447

ChapterEight
ContinuousProbability
Distributions
ContinuousRandomVariables
Recallthatacontinuousrandomvariablecan
takeonanuncountablenumberofpossible
values.
Thisfeatureisdramaticallydifferentfrom
discreterandomvariables,andthereforethe
definitionofobjectslikeprobabilitydistribution
functionmustbeentirelyredefinedfora
continuousrandomvariable.
448
8.449
Unlikeadiscreterandomvariablewhichwestudiedin
Chapter7,acontinuousrandomvariable isonethat
canassumeanuncountable numberofvalues.
Wecannotlistthepossiblevaluesbecausethereis
aninfinitenumberofthem.
Becausethereisaninfinitenumberofvalues,the
probabilityofeachindividualvalueisinfinitesimally
small(effectively0).Thatis,ifXisacontinuousrandom
variable,thenPr(X=x)=0foranyindividualvaluex.
PointProbabilitiesareZeroforaContinuous
RandomVariable
8.450
PointProbabilitiesareZeroforaContinuous
RandomVariable
Becausethereisanuncountablenumberofpossiblevalues
thatXcantake,theprobabilityofeachindividualvalue
mustbeinfinitesimallysmall(effectivelyzero).
IfwetossadietentimesandletX=#ofHeads,itis
meaningfultotalkaboutPr(X=5).
However,ifX=timethatittakestocompleteatask,the
probabilitythatittakesexactly5minutestocompleteis
infinitesimallysmall.EffectivelywehavePr(X=5)=0
Thus,ifXisacontinuousrandomvariable,itisonly
meaningfultodetermineprobabilitiesforrangesofvalues
only.Forexample,Pr(X5),orPr(2X6).
ProbabilityDensityFunction
IfXisacontinuousrandomvariable,thenits
probabilitydensityfunction isafunctionf(x)
thatallowsustocomputetheprobabilitythat
Xfallswithinarangeofvalues.
Tomotivateintuitivelywhataprobability
densityfunctionis,wecangobacktothe
notionofahistogram.
451
Recallthatwhenweconstructahistogram,wedivide
therangeofobservationsofXintoclasses,andthen
wecomputethefrequencyofobservationsthatfell
withineachclass.Forexample:
452
Supposewemodifythehistogramsothat,inthe
verticalaxis,weplottherelativefrequencyofeach
intervaldividedbytheintervalwidth.
Bydoingthis,theareasoftherectanglesinthe
histogramaddupto1.
453
Thus,inahistogramwithrelativefrequencies,the
areaofeachrectangleestimatestheprobability
thatXwillfallintheintervalinquestion:
454
IfXiscontinuous,thenitshistogram canbe
seenasanestimatefortheprobability
densityfunctionofX.
TheprobabilitydensityfunctionofX,labeled
f(x)isafunctionsuchthat,theprobability
thatXfallswithinanyintervalofvaluesis
equaltotheareaunderthecurveoff(x)over
thatinterval.
455
8.456
ProbabilityDensityFunction
ConsiderarandomvariableX,whoserangeofpossible
valuesistheinterval[a,b].
Afunctionf(x)iscalledaprobabilitydensityfunction
forX (overtherangeaxb)ifitmeetsthefollowing
requirements:
1) f(x)0forallx betweena andb,and
2) Thetotalareaunderthecurvebetweena andb is1
f(x)
x b a
area=1
Theareaunderf(x)foragivenintervalofvaluesofX
measurestheprobabilitythatXbelongsinthat
interval.
457
f(x)
x b a
Prob(x
1
X x
2
)
x
1
x
2
8.458
UniformDistribution
Oneofthesimplestexamplesofacontinuous
distributionistheuniformprobabilitydistribution
(sometimescalledtherectangularprobability
distribution).Itisdescribedbythefunction:
f(x)
x b a
area = width xheight = (b a) x = 1
8.459
Example8.1: Theamountofgasolinesolddailyata
servicestationisuniformlydistributedwithaminimum
of2,000gallonsandamaximumof5,000gallons.
