19

CHAPTER 2
PROBABILITY FUNDAMENTALS
Statistical methods are based on random sampling. Four functions are used to characterize the
behavior of random variables:
1. The probability density function
2. The cumulative distribution function
3. The reliability function
4. The hazard function
If any one of these four functions is known, the others can be derived. This chapter describes
these functions in detail.
Sampling
Statistical methods are used to describe populations by using samples. If the population of
interest is small enough, statistical methods are not required; every member of the population
can be measured. If every member of the population has been measured, a condence interval
for the mean is not necessary, because the mean is known with certainty (ignoring measurement
error).
For statistical methods to be valid, all samples must be chosen randomly. Suppose the time to
fail for 60-watt light bulbs is required to be greater than 100 hours, and the customer veries
this on a monthly basis by testing 20 light bulbs. If the rst 20 light bulbs produced each month
are placed on the test, any inferences about the reliability of the light bulbs produced during
the entire month would be invalid because the 20 light bulbs tested do not represent the entire
month of production. For a sample to be random, every member of the population must have
an equal chance of being selected for the test.
Now suppose that when 20 light bulbs, randomly selected from an entire months production,
are placed on a test stand, the test is ended after 10 of the light bulbs fail. Table 2.1 gives an
example of what the test data might look like.
What is the average time to fail for the light bulbs? It obviously is not the average time to fail
of the 10 failed light bulbs, because if testing were continued until all 20 light bulbs failed,
10 data points would be added to the data set that are all greater than any of the 10 previous
data points. When testing is ended before all items fail, the randomness of the sample has
been destroyed. Because only 10 of the light bulbs failed, these 10 items are not a random
sample that is representative of the population. The initial sample of 20 items is a random sample
20
Accvivv~:vu Tvs:ixc
representative of the population. By ending testing after 10 items have failed, the randomness
has been destroyed by systematically selecting the 10 items with the smallest time to fail.
This type of situation is called censoring. Statistical inferences can be made using censored
data, but special techniques are required. The situation described above is right censoring; the
time to fail for a portion of the data is not known, but it is known that the time to fail is greater
than a given value. Right-censored data may be either time censored or failure censored. If
testing is ended after a predetermined amount of time, it is time censored. If testing is ended
after a predetermined number of failures, the data are failure censored. The data in Table 2.1
are failure censored. Time censoring is also known as Type I censoring, and failure censoring
is also known as Type II censoring.
The opposite of right censoring is left censoring. For a portion of the data, the absolute value is
not known, but it is known that the absolute value is less than a given value. An example of this
is an instrument used to measure the concentration of chemicals in solution. If the instrument
cannot detect the chemical below certain concentrations, it does not mean there is no chemical
present, but that the level of chemical is below the detectable level of the instrument.
Another type of right censoring is multiple censoring. Multiple censoring occurs when items
are removed from testing at more than one point in time. Field data are often multiple censored.
Table 2.2 gives an example of multiple censoring. A + next to a value indicates the item was
removed from testing at that time without failing.
TABLE 2.1
TIME TO FAIL FOR LIGHT BULBS
23 63 90
39 72 96
41 79
58 83
10 units survive for 96 hours without failing.
TABLE 2.2
MULTIPLE CENSORED DATA
112 172 220
145 + 183 225 +
151 184 + 225 +
160 191 225 +
166 + 199 225 +
There are two types of data: (1) continuous, and (2) discrete. Continuous variables are unlimited
in their degree of precision. For example, the length of a rod may be 5, 5.01, or 5.001 inches.
21
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It is impossible to state that a rod is exactly 5 inches longonly that the length of the rod falls
within a specic interval. Discrete variables are limited to specic values. For example, if a
die is rolled, the result is either 1, 2, 3, 4, 5, or 6. There is no possibility of obtaining any value
other than these six values.
Probability Density Function
The probability density function, f x ( ), describes the behavior of a random variable. Typically,
the probability density function is viewed as the shape of the distribution. Consider the histo-
gram of the length of sh as shown in Figure 2.1.
Figure 2.1 Example histogram.
1
5
0
1
5
5
1
6
0
1
6
5
1
7
0
1
7
5
1
8
0
1
8
5
1
9
0
1
9
5
2
0
0
2
0
5
2
1
0
2
1
5
2
2
0
2
2
5
2
3
0
2
3
5
2
4
0
2
4
5
2
5
0
0
20
40
60
80
100
Length
F
r
e
q
u
e
n
c
y
A histogram is an approximation of the shape of the distribution. The histogram shown in Fig-
ure 2.1 appears symmetrical. Figure 2.2 shows this histogram with a smooth curve overlying
the data. The smooth curve is the statistical model that describes the populationin this case,
the normal distribution. When using statistics, the smooth curve represents the population, and
the differences between the sample data represented by the histogram and the population data
represented by the smooth curve are assumed to be due to sampling error. In reality, the differ-
ences could also be caused by lack of randomness in the sample or an incorrect model.
22
Accvivv~:vu Tvs:ixc
The probability density function is similar to the overlaid model shown in Figure 2.2. The area
below the probability density function to the left of a given value x is equal to the probability
of the random variable represented on the x-axis being less than the given value x. Because the
probability density function represents the entire sample space, the area under the probability
density function must equal 1. Negative probabilities are impossible; therefore, the probability
density function, f x ( ), must be positive for all values of x. Stating these two requirements
mathematically,
f x ( )
-

