Review of Probability y and Statistics Motivation

Reliability data need to be described described, modeled and analyzed How to do it? Probability y and Statistics Fundamental of reliability engineering

Overview
Several methods to describe, model and analyze random data: 1. Frequency q y Distribution / Histogram g 2. Probability Distributions 3. Numerical Statistics

INDE 6336: Reliability Engineering

Frequency Distribution / Histogram

Purpose: Graphically summarize the distribution of a data set. Other Graphical Methods? Definition: Histogram is obtained by splitting the range of the data into equal-sized bins. Then for each bin, , the number of points p from the data set that fall into each bin are counted. Example: Histogram for grades of 92 students
3 35 30 25 20 15 10 5 0
~49 50~59 60~69 70~79 80~89 90~1 00

30 23 20 12 5 2

Interpretation Location (i.e., center) of the data Spread/dispersion p p of the data Shape (i.e., symmetric, short-tail) of the data
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Probability Distributions
Definition: A probability distribution is a mathematical model that relates the value of the variable i bl with ith th the probability b bilit of f occurrence of f th that t value in the population. T Two Types T of f Distributions Di t ib ti 1. Discrete Distribution: A discrete probability function is a function that can take a discrete number of values. values
p(xi) p ( x 4) p ( x 3) p ( x 5) p(x2) p ( x 6) p(x1) p ( x 7) x1 x2 x3 x4 x5 x6 x7 x

PMF: P ( X = xi ) = p ( xi ), 0 p ( xi ) 1,
xi x

p( x ) = 1
i =1 i

CDF F ( x) = P ( X x) = p ( xi ) CDF: ), 0 F ( x) 1
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Probability Distributions
2. Continuous Distribution: the variable being measured is expressed on a continuous scale.
f(x)

a b

PDF: f ( x) 0,

f ( x)dx = 1, P (a x b) = f ( x) dx
a

CDF: F ( x) = P ( X x) =

f (u ) du

INDE 6336: Reliability Engineering

Probability Distributions
Comparing Discrete and Continuous RV
Discrete Mass function: p(x) = P(X = x)
p(x) f(x)

Continuous Density function: f(x)

CDF: F(x)
F(x)

CDF: F(x)
F(x) 1

E[ X ] = xp( x)

E[ X ] = xf ( x)dx

V ( X ) = ( x ) 2 p ( x) Var

V (X ) = Var

2 ( x ) f ( x)dx d

INDE 6336: Reliability Engineering

Examples
Example 1: A car dealer uses past daily sales of cars to estimate the number of cars sold in one day day. This random variable, Y, has the following probability mass function: y = 0 3 / 12 4 / 12 y =1 p ( y ) = 2 / 12 y = 2 1 / 12 y = 3 y = 4 2 / 12 a) ) Find the cumulative distribution function for Y and sketch (graph) it.

b) Find the expected number of cars sold in one day.

c) Find the standard deviation for the random variable Y.

INDE 6336: Reliability Engineering

Examples
Example 2: Assume the time T (hours) a student spends doing the assigned homework in a course has gp probability y density y function: the following

f ( t ) = kt

0 t 5

a) Find the value of the constant k.

b) Find P[T<=2] P[T< 2]

INDE 6336: Reliability Engineering

Numerical Statistics
Moment-based statistics are constructed from powers, or moments of observations. Definition: For a continuous nonnegative random variable T, the j th central moment, Mj , is calculated as

M j = (t ) j f (t )dt
0

and the j th raw moment, Mj is calculated as

M j = t j f (t ) dt
0

where f( f(t) ) is the p pdf of T, and is the mean of T.

INDE 6336: Reliability Engineering

Moment-based Statistics
Important moment-based statistics are sample Mean Variance and Standard Deviation Skewness Kurtosis

Example 3 What are the mean, variance, skewness and kurtosis of the standard normal distribution?

INDE 6336: Reliability Engineering

Numerical Statistics
Measures of Location
Mean (or First Moment) Physical balancing point of the data
+

= E[T ] =

tf (t )dt = M
1 0

Other Measures of Location Median (50th Percentile) The median is a value such that at least 50% of the data values are at or below this value and at least 50% of the data values are at or above this value. Lower quartile (25th Percentile) Upper quartile (75th Percentile)

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Numerical Statistics
Measures of Spread/Dispersion

Variance (or second central moment) Measure of dispersion of data around the mean

2 = V [T ] = (t ) 2 f (t )dt = M 2
0

= V [T ] = E[(T ) ] = E[T ] ( E[T ])

2 2 2

Standard Deviation Measure of dispersion with the same units as the data

= V [T ]

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Numerical Statistics
Measures of Shape
Skewness (standardized 3rd central moment) A measure of Symmetry

(T )3 M 3 = 3/2 3 = E 3 M2
3 = 0 , Symmetric about the mean, M Mean =M Median di 3 > 0, Positive skew, skewed to the right (more spread out on the right side), Mean > Median 3 < 0 , Negative skew, skewed to the left (more spread out on the left side) side), Mean < Median

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Numerical Statistics
Measures of Shape
Skewness (cont.)

M Mean <M Median di

Mean M = Median M di

Mean M > Median M di

3 < 0

3 = 0

3 > 0

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Numerical Statistics
Measures of Shape
Kurtosis (standardized 4th central moment) A measure of Heaviness of Tails (tendency of data to be distributed toward the tails )

(T ) 4 M 4 4 = E = 2 4 M2
4 = 3, Normal distribution distrib tion 4

> 3, heavy tails compared to the normal

distribution 4 < 3, light tails compared to the normal distribution

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Numerical Statistics
Measures of Shape
Kurtosis (cont.)

4 = 3, Normal distribution 4 > 3 , Heavy-tailed 4

< 3, Light-tailed

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Examples
Example 4 Exponential distribution has the probability density function:

f (t ) =

exp(t / ), t 0

Calculate the mean, variance, skewness and k t i of kurtosis f the th exponential ti l di distribution t ib ti (homework problem).

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Useful Properties of Expected p Value and Variance

If X is a random variable and a and b are constants, then

E [b ] = b E [ aX ] = aE [ X ] E [ aX X + b ] = aE E[ X ] + b E [ X + Y ] = E [ X ] + E [Y ]

V [b ] = 0 V [ aX ] = a 2V [ X ] V [ aX + b ] = a 2V [ X ] V [ X ] = E [( X ) 2 ] = E [ X 2 ] 2

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Useful Properties of Expected p Value and Variance

For independent random variables X and Y

E[ XY ] = E[ X ]E[Y ] V [ X + Y ] = V [ X ] + V [Y ]
V [ X Y ] = V [ X ] + V [Y ]

V [ XY ] = V [ X ]V [Y ] + V [ X ]E[Y ]2 + V [Y ]E[ X ]2

For dependent random variables X and Y

E[ XY ] = E[ X ]E[Y ] + cov( X , Y )

V [ X + Y ] = V [ X ] + V [Y ] + 2 cov( X , Y ) V [ X Y ] = V [ X ] + V [Y ] 2 cov( X , Y )

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