Findtheprobabilitythatdailysaleswillfallbetween
2,500and3,000gallons.
Algebraically:whatisP(2,500X3,000) ?
f(x)
x 5,000 2,000
8.460
P(2,500X3,000) =(3,000 2,500)x =.1667
thereisabouta17%chancethatbetween2,500and
3,000gallonsofgaswillbesoldonagivenday
f(x)
x 5,000 2,000
8.461
Whatistheprobabilitythattheservicestation
willsellatleast 4,000gallons?
Algebraically:whatisP(X4,000) ?
f(x)
x 5,000 2,000
8.462
P(X4,000) =(5,000 4,000)x =.3333
Thereisaoneinthreechancethegasstationwill
sellmorethan4,000gallonsonanygivenday
f(x)
x 5,000 2,000
8.463
Whatistheprobabilitythatthestationwillsell
exactly 2,500gallons?
Algebraically:whatisP(X=2,500) ?
f(x)
x 5,000 2,000
8.464
P(X=2,500) =(2,500 2,500)x =0
Theprobabilitythatthegasstationwillsell
exactly 2,500gallonsiszero
f(x)
x 5,000 2,000
8.465
ComputingAreasunderf(x)andIntegralCalculus
Ingeneral,computingtheareaunderthecurveofa
probabilitydensityfunctionf(x)betweenanytwopointsx
1
andx
2
requirestocomputetheintegraloff(x)betweenx
1
and
x
2
.Thatis,
1 2
x
2
x
1
InthecaseoftheUniformdistribution,thisreducessimplyto
computingrectangleareas.
Thisisnotthecaseforothercontinuousdistributionswewill
discusshere.However,youwillnotbeaskedtocompute
complicatedintegralsinthiscourse.YouwilluseStatistical
Tables instead.
8.466
TheNormalDistribution
Thenormaldistribution isthemostimportantofall
probabilitydistributions.Theprobabilitydensity
functionofanormalrandomvariable isgivenby:
Itlookslikethis:
Bellshaped,
Symmetricalaroundthemean
8.467
Importantthingstonote:
The normal distribution is fully defined by two parameters:
its standard deviation (given by o) and mean (given by )
Unliketherangeoftheuniformdistribution(a xb)
Normaldistributionsrangefromminusinfinitytoplusinfinity
Thenormaldistributionisbellshapedand
symmetricalaboutthemean
8.468
StandardNormalDistribution
Anormaldistributionwhosemeaniszero andstandard
deviationisone iscalledthestandardnormal
distribution.
Asweshallseeshortly,anynormaldistributioncanbe
converted toastandardnormaldistributionwith
simplealgebra.Thismakescalculationsmucheasier.
0
1
1
8.469
NormalDistribution
Thenormaldistributionisdescribedbytwoparameters:
itsmeananditsstandarddeviation.Increasingthe
meanshifts thecurvetotheright
8.470
Increasingthestandarddeviationflattens
thecurve
8.471
CalculatingNormalProbabilities
Computingprobabilitiesentailscomputingintegrals
forf(x).Wewillnotdothathere.
Instead,wewilluseProbabilityTablesforthe
StandardNormalDistribution.Beforeusingthe
tables,wemustStandardizetheNormalrandom
variableinquestion.
Weconvertanynormalrandomvariabletoa
standard normalrandomvariableintwosimple
steps:
1. Subtractthemean
2. DividebytheStandarddeviationo
472
SupposeXisNormallydistributed,withmean
andstandarddeviationo.
Let
ThenZisaStandardNormalrandom
variable
WecanthinkofZasastandardizationofX.
8.473
Wecanusethefollowingfunctiontoconvert
anynormalrandomvariabletoastandard
normalrandomvariable
This shifts the mean
of X to zero
0
8.474
Wecanusethefollowingfunctiontoconvert
anynormalrandomvariabletoastandard
normalrandomvariable
This changes the
shape of the curve
0
UsingStandardNormalProbabilityTables
StandardNormalprobabilitytablesinclude
cumulativeprobabilitiesofthetype
,
WhereZisaStandardNormalrandom
variable.