= 1
(2.1)
and f x ( ) 0 for continuous distributions. For discrete distributions,
f x
n
( ) =

1 (2.2)
for all values of n, and f x ( ) 0.
The area below the curve in Figure 2.2 is greater than 1; thus, this curve is not a valid prob-
ability density function. The density function representing the data in Figure 2.2 is shown in
Figure 2.3.
Figure 2.2 Example histogram with overlaid model.
1
5
0
1
5
5
1
6
0
1
6
5
1
7
0
1
7
5
1
8
0
1
8
5
1
9
0
1
9
5
2
0
0
2
0
5
2
1
0
2
1
5
2
2
0
2
2
5
2
3
0
2
3
5
2
4
0
2
4
5
2
5
0
0
20
40
60
80
100
Length
F
r
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q
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y
23
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Figure 2.4 demonstrates how the probability density function is used to compute probabilities.
The area of the shaded region represents the probability of a single sh, drawn randomly from
the population, having a length less than 185. This probability is 15.9%.
Figure 2.5 demonstrates the probability of the length of one randomly selected sh having a
length greater than 220.
The area of the shaded region in Figure 2.6 demonstrates the probability of the length of one
randomly selected sh having a length greater than 205 and less than 215. Note that as the width
of the interval decreases, the area, and thus the probability of the length falling in the interval,
decreases. This also implies that the probability of the length of one randomly selected sh
having a length exactly equal to a specic value is 0. This is because the area of a line is 0.
Example 2.1: A probability density function is dened as
f x
a
x
x ( ) = , 1 10
For f x ( ) to be a valid probability density function, what is the value of a?
Figure 2.3 Probability density function for the length of sh.
1
5
5
1
5
9
1
6
3
1
6
7
1
7
1
1
7
5
1
7
9
1
8
3
1
8
7
1
9
1
1
9
5
1
9
9
2
0
3
2
0
7
2
1
1
2
1
5
2
1
9
2
2
3
2
2
7
2
3
1
2
3
5
2
3
9
2
4
3
0.000
0.005
0.010
0.015
0.020
0.025
0.030
Length
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a
b
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Figure 2.4 The probability of the length being less than 185.
1
5
5
1
5
9
1
6
3
1
6
7
1
7
1
1
7
5
1
7
9
1
8
3
1
8
7
1
9
1
1
9
5
1
9
9
2
0
3
2
0
7
2
1
1
2
1
5
2
1
9
2
2
3
2
2
7
2
3
1
2
3
5
2
3
9
2
4
3
0.000
0.005
0.010
0.015
0.020
0.025
0.030
Length
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a
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Figure 2.5 The probability of the length being greater than 220.
1
5
5
1
5
9
1
6
3
1
6
7
1
7
1
1
7
5
1
7
9
1
8
3
1
8
7
1
9
1
1
9
5
1
9
9
2
0
3
2
0
7
2
1
1
2
1
5
2
1
9
2
2
3
2
2
7
2
3
1
2
3
5
2
3
9
2
4
3
0.000
0.005
0.010
0.015
0.020
0.025
0.030
Length
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a
b
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25
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Solution: To be a valid probability density function, all values of f x ( ) must be positive,
and the area beneath f x ( ) must equal 1. The rst condition is met by restricting
a and x to positive numbers. To meet the second condition, the integral of f x ( )
from 1 to 10 must equal 1.
a
x
a x
a a
a
1
10
1
10
1
1
10 1 1
1
10

