HANOI UNIVERSITY OF SCIENCE & TECHNOLOGY
CSTSL: Modeling and Simulation
Lecture 04: Statistical Models
Dr. Nguyen Tai Hung
09 October 2010
Goals for Today
Review of the most common statistical models
Understand how to determine the empirical distribution
from a statistical sample
2
2
Topics
3
3
Discrete and Continuous
Random Variables
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Discrete versus Continuous Random Variables
Discrete Random Variable Continuous Random Variable
Finite Sample Space Infinite Sample Space
e.g. {0, 1, 2, 3} e.g. [0,1], [2.1, 5.3]
Probability Mass Function (PMF) Probability Density Function (PDF)
p xi P X xi f x
1. f ( x) 0 , for all x in R X
1. p (x i ) 0, for all i
2. i 1 p (x i ) 1
2. f ( x)dx 1
RX
3. f ( x) 0, if x is not in RX
Cumulative Distribution Function (CDF) pX x
p X x x
x
x
p (x i ) p X x f t dt 0
i
b
p a X b f x dx
a
5
Expectation
E ( x) xi p( xi )
all i
E ( x) xf ( x)dx
2
n n n
V X x i 2 p xi xi
p x i x i p x i
2
x
i 1 i 1 i 1
V X x x f x dx x 2 f x dx
2
x2
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Statistical Models: Properties
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Discrete Probability Distributions
Bernoulli Trials
Binomial Distribution
Geometric Distribution
Poisson Distribution
Poisson Process
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Modeling of Random Events with
Two-States
Bernoulli Trials
Binomial Distribution
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Bernoulli Trials
Context: Random events with two possible values
Two events: Yes/No, True/False, Success/Failure
Two possible values: 1 for success, 0 for failure.
Example: Tossing a coin, Packet Transmission Status,
An experiment comprises n trial.
Probability Mass Function (PMF): Probability in one trial
p, x j 1, j 1, 2,..., n
PMF: p one trial p (x j ) 1 p q , x j 0 , j 1, 2 ,..., n
0, otherwise
Expected Value: E X j p Variance :V X j 2 p 1 p
Bernoulli Process: n trials
p X 1 , X 1 ,..., X n , p X 1 p X 2 ... p X n
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Binomial Distribution
Context: Number of successes in a series of n trials.
Example: the number of 'heads' occurring when a coin is tossed 50 times.
The number of successful transmissions of 100 packets
Probability Mass Function (PMF)
Binomial distribution with parameters n and p, X ~ B(n,p)
Probability of having k successes in n trial
n k n k n n!
P X k p 1 p with
k k k ! n k !
where
k = 0, 1, 2, ......., n k: number of success
n = 1, 2, 3, ....... n: number of trials
0<p<1 p = success probability
Expected Value: E X n p Variance :V X 2 n p 1 p
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Binomial Distribution
Probability of k=2 successes in n=3 trials?
E1: 1 1 0 P(E1)= p(1 and 1 and 0) = p p (1-p) = p2 (1-p)
or
E2: 1 0 1 P(E2)= p(1 and 0 and 1) = p (1-p) p = p2 (1-p)
or
E3: 0 1 1 P(E3)= p(1 and 1 and 0) = p p (1-p) = p2 (1-p)
Probability of k=2 successes in n=3 trials?
p X 2 p E 1 p E 2 p E 3 3 p 2 1 p
3! 6
p 2 1 p p 2 1 p
2! 3 2 ! 2
n n!
k k ! n k !
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End of Part 01
Administrative issues
• Groups Formation
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Modeling of Discrete Random
Time
Geometric Distribution
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Geometric Distribution
Context: the number of Bernoulli trials until achieving the
FIRST SUCCESS.
It is used to represent random time until a first transition occurs.
PMF
q k 1 p , k 0,1, 2,..., n
PMF: p (X k )
0, otherwise
CDF: F X p X k 1 1 p
k
1
Expected Value : E X
p k
q 1 p
Variance :V X 2
2
p p2
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Modeling of Random Number of
Arrivals/Events
Poisson Distribution
Poisson Process
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Poisson Distribution
Context: number of events occurring in a fixed period of time
Events occur with a known average rate and are independent
Possion distribution is characterized by the average rate
The average number of arrival in the fixed time period.