SupposeXisaNormalrandomvariablewith
meanandstandarddeviationo.Howcanwe
usethesetablestoobtainprobabilitiesofthe
typePr(Xk),Pr(Xk) orPr(k
1
X k
2
)?
475
UsingStandardNormalProbabilityTables
WhenXwasdiscrete andonlytookoninteger
values,weconcludedthat:
Pr(Xk)=1 Pr(X k1)
Pr(k
1
Xk
2
)=Pr(Xk
2
) Pr(Xk
1
1)
IfXiscontinuous,wenowhave:
Pr(Xk)=1 Pr(X<k)
Pr(k
1
Xk
2
)=Pr(Xk
2
) Pr(X<k
1
)
Withtheaddedconveniencethat,sinceXis
continuous,wehavePr(Xk)=Pr(X<k),sowedo
notworryaboutthedistinctionbetweenweakand
strictinequalities.
476
UsingStandardNormalProbabilityTables
OK,soifXisacontinuousrandomvariable,then:
Pr(Xk)=1 Pr(X k)
Pr(k
1
Xk
2
)=Pr(Xk
2
) Pr(X k
1
)
IfXisnormallydistributedwithmean andstandard
deviationo,wewe cancomputePr(Xk)by
computingtheprobability:
whereZisaStandardNormalrandomvariable.
Thisprobabilitycanbefoundintheprobabilitytables
fromtheStandardNormaldistribution.
477
UsingStandardNormalProbabilityTables
Therefore,ifXisnormallydistributedwithmean and
standarddeviationo,wehave
1 2
2 1
Alltheprobabilitiesontherighthandsidecanbe
computedusingtheStandardNormalprobabilitytables.
478
8.479
Example8.2: Supposethatatanothergasstation
thedailydemandforregulargasolineisnormally
distributed withameanof1,000 gallonsanda
standarddeviationof100gallons.
Thestationmanagerhasjustopenedthestation
forbusinessandnotesthatthereisexactly1,100
gallonsofregulargasolineinstorage.
Thenextdeliveryisscheduledlatertodayatthe
closeofbusiness.Themanagerwouldliketo
knowtheprobabilitythathewillhaveenough
regulargasolinetosatisfytodaysdemands.
8.480
Thedemandisnormallydistributedwithmean=
1,000 andstandarddeviation =100.Wewantto
findtheprobability
P(X<1,100)
Graphicallywewanttocalculate:
8.481
StandardizingX,wehave
11-1
1
8.482
StandardNormalTables(Table3inAppendixB)
Thistableissimilartotheonesweusedfor
thebinomialandPoissondistributions.
Thatis,thistablelistscumulativeprobabilities
P(Z<z)forvaluesofzrangingfrom3.09to
+3.09.
8.483
Supposewewanttodeterminethefollowing
probabilityP(Z<1.52)
Werstnd1.5intheleftmargin(rowof
thetablelabeled1.5).
Wethenmovealongthisrowuntilwefindthe
probabilityunderthe.02heading(columnof
thetablelabeled.02).Thus,
P(Z<1.52)=.0643
8.484
Table3
P(Z<1.52)=.0643
8.485
AswasthecasewithTables1and2wecanalso
determinetheprobabilitythatthestandardnormal
randomvariableisgreaterthansomevalueofz.
Forexample,wefindtheprobabilitythatZis
greaterthan1.80bydeterminingtheprobability
thatZislessthan1.80andsubtractingthatvalue
from1.