=
=
( ) - ( ) =
=
( )
ln
ln ln
ln
Cumulative Distribution Function
The cumulative distribution function, F x ( ), denotes the area beneath the probability density
function to the left of x, as shown in Figure 2.7.
Figure 2.6 The probability of the length being between 205 and 215.
1
5
5
1
5
9
1
6
3
1
6
7
1
7
1
1
7
5
1
7
9
1
8
3
1
8
7
1
9
1
1
9
5
1
9
9
2
0
3
2
0
7
2
1
1
2
1
5
2
1
9
2
2
3
2
2
7
2
3
1
2
3
5
2
3
9
2
4
3
0.000
0.005
0.010
0.015
0.020
0.025
0.030
Length
P
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b
a
b
i
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The area of the shaded region of the probability density function in Figure 2.7 is 0.2525. This
is the corresponding value of the cumulative distribution function at x = 190. Mathematically,
the cumulative distribution function is equal to the integral of the probability density function
to the left of x.
F x f d
x
( ) = ( )
-

t t
(2.3)
Example 2.2: A random variable has the probability density function f x x ( ) = 0 125 . , where
x is valid from 0 to 4. The probability of x being less than or equal to 2 is
F x dx
x
x
2 0 125
0
2
2
2
( )

= . =
0.125
2
= 0.0625 = 0.25
0
2
0
2
| |
Figure 2.7 Cumulative distribution function.
155 159 163 167 171 175 179 183 187 191 195 199 203 207 211 215 219 223 227 231 235 239 243
0.000
0.005
0.010
0.015
0.020
0.025
0.030
Length
155 159 163 167 171 175 179 183 187 191 195 199 203 207 211 215 219 223 227 231 235 239 243
0.000
0.200
0.400
0.600
0.800
1.000
Length
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b
a
b
i
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y

D
e
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C
u
m
u
l
a
t
i
v
e

D
i
s
t
r
i
b
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t
i
o
n

F
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t
i
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Example 2.3: The time to fail for a transistor has the following probability density function.
What is the probability of failure before t = 200?
f t e
t
( ) =
-
0 01
0 01
.
.
Solution: The probability of failure before t = 200 is
P t e dt
e
t
t
< ( ) =
= -
-
-

200 0 01
0 01
0
200
0 01
0
200
.
.
.
= - - -
( )
= - =
- -
e e e
2 0 2
1 0 865 .
Reliability Function
The reliability function is the complement of the cumulative distribution function. If modeling
the time to fail, the cumulative distribution function represents the probability of failure, and
the reliability function represents the probability of survival. Thus, the cumulative distribution
function increases from 0 to 1 as the value of x increases, and the reliability function decreases
from 1 to 0 as the value of x increases. This is shown in Figure 2.8.
As seen from Figure 2.8, the probability that the time to fail is greater than 190, the reliability,
is 0.7475. The probability that the time to fail is less than 190, the cumulative distribution
function, is
1 0 7475 0 2525 - = . .
Mathematically, the reliability function is the integral of the probability density function from
x to innity.
R x f d
x
( ) = ( )

