Difference between revisions of "Probability Distributions"

From Math Images
Jump to: navigation, search
Line 129: Line 129:
 
:In this case, the mode is <math>x = 2\,</math>.
 
:In this case, the mode is <math>x = 2\,</math>.
 
}}
 
}}
 +
 +
 +
 +
 +
==Additional Resources==
 +
:Reference used - ReliaSoft Corporation, [http://www.weibull.com/AccelTestWeb/basic_statistical_definitions.htm Basic Statistical Definitions]
 +
:Reference used - Engineering Statistics Handbook, [http://www.itl.nist.gov/div898/handbook/eda/section3/eda361.htm What is a Probability Distribution]
 +
:Reference used - Statistics Help Online, [http://www.statistics-help-online.com/node24.html Continuous distributions]
 +
:Reference used - Wikipedia, [http://en.wikipedia.org/wiki/Probability_density_function Probability Density Function]

Revision as of 12:26, 25 June 2009

Probability distributions reveal the probability associated with each outcome available to a random variable. These outcomes may be individual values (as with discrete probability distributions) or be an interval of values (as with continuous probability distributions). In addition, probability distributions are such that the total sum of the set of outcomes must be equal to 1 and the probability corresponding to a single outcome of interval of outcomes must be between 0 and 1.



Discrete Probability Distributions

 Illustration: Rolling Dice
 
 There are only 6 possible outcomes if you roll a die: 1, 2, 3, 4, 5, and 6. The probabilities that you roll any of these outcomes
 happen to be the same, all 1/6, and the sum of the probabilities of the six different outcomes is 1.

FrequencyDice.png ProbabilityDice.png


The frequencies and probabilities of each outcome can be determined from these graphs (ex. Rolling a 4 had a frequency of almost 160 and a probability of about 0.16).

FrequencyDice.png ProbabilityDice.png CumulativeDice.png


The cumulative probability of each outcome can be determined from this graph (ex. Rolling a 4 had a cumulative probability of approximately 65%).


Mathematically, a discrete probability distribution can be defined as a distribution with a set of outcomes that are discrete values, and are usually also pre-defined and finite. If X represents the discrete random variable (that is a random outcome), while x represents a possible outcome of X and j represents the set of all outcomes of X, then a discrete probability distribution is such that:

  • p(x) = P[X = x]\,, where p(x) is the probability that X = x


  • \sum_j^{} P[X = j] = 1, where the sum of all possible outcomes of X is 1

Continuous Probability Distributions

 Illustration: Weighing Apples
 
 On the other hand, continuous probability distribution can be illustrated with the example of measuring the weights of apples.
 The outcomes that you would obtain from measuring the weight of each apple would vary like so: 150.534... grams, 149.259...grams,
 154.274... grams, 152.389... grams, and so on. As you can see, there are an infinite number of outcomes that emerge from these
 measurements. Thus, the probability that an apple would weight exactly 152.234... grams is zero. 

HistogramApple.png FreqApple.png


It is unreasonable to plot the frequency of each outcome individually (since each outcome is unique and would only have 1 frequency), so the frequencies must be grouped by intervals to make a histogram that can be generalized into a function. Using the function, we can calculate the probability of an interval (ex. [a,b]) of outcome values.

HistogramApple.png FreqApple.png CDFApple.png


It is clear that the CDF for this illustration does not exceed 1 and we can use the graph to find the cumulative probability of a outcome value (ex. b)


Mathematically, continuous probability distribution can be defined as a distribution with an infinite set of uncountable outcomes. The probability that a random outcome is equal to any real-value is essentially zero, because there are an infinite number of outcomes that are possible. Thus, probabilities can only be calculated over intervals. If X represents the continuous random variable (that is a random outcome) while x represents a possible outcomes of X, then a continuous probability distribution is such that:

  • p(a \leq x \leq b) = \int_a^b f(x)dx , where p(a < x < b) is the probability of the interval [a, b] and f(x) is the function describing the distribution


  • P[X = x] = 0 \,, where the probability of any single possible outcome is zero


  • \int_{-\infty}^{\infty} f(x)dx = 1, where the sum of all the probabilities of the infinite set of outcomes is 1

Cumulative Distribution Function F(x)\,

Various Cumulative Probability Functions

Another way to define these two types of distributions is through their relationship to the cumulative distribution function F(x). A cumulative distribution function (CDF) is used to find the probability that a random variable X with be less than or equal to an outcome value a.

Mathematically, we can define the CDF to be: F(x) = P[X \leq x], where F(x)\, must be positive and must stay between 0 and 1.

To find the cumulative probability of X for an outcome value a:

for discrete probability functions, we evaluate the expression P[X \leq a] = \sum_{x_i}^a F(x)\,

Therefore, discrete probability distributions must have fragmented CDFs. Going back to the above section on discrete probability distributions, you can click to expand the CDF graph for the given illustration. As we can see, the graph is a step function that increases towards 1.

for continuous probability functions, we evaluate the expression P[X \leq a] = \int_{-\infty}^{a} F(x)dx
Therefore, continuous probability distributions must have continuous CDFs. In the previous section on continuous probability distributions, you can click to expand the CDF graph for the given illustration. We can see that the graph is a continuous function that does not exceed 1.

Probability Density Function f(x)\,

Corresponding Probability Density Functions

The probability density function (PDF) is the derivative of the cumulative distribution function, so it must integrate to 1. Mathematically:

 f(x) = \frac{d}{dx}F(x) OR  F(x) = \int_{-\infty}^{x} f(s)ds

A PDF of a random variable describes the probability of each point in the set of outcomes available to the random variable. The PDF must always be positive if the CDF is always increasing.


Mean, Median, and Mode

Median: The middle value of a set of outcomes
Mode: The most commonly appearing value in a set of outcomes
Mean (Expected Value): The average value in a set of outcomes
Mathematically, the mean, E(x), can be found: E(X) = \int_a^b xf(x)dx

PDFgraph.png



For example, let's supposed that the PDF of a situation is f(x) = 0.5x\, where 0\leq x \leq 2 as seen in the graph to the left.

PDFgraphMean.png




The mean of the probability distribution is the average value of the set of outcomes. Graphically, the mean is the value at which the graph would "balance", where the outcomes on the right side of the mean and those on the left side would be equal in relative magnitude and amount.

In this case, the mean is x = \frac{4}{3}.
PDFgraphMedian.png



The median of the probability distribution is the middle value of the set of outcomes. Thus, it is the value on the graph where the area to the right of the median and the area to the left of the median are equal. In other words, where the sum of probabilities of the enclosed outcomes on either side is equal to 0.5 or 50%.

In this case, the median is x = \sqrt{2}.
PDFgraphMode.png



The mode of the probability distribution is the most frequent value in the set of outcomes. Since the function f(x) reveals the probability (relative frequency) of each outcome, the value with the highest probability or the maximum of the graph is the mode.

In this case, the mode is x = 2\,.



Additional Resources

Reference used - ReliaSoft Corporation, Basic Statistical Definitions
Reference used - Engineering Statistics Handbook, What is a Probability Distribution
Reference used - Statistics Help Online, Continuous distributions
Reference used - Wikipedia, Probability Density Function