Applyingthecomplementruleweget
P(Z>1.80)=1 P(Z<1.80)=1.9641=.0359
8.486
P(Z>1.80)=1 P(Z<1.80)=1.9641=.0359
8.487
Wecanalsoeasilydeterminetheprobabilitythata
standardnormalrandomvariableliesbetween2
valuesofz.Forexample,wefindtheprobability
P(1.30<Z<2.10)
Byfindingthe2cumulativeprobabilitiesand
calculatingtheirdifference.Thatis
P(Z<1.30)=.0968 and P(Z<2.10)=.9821
Hence,
P(1.30<Z<2.10)=P(Z<2.10)P(Z<1.30)
=.9821.0968=.8853
8.488
Table3
P(1.30<Z<2.10)=.8853
8.489
Table3
Noticethatthelargestvalueofzinthetable
is3.09,andthatP(Z<3.09)=.9990.This
meansthat
P(Z>3.09)=1.9990=.0010
However,becausethetablelistsnovalues
beyond3.09,weapproximateanyarea
beyond3.10as0.Thatis,
P(Z>k)=P(Z<k)0foranyk3.10
8.490
Table3
RecallthatinTables1and2(BinomialandPoisson)
wewereabletousethetabletofindPr(X=x),the
probabilitythatXisequal tosomevalueofx,but
thatwewillnotdothesamewiththenormaltable.
Rememberthatthenormalrandomvariableis
continuousandtheprobability thatacontinuous
randomvariableitisequaltoanysinglevalueis0.
8.491
APPLICATIONSINFINANCE:MeasuringRisk
InSection7.4welookedatanimportant
applicationinfinancewheretheemphasis
wasplacedonstudyingthevarianceofthe
returnsonaportfolio.
However,wehavenotdemonstratedwhyrisk
ismeasuredbythevarianceandstandard
deviation.Thefollowingexamplecorrectsthis
deficiency.
8.492
Example8.3:Consideraninvestmentwhose
returnisnormallydistributedwithameanof
10%andastandarddeviationof5%.
a) Determinetheprobabilityoflosingmoney.
b) Findtheprobabilityoflosingmoneyifthe
standarddeviationisinsteadequalto10%.
8.493
a)Theinvestmentlosesmoneywhenthereturn
isnegative.ThuswewishtodetermineP(X<0)
ThefirststepistostandardizebothXand0inthe
probabilitystatement.
P(X<0)==P(Z< 2.00)
FromTable3wefindP(Z<2.00)=.0228
Thereforetheprobabilityoflosingmoneyis
.0228(about2%)
|
.
|

\
|

<
o

5
10 0 X
P
8.494
b.Ifweincreasethestandarddeviationto10%
theprobabilityofsufferingalossbecomes
P(X<0)==P(Z<1.00)=.1587
Sotheprobabilityoflosingmoneyjumpsto
about16%withthislargerstandarddeviation.
Thisillustrateswhythestandarddeviationisa
goodwaytomeasurerisk.
|
.
|

\
|

<
o

10
10 0 X
P
8.495
FindingValuesofZ
Inmanyproblemsweneedtofindsomevalue
ofZforagivenprobability.
Thatis,givenanarea(A)underthecurve,
whatisthecorrespondingvalueofz(labelit
z
A
)onthehorizontalaxisthatgivesusthis
area?Thatisthevaluez
A
suchthat:
P(Z>z
A
)=A
8.496
Forexample:Whatvalueofzissuchthata
StandardNormalrandomvariableisgreater
thanzwithonly2.5%probability?Thatis,what
isz
.025
?
Area = .025
(1 A) = (1.025) = .9750
IfyoudoareverselookuponTable3 for.9750,
youwillgetthecorrespondingz
A
=1.96
SinceP(z>1.96)=.025,wesay:z
.025
=1.96
Thus,foranyAin[0,1],thetextbookdefinesZ
A
as
thevaluethatsatisfies:
Pr(Z>Z
A
)=A
WhereZisaStandardNormalrandomvariable.