Examples
The number of cars passing a fixed point in a 5 minute
interval. Average rate: = 3 cars/5 minutes
The number of calls received by a switchboard during a
given period of time. Average rate: =3 call/minutes
The number of message coming to a router per second
The number of travelers arriving to the airport for flight
registration
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Poisson Distribution
The Poisson distribution with the average rate parameter
k the probability that there are
exp for k 0,1, 2, .... exactly k arrivals in a certain
PMF: p k P X k k !
period of time.
0, otherwise
k the probability that there are at least k arrivals
i
CDF: F k p X k
i 0
i!
exp in a certain period of time.
Expected value: E X PMF
Variance: V X
CDF
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Example: Poisson Distribution
The number of cars that enter the parking follows a Poisson
distribution with a mean rate equal to = 20 cars/hour
The probability of having exactly 15 cars entering the parking in one hour:
2015
p 15 P X 15 exp 20 0.051649
15!
or
p 15 F 15 F 14 0.156513 0.104864 0.051649
The probability of having more than 3 cars entering the parking in one hour:
p X 3 1 p X 3 1 F 3
1 p 0 p 1 p 2 p 3
USE EXCEL/MATLAB
0.9999967 FOR COMPUTATIONS
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Example: Poisson Distribution
Probability Mass Function Cumulative Distribution Function
Poisson ( = 20 cars/hour) Poisson ( = 20 cars/hour)
20k k
20i
pX k exp 20
k! Fk pX k
i 0
i!
exp 20
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Five Minutes Break
You are free to discuss with your classmates about the previous slides, or to
refresh a bit, or to ask questions.
Administrative issues
• Groups Formation
21
Modeling of Random Number of
Arrivals/Events
Poisson Distribution
Poisson Process
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Poisson Process
Process N(t)
random variable N that depends on time t
Poisson Process: a Process that has a Poisson Distribution
N(t) is called a counting poisson process
There are two types:
Homogenous Poisson Process: constant average rate
Non-Homogenous Poissoon Process: variable average rate
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What is “Stochastic Process”?
State Space = {SUNNY,
RAINNY}
X day i " S " or " R " : RANDOM VARIABLE that varies with the DAY
X day 2 " S " X day 4 " S " X day 6 " S "
X day 1 " S " X day 3 " R " X day 5 " R " X day 7 "S "
Day
Day 1 Day 2 Day 3 Day 4 Day 5 Day 6 Day 7
THU FRI SAT SUN MON TUE WED
X(dayi): Status of the weather observed each DAY
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Examples of using Poisson Process
The number of web page requests arriving at a server may be
characterized by a Poisson process except for unusual circumstances
such as coordinated denial of service attacks.
The number of telephone calls arriving at a switchboard, or at an
automatic phone-switching system, may be characterized by a
Poisson process.
The arrival of "customers" is commonly modelled as a Poisson
process in the study of simple queueing systems.
The execution of trades on a stock exchange, as viewed on a tick by
tick basis, is a Poisson process.
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(Homogenous) Poisson Process
Formally, a counting process N , 0 is a (homogenous)
Poisson process with constant average rate if:
for t 0 and n 0,1, 2,...
( ) n
PMF: p N t N t n p N ( ) n exp
n!
N ( ) N ( )
t t+ t++
N t N t
describes the number of events in time interval t ,t
The mean and the variance are equal
E N V N
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(Homogenous) Poisson Process
Properties of Poisson process
Arrivals occur one at a time (not simultaneous)
N , 0has stationary increments, which means
N t N s N t s
The number of arrivals in time s to t is also Poisson-
distributed with mean
has independent t sincrements
N , 0
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Inter-Arrival Times of a Poisson Process
Inter-arrival time: time between two consecutive arrivals
The inter-arrival times of a Poisson process are random.
What is its distribution?
Consider the inter-arrival times of a Poisson process (A1, A2, …), where Ai is
the elapsed time between arrival i and arrival i+1
The first arrival occurs after time t MEANS that there are no
arrivals in the interval [0,t], As a consequence:
p A1 t p N t 0 exp t
p A1 t 1 p A1 t 1 exp t
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The Inter-arrival times of a Poisson process are 28
exponentially distributed and independent with mean 1/
Splitting and Pooling
Splitting
p N1(t) ~ Poi[p]
N(t) ~ Poi()
(1-p) N2(t) ~ Poi[(1-p)]
Pooling
N1(t) ~ Poi[] 1
N(t) ~ Poi(12)
N2(t) ~ Poi[] 2
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Modeling of Random Number of
Arrivals/Events
Poisson Distribution
Non Homogenous Poisson Process
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Non Homogenous (Non-stationary) Poisson Process
(NSPP)
The non homogeneous Poisson process is characterized
by a VARIABLE rate parameter λ(t), the arrival rate
at time t. In general, the rate parameter may change over
time.
