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Definition
A random variable X is said to have a Weibull distribution with
parameters α and β (α > 0, β > 0) if the pdf of X is
(
α α−1 −(x/β)α
αx e x ≥0
f (x; α, β) = β
0 x <0
Remark:
1. The family of Weibull distributions was introduced by the Swedish
physicist Waloddi Weibull in 1939.
2. We use X ∼ WEB(α, β) to denote that the rv X has a Weibull
distribution with parameters α and β.
Remark:
3. When α = 1, the pdf becomes
(
1 −x/β
βe x ≥0
f (x; β) =
0 x <0
Proposition
Let X be a random variable such that X ∼ WEI(α, β). Then
( 2 )
1 2 1
E (X ) = βΓ 1 + and V (X ) = β 2 Γ 1 + − Γ 1+
α α α
The cdf of X is
( α
1 − e −(x/β) x ≥0
F (x; α, β) =
0 x <0
Example:
The shear strength (in pounds) of a spot weld is a Weibull distributed
random variable, X ∼ WEB(400, 2/3).
a. Find P(X > 410).
b. Find P(X > 410 | X > 390).
c. Find E (X ) and V (X ).
d. Find the 95th percentile.
Definition
A nonnegative rv X is said to have a lognormal distribution if the rv
Y = ln(X ) has a normal distribution. The resulting pdf of a lognormal rv
when ln(X ) is normally distributed with parameters µ and σ is
2 2
(
√ 1
2πσx
e −[ln(x)−µ] /(2σ ) x ≤ 0
f (x; µ, σ) =
0 x <0
Remark:
1. We use X ∼ LOGN(µ, σ 2 ) to denote that rv X have a lognormal
distribution with parameters µ and σ.
2. Notice here that the parameter µ is not the mean and σ 2 is not the
variance, i.e.
µ 6= E (X ) and σ 2 6= V (X )
Proposition
If X ∼ LOGN(µ, σ 2 ), then
2 /2 2 2
E (X ) = e µ+σ and V (X ) = e 2µ+σ · (e σ − 1)
The cdf of X is
Definition
A random variable X is said to have a beta distribution with parameters
α, β(both positive), A, and B if the pdf of X is
α−1 β−1
1 Γ(α+β) x−A B−x
· · · A≤x ≤B
f (x; α, β, A, B) = B−A Γ(α)·Γ(β) B−A B−A
0 otherwise
Proposition
If X ∼ BETA(α, β, A, B), then
α (B − A)2 αβ
E (X ) = A + (B − A) · and V (X ) =
α+β (α + β)2 (α + β + 1)