Thus,forexample:
Z
.025
satisfiesPr(Z>Z
.025
)=0.025
Z
.05
satisfiesPr(Z>Z
.05
)=0.05
Z
.90
satisfiesPr(Z>Z
.90
)=0.90
Z
.75
satisfiesPr(Z>Z
.025
)=0.75
Etc..
EachZ
A
canbefoundthroughtheStandardNormal
probabilitytables(Table3inthetextbookappendix).
497
Example:LookingupZ
.025
. Todothis,recall
firstthatZ
.025
isdefinedassatisfying
Pr(Z>Z
.025
)=0.025
Thatis,Z
.025
satisfies
Pr(ZZ
.025
)=1 0.025=0.975
Thus,todetermineZ
.025,
weneedtolookupin
Table3thevaluezthatsatisfies
Pr(Zz)=0.975
ThisyieldsZ
.025
=1.96
498
ThisishowwelookupZ
.025
intheStandardNormal
TablesWedetermineZ
.025
=1.96
499
ForanyprobabilityA,welookupZ
A
analogously.For
example,Z
.05
=1.645
500
Z
A
,Z
1A
andSymmetryoftheNormalDistribution
TheStandardNormaldistributionissymmetricaround
zero.Asaresult,thisimpliesthatifZisStandard
Normal,thenforanyz:
Pr(Z>z)=Pr(Z<z)
Thisgraphsillustratesthepoint:
Therefore,foranyprobabilityA,wehave:Z
1A
= Z
A.
For
example:Z
.975
=Z
.025
=1.96,Z
.95
=Z
.05
=1.645 .
501
FindingX
A
foraNormalRandomVariableinGeneral
SupposeXisaNormalrandomvariablewithmean and
standarddeviationo.
Foraprespecified probabilityA,supposewewantto
determinethevalueX
A
suchthat
Pr(X>X
A
)=A
WecanfindX
A
throughtheStandardNormalprobability
tablesonceagain,bystandardizingX.Specifically,wedo
itintwosteps:
1) FindZ
A
,whichsatisfiesPr(Z>Z
A
)=A,whereZisa
StandardNormalrandomvariable.
2) X
A
willbethevaluethatsolves:
X
A
-
o
A
.Thisyields:
A A
502
Example: Exercise8.42. Thenumberofhits
dailyonacertainwebsiteisanormally
distributedrandomvariablewithameanof
10,000andastandarddeviationof2,400.
a) Whatistheprobabilityofgettingmorethan
12,000hits?
b) Whatistheprobabilityofgettingfewerthan
9,000hits?
503
Wehave
And
X<9000)=
9,000-10,000
2,400
=Pr(Z 0.416)=0.3372
504
Example:Exercise8.56. Supposetheamount
spentbyatypicalfamilyoffourspendsata
McDonaldsrestaurantisanormally
distributedrandomvariablewithmean$16.40
andstandarddeviationof$2.75
a) Findtheprobabilitythatafamilyoffour
spendslessthan$10.00
b) Whatistheamountbelowwhichonly10%of
familiesoffourspendatMcDonalds?
505
Example:Exercise8.59. Accordingtothe
CanadianCensus,universityeducated
Canadiansearnedameanincomeof$61,823.
Thestandarddeviationis$17,301.Ifincomes
arenormallydistributed,answerthe
following:
a) Whatistheprobabilitythatarandomly
selecteduniversityeducatedCanadianearns
morethan$70,000?
b) Whatistheincomelevelsuchthatonly15%
ofuniversityeducatedCanadiansareabove
thislevel?
506
8.507
ExponentialDistribution
Anotherimportantcontinuousdistributionisthe
exponentialdistribution whichhasthisprobability
densityfunction:
Notethatx0.Time(forexample)isanonnegative
quantity;theexponentialdistributionisoftenused
fortimerelatedphenomenasuchasthelengthof
time betweenphonecallsorbetweenpartsarriving
atanassemblystation.
Fortheexponentialrandomvariable:
8.508
Theexponentialdistributiondependsupon
thevalueofasingleparameter: .
