Download Relation between Binomial and Poisson Distributions

Relation between Binomial and Poisson Distributions
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Binomial distribution
Model for number of success in n trails where P(success in any one trail) = p.
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Poisson distribution is used to model rare occurrences that occur on average
at rate λ per time interval. Can think of “rare” occurrence in terms of p Æ 0
and n Æ ∞. Take these limits so that λ = np.
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So we have that
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Continuous Probability Spaces
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Ω is not countable.
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Outcomes can be any real number or part of an interval of R, e.g. heights,
weights and lifetimes.
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Can not assign probabilities to each outcome and add them for events.
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Define Ω as an interval that is a subset of R.
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F – the event space elements are formed by taking a (countable) number of
intersections, unions and complements of sub-intervals of Ω.
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Example: Ω = [0,1] and F = {A = [0,1/2), B = [1/2, 1], Φ, Ω}
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How to define P ?
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Idea - P should be weighted by the length of the intervals.
- must have P(Ω) = 1
- assign 0 probability to intervals not of interest.
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For Ω the real line, define P by a (cumulative) distribution function as
follows: F(x) = P((- ∞, x]).
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Distribution functions (cdf) are usually discussed in terms of random
variables.
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Recalls
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Cdf for Continuous Probability Space
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For continuous probability space, the probability of any unique outcome
is 0. Because,
P({ω}) = P((ω, ω]) = F(ω) - F(ω) = 0.
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The intervals (a, b), [a, b), (a, b], [a, b] all have the same probability in
continuous probability space.
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Generally speaking,
– discrete random variable have cdfs that are step functions.
– continuous random variables have continuous cdfs.
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Examples
(a) X is a random variable with a uniform[0,1] distribution.
The probability of any sub-interval of [0,1] is proportional to the interval’s
length. The cdf of X is given by:
(b) Uniform[a, b] distribution, b > a. The cdf of X is given by:
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Formal Definition of continuous random variable
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A random variable X is continuous if its distribution function may be
written in the form
for some non-negative function f.
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fX(x)is the (Probability) Density Function of X.
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Examples are in the next few slides….
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The Uniform distribution
(a) X has a uniform[0,1] distribution. The pdf of X is given by:
(b) Uniform[a, b] distribution, b > a. The pdf of X is given by:
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Facts and Properties of Pdf
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If X is a continuous random variable with a well-behaved cdf F then
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Properties of Probability Density Function (pdf)
Any function satisfying these two properties is a probability density
function (pdf) for some random variable X.
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Note: fX (x) does not give a probability.
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For continuous random variable X with density f
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The Exponential Distribution
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A random variable X that counts the waiting time for rare phenomena
has Exponential(λ) distribution. The parameter of the distribution
λ = average number of occurrences per unit of time (space etc.).
The pdf of X is given by:
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Questions: Is this a valid pdf? What is the cdf of X?
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Note: The textbook uses different parameterization λ = 1/θ.
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Memoryless property of exponential random variable:
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The Gamma distribution
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A random variable X is said to have a gamma distribution with
parameters α > 0 and λ > 0 if and only if the density function of X is
⎧ e − λx x α −1λα
⎪
f X (x ) = ⎨ Γ(α )
⎪
0
⎩
0≤ x≤∞
otherwise
where
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Note: the quantity г(α) is known as the gamma function. It has the
following properties:
– г(1) = 1
– г(α + 1) = α г(α)
– г(n) = (n – 1)! if n is an integer.
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The Beta Distribution
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A random variable X is said to have a beta distribution with parameters
α > 0 and β > 0 if and only if the density function of X is
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The Normal Distribution
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A random variable X is said to have a normal distribution if and only if,
for σ > 0 and -∞ < μ < ∞, the density function of X is
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The normal distribution is a symmetric distribution and has two
parameters μ and σ.
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A very famous normal distribution is the Standard Normal distribution
with parameters μ = 0 and σ = 1.
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Probabilities under the standard normal density curve can be done using
Table III on 574 in the text book.
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Example:
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Example
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Kerosene tank holds 200 gallons; The model for X the weekly demand is
given by the following density function
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Check if this is a valid pdf.
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Find the cdf of X.
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Summary of Discrete vs. Continuous Probability Spaces
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All probability spaces have 3 ingredients: (Ω, F, P)
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