1 2 3
The stationary increments, property is not satisfied
s , t : N t N s N t s
The expected number of events (e.g. arrival) between
time s and time t is
t
s ,t λ(u) du
s 31
Example: Non-stationary Poisson Process
(NSPP)
The number of cars that cross the intersection of King Fahd Road and Al-Ourouba
Road is distributed according to a non homogenous Poisson process with a mean
(t) defined as follows:
80 cars/mn if 8 am t 9am
60 cars/mn if 9am t 11pm
t
50 car/mn if 11am t 15 pm
70 car/mn if 15 pm t 17 pm
Let us consider the time 8 am as t=0.
Q1. Compute the average arrival number of cars at 11H30?
Q2. Determine the equation that gives the probability of having only 10000 car
arrivals between 12 pm and 16 pm.
Q3. What is the distribution and the average (in seconds) of the inter-arrival time
of two cars between 8 am and 9 am?
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Example: Non-stationary Poisson Process
(NSPP)
Q1. Compute the average arrival number of cars at 11H30?
11:30
8:00,11:30 λ(u) du
8:00
9:00 11:00 11:30
λ(u) du λ(u) du λ(u) du
8:00 9:00 11:00
80cars/mn 60mn 60cars/mn 120mn 50cars/mn 30mn 13500 cars
Q2. Determine the equation that gives the probability of having only 10000 car
arrivals between 12 pm and 16 pm.
We know that the number of cars between 12 pm and 16 pm, i.e. N 16 N 12
follows a Poisson distribution. During 12 pm and 16pm, the average number of
cars is 12:0016:00 180 50 60 70 13200 cars
Thus,
13200
10000
p N 16 N 12 10000 exp 13200
10000!
Q3. What is the distribution and the average (in seconds) of the inter-arrival time
of two cars between 8 am and 9 am? (Homework) 33
Two Minutes Break
You are free to discuss with your classmates about the previous slides, or to
refresh a bit, or to ask questions.
Administrative issues
• Groups Formation
34
Continuous Probability Distributions
Uniform Distribution
Exponential Distribution
Normal (Gaussian) Distribution
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Uniform Distribution
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Continuous Uniform Distribution
The continuous uniform distribution is a family of probability
distributions such that for each member of the family, all intervals of
the same length on the distribution's support are equally probable
A random variable X is uniformly distributed on the interval [a,b],
U(a,b), if its PDF and CDF are:
0, x a
1 x a
, a x b
PDF: f (x ) b a CDF: F ( x ) , a x b
0, b a
otherwise
1, x b
Expected value: E X
a b a b 2
Variance: V X
2 12
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Uniform Distribution
PDF
Properties
p x 1 X x 2is proportional to the
length of the interval
X 2 X1
F X 2 F X 1
b a
CDF
Special case: a standard uniform
distribution U(0,1).
Very useful for random number
generators in simulators
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Exponential Distribution
Modeling Random Time
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Exponential Distribution
The exponential distribution describes the times between events
in a Poisson process, in which events occur continuously and
independently at a constant average rate.
A random variable X is exponentially distributed with parameter
> 0 if its PDF and CDF are:
1 x
exp x , x 0 exp , x 0
PDF: f (x ) f (x )
0, otherwise 0,
otherwise
0, x 0 0, x 0
CDF: F (x ) x t
F (x ) x
0 e dt 1 e , x 0
x
1 exp , x 0
1 1
Expected value: E X Variance: V X 2
2 40
Exponential Distribution
µ=20 µ=20
1 x 0, x 0
exp , x 0
f (x ) 20 20 F (x ) x
0, 1 exp , x 0
otherwise 20
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Exponential Distribution
The memoryless property: In probability theory, memoryless is a property of
certain probability distributions: the exponential distributions and the
geometric distributions, wherein any derived probability from a set of random
samples is distinct and has no information (i.e. "memory") of earlier samples.