Smallervaluesof flattenthecurve:
(Exponential
distributionsfor
=.5,1,2)
8.509
ComputingProbabilitiesfortheExponential
Distribution
UnliketheNormaldistribution,theintegralsinvolved
intheExponentialdistributioncasehavesimple,
closedformexpressions,sowecanusethese
expressionsdirectlyinsteadofusingstatisticaltables.
IfXisanexponentialrandomvariable,thenwecan
calculateprobabilitiesby:
8.510
Example8.6: Thelifetimeofanalkalinebattery
(measuredinhours)isexponentiallydistributed
with =.05
Findtheprobabilityabatterywilllastbetween10&15hours
P(10<X<15)
P(10<X<15)
Thereisabouta13%chanceabattery
willonlylast10to15hours
8.511
OtherContinuousDistributions
Three otherimportantcontinuousdistributions
whichwillbeusedextensivelyinlatersections
areintroducedhere:
Studentt Distribution,
ChiSquaredDistribution,and
F Distribution.
8.512
Studentt Distribution
Herethelettert isusedtorepresenttherandom
variable,hencethename.Thedensityfunctionfor
theStudentt distributionisasfollows
(nu)iscalledthedegreesoffreedom,and
(Gammafunction)is(k)=(k1)(k2)(2)(1)
8.513
Muchlikethestandardnormaldistribution,the
Studentt distributionisalsobellshapedand
symmetricalabout itsmeanofzero:
ThemeanandvarianceofaStudenttrandom
variableare
E(t)=0and
V(t)=for >2.
8.514
Inmuchthesamewaythatand definethenormal
distribution,,thedegreesoffreedom,definesthe
Student
t Distribution:
Asthenumberofdegreesoffreedomincreases,the
t distributionapproachesthestandardnormal
distribution.
Figure 8.24
8.515
DeterminingStudentt Values
Thestudentt distributionisusedextensivelyin
statisticalinference.Table4 inAppendixBlists
valuesof
Thatis,valuesofaStudentt randomvariablewith
degreesoffreedomsuchthat:
ThevaluesforAinTable4are10%,5%,2.5%,1%
and0.5%.Thesearemostcommonlyusedvalues
8.516
Usingthet table(Table4)forvalues
Forexample,ifwewantthevalueoft with10degrees
offreedomsuchthattheareaundertheStudentt
curveis.05:
Area under the curve value (t
A
) : COLUMN
Degrees of Freedom : ROW
t
.05,10
t
.05,10
=1.812
Sincethet distributionissymmetricaroundzero,we
havet
1A,v
= t
A,v.
Forexample,supposewewanttofindt
.95,4
Thatis,
thevaluesuchthatPr(t>t.95)=0.95wheretisat
distributedrandomvariablewith4degreesof
freedom
Wecanfinditsimplybytakingt
.05,4
=2.132
517
8.518
ChiSquaredDistribution
Thechisquareddensityfunctionisgivenby:
Asbefore,theparameteristhenumberofdegrees
offreedom.
Figure 8.27
8.519
Notes:
Thechisquareddistributionisnotsymmetrical
Thesquare,i.e.,forcesnonnegativevalues(e.g.
findingP(<0)=0).
Table5inAppendixBmakesiteasytolookup
probabilitiesofthissort,i.e.
P(>)=A:
8.520
Forprobabilitiesofthissort:
Weuse1A,i.e.wearedetermining
P(<)=A
8.521
Forexample: Tofindthepointinachisquared
distributionwith8degreesoffreedom,suchthat
theareatotherightis.05,
Lookuptheintersectionofthe8d.f. rowwiththe
column,yieldingavalueof15.5
8.522
Tofindthepointinachisquareddistributionwith8
degreesoffreedom,suchthattheareatotheleftis
.05,welookupthevaluesuchthattheareatothe
rightis10.05=0.95
Lookuptheintersectionofthe8d.f. rowwiththe
column,yieldingavalueof2.73
8.523
ForExample
Thismakessense:
Remembertheaxisstartsandzeroandincreases!
