Theorem 6.10. If two random variables have a bivariate normal distribution,
they are independent if and only if = 0.
Chapter 6: Special Probability Densities
Section 8: Theory in Practice
In using statistics to analyze data, we often assume or need to check the
assumption that the data are normally distributed.
One method of checking for normality is to construct a normal scores plot.
The normal scores are the z scores for each
th
n
|
.
|

\
|
+1
1
of the data. You will plot
the ordered data against the normal scores. If the data are normally distributed,
the points should fall on a straight line.
#1. Check to see if the data are approximately normally distributed.
17 21 22 15 12
Note: For n observations, each observation divides the area under the curve into
n + 1 parts with each having an area of
1
1
+ n
.


Cumulative
Area
Z
p
X
1 0.1667 12
2 0.3333 15
3 0.5000 17
4 0.6667 21
5 0.8333 22


#2. Check the following data for normality.
12.5 6.9 10.8 14.7 16.9 50.2 21.8 37.6 5.2
Area Z
p
x
5.2
6.9
10.8
12.5
14.7
16.9
21.8
37.6
50.2

In #2, the data are clearly not normally distributed. However, we may want to
transform the data.

This can be done by transformations.
Too Many Large Values:
x
1
u ation transform reciprocal
u formation root trans - square
ln x or x log u ation transform c logarithmi
=
=
=
x

Too Many Small Values:
1 a where , a u ation transform l exponentia
1 a where , u sformation power tran
> =
> =
x
a
x


Outliers may be thought of as observations clearly out of the pattern of
observations. For a single variable, this would be an extremely small or large
value of X.
An outlier can have a big impact on the statistics being done. In doing the normal
scores plot, dropping an outlier might result in the plot being almost linear. `The
researcher may choose to drop the outliers. Even so, the outliers should be
investigated. They may still yield information.


Chapter 7: Functions of Random Variables
Section 1: Introduction
In this chapter, we will look at probability distributions of functions of one or
more random variables. We will be finding their joint probability distribution
using one of three methods.
1. Distribution Function Technique
2. Transformation Technique
3. Moment-Generating Function Technique
In some cases, all three methods can be used. Usually, one technique will
be preferable.

In Chapter 8, these techniques we will be used to find several important and
fundamental distributions in statistics.


Section 2: Distribution Function Technique
In this case Y is a function of one or more random variables.
Y = u(X
1
, X
2
, . . . X
n
)
Find the distribution function
F(y) = P(Y < y)
F(y) = P[u(X
1
, X
2
, . . . X
n
) < y]
Next, differentiate F(y) to get the density function f(y).

1. Find the probability density of Y = X
4
.
( )

< < +
=
elsewhere
x x x
x f
0
2 0
6
1
) (
3







2. Find the probability density of Y = e
x
.

< <
=

elsewhere
x e
x f
x
0
0 3
) (
3


3. The joint density of X and Y is given by

> >
=
+
elsewhere
y and x f or e
y x f
y x
0
0 0
) , (
) (

Find the probability density of Z = 2X + Y.
4. Find the probability density of
2
X
Y
Z =
.

> < <

=

elsewhere
y x for xe
y x f
y
0
0 , 2 1
3
2
) , (