t t (2.4)
Hazard Function
The hazard function is a measure of the tendency to fail; the greater the value of the hazard
function, the greater the probability of impending failure. Technically, the hazard function is
the probability of failure in the very small time interval, x
0
to x
0+d
, given survival until x
0
. The
hazard function is also known as the instantaneous failure rate. Mathematically, the hazard
function is dened as
h x
f x
R x
( ) =
( )
( )
(2.5)
28
Accvivv~:vu Tvs:ixc
Figure 2.8 The reliability function.
155 159 163 167 171 175 179 183 187 191 195 199 203 207 211 215 219 223 227 231 235 239 243
0.000
0.005
0.010
0.015
0.020
0.025
0.030
Time to Fail
155 159 163 167 171 175 179 183 187 191 195 199 203 207 211 215 219 223 227 231 235 239 243
0.000
0.200
0.400
0.600
0.800
1.000
Time to Fail
Reliability
Function
Cumulative
Distribution
Function
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Using Eq. 2.5 and Eqs. 2.6 and 2.7, if the hazard function, the reliability function, or the prob-
ability density function is known, the remaining two functions can be derived.
R x e
h d
x
( ) =
- ( )
-

t t
(2.6)
f x h x e
h d
x
( ) = ( )
- ( )
-

t t
(2.7)
Example 2.4: Given the hazard function, h x x ( ) = 2 , derive the reliability function and the
probability density function.
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Pvon~niii:v Fuxu~:vx:~is
Solution: The reliability function is
R x e
R x e
xdx
x
x
( ) =
( ) =
-
-
-

2
2
The probability density function is
f x h x R x xe
x
( ) = ( ) ( ) =
-
2
2
Expectation
Several terms are used to describe distributions. The most common terms are the mean, vari-
ance, skewness, and kurtosis. These descriptors are derived from moment-generating functions.
Readers with an engineering background may recall that the center of gravity of a shape is
cog
xf x dx
f x dx
=
( )
( )
-

(2.8)
The mean, or average, of a distribution is its center of gravity. In Eq. 2.8, the denominator is
equal to the area below f x ( ), which is equal to 1 by denition for valid probability distributions.
The numerator in Eq. 2.8 is the rst moment-generating function about the origin. Thus, the
mean of a distribution can be determined from the expression
E x xf x dx ( ) = ( )
-

(2.9)
The second moment-generating function about the origin is
E x x f x dx
2 2
( )
= ( )
-

(2.10)
The variance of a distribution is equal to the second moment-generating function about the
mean, which is
s m
2 2 2
= ( ) -
-

x f x dx
(2.11)
The variance is a measure of the dispersion in a distribution. In Figure 2.9, the variance of
Distribution A is greater than the variance of Distribution B.
30
Accvivv~:vu Tvs:ixc
Figure 2.9 Distribution variance.
1
5
5

1
5
9

1
6
3

1
6
7

1
7
1

1
7
5

1
7
9

1
8
3

1
8
7

1
9
1

1
9
5

1
9
9

2
0
3

2
0
7

2
1
1

2
1
5

2
1
9

2
2
3

2
2
7

2
3
1

2
3
5

2
3
9

2
4
3

0.000
0.010
0.020
0.030
0.040
A
B
X
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The skewness of a distribution is equal to the third moment-generating function about the mean.
If the skewness is positive, the distribution is right skewed. If the skewness is negative, the
distribution is left skewed. Right and left skewness are demonstrated in Figure 2.10.
Kurtosis is the fourth moment-generating function about the mean and is a measure of the
peakedness of the distribution.
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Pvon~niii:v Fuxu~:vx:~is
Figure 2.10 Right and left skewness.
0
1
2
2
4
3
6
4
8
6
0
7
2
8
4
9
6
1
0
8
1
2
0
1
3
2
1
4
4
1
5
6
1
6
8
1
8
0
1
9
2
2
0
4
2
1
6
2
2
8
2
4
0
0.000
0.005
0.010
0.015
0.020
0.025
0.030
Left Skewed
Right Skewed
X
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Summary
A statistical distribution can be described by the following functions:
Probability density function, f x ( )
Cumulative distribution function, F x ( )
Reliability function, R x ( )
Hazard function, h x ( )
When one of these functions is dened, the others can be derived. These functions, with char-
acteristics concerning central tendency, spread, and symmetry, provide a description of the
population being modeled.