=2.73
=15.5
8.524
F Distribution
TheF densityfunctionisgivenby:
F>0.Twoparametersdefinethisdistribution,and
likewevealreadyseentheseareagaindegreesof
freedom.
isthenumeratordegreesoffreedomand
isthedenominatordegreesoffreedom.
8.525
ThemeanandvarianceofanF randomvariablearegiven
by:
and
TheFdistributionissimilartothedistributioninthat
itsstartsatzero(isnonnegative)andisnotsymmetrical.
F Distribution
8.526
DeterminingValuesofF
Forexample,whatisthevalueofFfor5%ofthearea
undertherighthandtailofthecurve,witha
numeratordegreeoffreedomof3andadenominator
degreeoffreedomof7?
Solution:usetheFlookup(Table6)
Numerator Degrees of Freedom : COLUMN
Denominator Degrees of Freedom : ROW
F
.05,3,7
There are different tables
for different values of A.
Make sure you start with
the correct table!!
F
.05,3,7
=4.35
8.527
Forareasunderthecurveonthelefthandside
ofthecurve,wecanleveragethefollowing
relationship:
Pay close attention to the order of the terms!
Forexample,supposewewanttofind
F
0.95,22,8
Thatis,thevaluesuchthat
Pr(F>F
0.95,22,8
)=0.95,
whereFisarandomvariablewithanFdistribution
with22degreesoffreedominthenumeratorand8
degreesoffreedominthedenominator.
UsingTable6,wecanlookupF
0.05,8,22
andthenlet
0.95,22,8
.05,8,22
528
Examples:
Usingthettable(Table4)findthefollowingvaluesof
thet distribution:
a) t
.10,15
b) t
.025,85
c) t
.95,4
d) t
.975,12
Recall thatt
A,v
isdefinedas thevaluesuchthat
A,v
wheretisarandomvariablewithatdistributionwith
v degreesoffreedom.
529
Next,recallthatTable4includesthevaluesoft
A,v
forA=.10,.05,.025,.01and.005,forvarious
degreesoffreedomvaluesv.
Thus,t
.10,15
andt
.025,85
canbelookedupdirectlyin
Table4.wehave:
t
.10,15
=1.341andt
.025,85
=1.988
Howcanwedeterminet
.95,4
andt
.975,12
usingTable4?
Byrecallingthatthetdistributionisalways
symmetricaroundzero andtherefore,iftisa
randomvariablewithatdistribution,
foranyconstantc
Therefore,foranyAandv,
1-A,v A,v
530
Therefore,wehave
.95,4 .5,4
and
.975,12 .25,12
AndthesevaluescanbefoundinTable4.Wehave:
.5,4
and
.25,12
Therefore,
.95,4
and
.975,12
531
Examples:
Usingthe_
2
table(Table5)findthefollowingvalues
ofthe_
2
distribution:
_
2
.10,5
_
2
.01,20
_
2
.90,26
_
2
.99,12
Asbefore,_
2
A,v
isdefinedasthevaluethatsatisfies
_
2
>_
2
A,v
)=A,
Where_
2
hasachisquareddistributionwithv degrees
offreedom.
532
The_
2
distributionisnotsymmetric(anda_
2
random
variablecanonlytakeonpositivevalues).
Forthisreason,Table5includesvaluesof_
2
A,v
fora
widerrangeofprobabilitiesAthanthetdistribution
table(Table4).
Tobeprecise,Table5includesthevaluesof_
2
A,v
for
A=0.995,0.99,.975,.95,.90,.10,.05,.025,.01,.005
andvariousvaluesofdegreesoffreedomv.