Formally, the memoryless property is:
For all s and t greater or equal to 0:
p X s t | X s p X t
This means that the future event do not depend on the past event, but only on
the present event
The fact that Pr(X > 40 | X > 30) = Pr(X > 10) does not mean that the events X > 40 and X >
30 are independent; i.e. it does not mean that
Pr(X > 40 | X > 30) = Pr(X > 40).
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Exponential Distribution
The memoryless property: can be read as “the probability that
you will wait more than s+t minutes given that you have already
been waiting s minutes is equal to the probability that you will wait
t minutes.”
In other words “The probability that you will wait s more minutes
given that you have already been waiting t minutes is the same as
the probability that you had wait for more than s minutes from the
beginning.”
p X s t | X s p X t
The fact that Pr(X > 40 | X > 30) = Pr(X > 10) does not mean that the events
X > 40 and X > 30 are independent; i.e. it does not mean that
Pr(X > 40 | X > 30) = Pr(X > 40).
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Example: Exponential Distribution
The time needed to repair the engine of a car is exponentially
distributed with a mean time equal to 3 hours.
The probability that the car spends more than 3 hours in reparation
3
p X 3 1 p X 3 1 F 3 1 1 exp 0.368
3
The probability that the car repair time lasts between 2 to 3 hours is:
p X 3 F 3 F 2 0.145
The probability that the repair time lasts for another hour given it has been
operating for 2.5 hours:
Using the memoryless property of the exponential distribution, we have:
1
p X 2.5 1 | X 2.5 p X 1 1 p X 1 exp 0.717
3
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Normal (Gaussian) Distribution
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Normal Distribution
The Normal distribution, also called the Gaussian distribution,
is an important family of continuous probability distributions,
applicable in many fields.
Each member of the family may be defined by two parameters,
location and scale: the mean ("average", μ) and variance
(standard deviation squared, σ2) respectively.
The importance of the normal distribution as a model of
quantitative phenomena in the natural and behavioral sciences is
due in part to the Central Limit Theorem.
It is usually used to model system error (e.g. channel error), the
distribution of natural phenomena, height, weight, etc.
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Normal or Gaussian Distribution
A continuous random variable X, taking all real values in the
range (-∞,+∞) is said to follow a Normal distribution with
parameters µ and σ if it has the following PDF and CDF:
1 1 x 2
PDF: f x exp
2 2
x
1
x where
2
CDF: F x 1 erf Error Function: erf x exp t 2
2 2 0
The Normal distribution is denoted as X ~ N , 2
This probability density function (PDF) is
a symmetrical, bell-shaped curve,
centered at its expected value µ.
The variance is 2.
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Normal distribution
Example
The simplest case of the normal distribution, known as the Standard
Normal Distribution, has expected value zero and variance one. This is
written as N(0,1).
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Normal Distribution
Evaluating the distribution:
Independent of and using the standard normal distribution:
Z ~ N 0,1 z 1 t 2 / 2
, where ( z ) e dt
2
X
Transformation of variables: let Z
x
F ( x ) P X x P Z
( x ) / 1 z2 / 2
e dz
2
( x ) /
( z )dz ( x )
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Normal Distribution
Example: The time required to load an oceangoing vessel, X, is
distributed as N(12,4)
The probability that the vessel is loaded in less than 10 hours:
10 12
F (10) (1) 0.1587
2
Using the symmetry property, (1) is the complement of (-1)
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Empirical Distribution
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Empirical Distributions
An Empirical Distribution is a distribution whose
parameters are the observed values in a sample of data.
May be used when it is impossible or unnecessary to establish
that a random variable has any particular parametric
distribution.
Advantage: no assumption beyond the observed values in the
sample.
Disadvantage: sample might not cover the entire range of
possible values.
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Empirical Distributions
In statistics, an empirical distribution function is a cumulative
probability distribution function that concentrates probability 1/n
at each of the n numbers in a sample.
Let X1, X2, …, Xn be iid random variables in with the CDF equal to
F(x).
The empirical distribution function Fn(x) based on sample X1, X2, …,
Xn is a step function defined by
n
number of element in the sample x 1
Fn x
n
n I X
i 1
i x
1 if X i x
where I(A) is the indicator of event A. I Xi x
0 otherwise
For a fixed value x, I(Xi≤x) is a Bernoulli random variable with
parameter p=F(x), hence nFn(x) is a binomial random variable with
mean nF(x) and variance nF(x)(1-F(x)).
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End of Chapter
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