08 continuous
TRANSCRIPT
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Hadley Wickham
Stat310Continuous random variables
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1. Finish off Poisson
2. New conditions & definitions
3. Uniform distribution
4. Exponential and gamma
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Challenge
If X ~ Poisson(109.6), what is P(X > 100) ?
What’s the probability they score over 100 points? (How could you work this out?)
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grid
cumulative
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80 100 120 140
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Multiplication
X ~ Poisson(λ)
Y = tX
Then Y ~ Poisson(λt)
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Continuous random variables
Recall: have uncountably many outcomes
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f(x) For continuous x, f(x) is a probability density function.
Not a probability!(may be greater than one)
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P (a < X < b) =� b
af(x)dx
What does P(X = a) = ?
P (a ≤ X ≤ b) =� b
af(x)dx
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f(x) ≥ 0 ∀x ∈ R�
Rf(x) = 1
Conditions
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MX(t) =�
Retxf(x)dx
E(u(X)) =�
Ru(x)f(x)dx
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AsideWhy do we need different methods for discrete and continuous variables?
Our definition of integration (Riemanian) isn’t good enough, because it can’t deal with discrete pdfs.
Can generalise to get Lebesgue integration. More general approach called measure theory.
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F (x) = P (X ≤ x) =� x
−∞f(t)dt
P (X ∈ [a, b]) =� b
af(x)dx = F (b)− F (a)
Cumulative distribution function
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f(x)DifferentiateIntegrate
F(x)Thursday, 4 February 2010
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Uniform distribution
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Assigns probability uniformly in an interval [a, b] of the real line
X ~ Uniform(a, b)
What are F(x) and f(x) ?
The uniform
� b
af(x)dx = 1
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Intuition
X ~ Unif(a, b)
How do you expect the mean to be related to a and b?
How do you expect the variance to be related to a and b?
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f(x) =1
b− ax ∈ [a, b]
F (x) = 0 x < a
F (x) = x−ab−a x ∈ [a, b]
F (x) = 1 x > b
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integrate e^(x * t) 1/(b-a) dx from a to b
MX(t) = E[eXt] =� b
aext 1
b− adx
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Mean & varianceFind mgf: integrate e^(x * t) 1/(b-a) dx from a to b
Find 1st moment: d/dt (E^(a_1 t) - E^(b_1 t))/(a_1 t - b_1 t) where t = 0
Find 2nd moment d^2/dt^2 (E^(a_1 t) - E^(b_1 t))/(a_1 t - b_1 t) where t = 0
Find var: simplify 1/3 (a_1 b_1+a_1^2+b_1^2) - ((a_1 + b_1)/2) ^ 2
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E(X) =a + b
2
V ar(X) =(b− a)2
12
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Write out in a similar way when using wolfram
alpha in homework
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Exponential and gamma distributions
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Conditions
Let X ~ Poisson(λ)
Let Y be the time you wait for the next event to occur. Then Y ~ Exponential(β = 1 / λ)
Let Z be the time you wait for α events to occur. Then Z ~ Gamma(α, β = 1 / λ)
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LA Lakers
Last time we said the distribution of scores looked pretty close to Poisson. Does the distribution of times between scores look exponential?
(Downloaded play-by-play data for all NBA games in 08/09 season, extracted all point scoring plays by Lakers, computed times between them - 4660 in total)
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value
Proportion
0.0000.0050.0100.0150.0200.0250.030
0.0000.0050.0100.0150.0200.0250.030
0.0000.0050.0100.0150.0200.0250.030
1
4
7
0 50 100 150 200 250 300
2
5
8
0 50 100 150 200 250 300
3
6
9
0 50 100 150 200 250 300
8 are exponential. 1 is real.
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dur
Proportion
0.000
0.005
0.010
0.015
0.020
0.025
0.030
0 50 100 150 200 250 300
What causes this spike?
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dur
Proportion
0.000
0.005
0.010
0.015
0.020
0.025
0.030
0 50 100 150 200 250 300
β = 44.9 s
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Why?
Why is it easy to see that the waiting times are not exponential, when we couldn’t see that the scores were not Poisson?
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Next
Remove free throws.
Try using a gamma instead (it’s a bit more flexible because it has two parameters, but it maintains the basic idea)
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value
Proportion
0.000
0.005
0.010
0.015
0.020
0.000
0.005
0.010
0.015
0.020
0.000
0.005
0.010
0.015
0.020
1
4
7
0 100 200 300 400
2
5
8
0 100 200 300 400
3
6
9
0 100 200 300 400
8 are gamma. 1 is real.
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dur
Proportion
0.000
0.005
0.010
0.015
0.020
0 100 200 300 400
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dur
Proportion
0.000
0.005
0.010
0.015
0.020
0 100 200 300 400
β = 28.3α = 2.28
Out of 6611 shots, 3140 made it:
1 went in for every 2.1 attempts
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f(x) =1θe−x/θ
M(t) =1
1− θt
Exponential Gamma
mgf
Mean
Variance
θ
θ2
f(x) =1
Γ(α)θαxα−1e−x/θ
M(t) =1
(1− θt)α
αθ
αθ2
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Another derivation
Find mgf: integrate 1 / (gamma(alpha) theta^alpha) x^(alpha - 1) e^(-x / theta) e^(x*t) from x = 0 to infinity
Find mean: d/dt theta^(-alpha) (1/theta - t)^(-alpha) where t = 0
Rewrite: d/dt x_2^(-x_1) (1/x_2 - t)^(-x_1) where t = 0
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Your turn
Assume the distribution of offensive points by the LA lakers is Poisson(109.6). A game is 48 minutes long.
Let W be the time you wait between the Lakers scoring a point. What is the distribution of W?
How long do you expect to wait?
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Next week
Normal distribution: Read 3.2.4
Calculating probabilities
Transformations: Read 3.4 up to 3.4.3
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