Inparticular, wecanlookupallthevaluesinthe
exampledirectlyinTable5.Doingsoweobtain:
_
2
.10,5
=9.24,_
2
.01,20
=37.6,
_
2
.90,26
=17.3,_
2
.99,12
=3.57
533
Examples:
UsingtheF table(Table6)findthefollowingvalues
oftheF distribution:
a) F
.05,3,7
b) F
.025,5,20
c) F
.99,10,18
d) F
.95,5,16
Asbefore,
v
1
,v
2
isthevaluethatsatisfies
v
1
,v
2
)=A,
whereF hasanFdistributionwithv
1
degreesof
freedominthenumeratorandv
2
degreesoffreedom
inthedenominator.
534
Table6includesvaluesof
v
1
,v
2
for
A=.05,.025,.01,.005
andvariousvaluesofv
1
andv
2.
Thismeansthatwecanlookupdirectlythevalues
forF
.05,3,7
andF
.025,5,20
.Weobtain:
F
.05,3,7
=4.35andF
.025,5,20
=3.29
HowdowelookupF
.99,10,18
and F
.95,5,16
usingTable
6?Byrememberingtherelationshipwestated
previously:
535
UsingthisformulaandTable6,weobtain:
F
.99,10,18
=
F
.01,18,10
F
.95,5,16
=
F
.05,16,5
536
RelationshipbetweenStandardNormal,_
2
,t andF
Distributions
Thesedistributionsarerelatedtoeachotherinthe
followingways
SupposeZ
1
,Z
2
,,Z
k
areindependentStandard
Normalrandomvariables.Let
]
2
k
]=1
thenJ isa_
2
randomvariablewithkdegreesof
freedom.
Thatis,a_
2
randomvariableisproducedbytaking
thesumofthesquaredvaluesofindependent
StandardNormalrandomvariables. Thenumberof
degreesoffreedomisgivenbythenumberof
elementsinthesum
537
SupposeZ isaStandardNormalandJ isachi
squaredrandomvariablewithkdegreesof
freedom,andsupposeZ andJ areindependentof
eachother.
Let
thenthasatdistributionwithkdegreesoffreedom.
538
Finally,supposeJ
1
andJ
2
areChisquaredrandom
variableswithk
1
andk
2
degreesoffreedom,
respectively.AlsosupposeJ
1
andJ
2
areindependent
ofeachother.Let
1
1
2
2
ThenFhasanFdistributionwithk
1
degreesof
freedominthenumeratorandk
2
degreesoffreedom
inthedenominator.
539
Excel
Excelcancomputethedistributionofallthe
variableswestudiedinthischapter,aswellasthe
valuescorrespondingtoprespecifiedprobabilities:
NormalDistribution:
=NORMDIST(X,,o,True):ForaNormaldistribution
withmeanandstandarddeviationo.Type
True=1ifyouwantthecumulativeprobabilityatX,
andTrue=0tocomputetheprobabilitydensityatX
(notmuchuseforthelatter).
TocomputethevalueofxsuchthatPr(X>x)=A,we
use=NORMINV(1A, ,o)
540
TDistribution:
=TDIST(X,v,Tails):Foratdistributionwithv
degreesoffreedom.TypeTails=1ifyou
wanttheareatotherightofX,andTails=2if
youwanttheareatotherightofXPLUSthe
areatotheleftofX.
TocomputethevalueofxsuchthatPr(t>x)=A,
whenthasatdistributionwithv degreesof
freedomweuse=TINV(2A, v)
541
ChiSquaredDistribution:
=CHIDIST(X,v):ComputesPr(_
2
>X)where_
2
hasachisquareddistributionwithv degreesof
freedom.
TocomputethevalueofxsuchthatPr(_
2
>x)=A,
when_
2
hasachisquareddistributionwithv
degreesoffreedom weuse=CHIINV(A,v)
542
FDistribution:
=FDIST(X,v
1
, v
2
):ComputesPr(F>X)whereF
hasanFdistributionwithv
1
andv
2
degrees
offreedom.
TocomputethevalueofxsuchthatPr(F>x)=A,
whenFhasanFdistributionwithv
1
andv
2
degreesoffreedom weuse=FINV(A, v
1
,v
2
)
543