Tossing coins Normal random variables Special case of central limit theorem

18.440: Lecture 19 Normal random variables

Scott Sheeld
MIT

18.440 Lecture 19

Tossing coins Normal random variables Special case of central limit theorem

Outline

Tossing coins

Normal random variables

Special case of central limit theorem

18.440 Lecture 19

Tossing coins Normal random variables Special case of central limit theorem

Outline

Tossing coins

Normal random variables

Special case of central limit theorem

18.440 Lecture 19

Tossing coins Normal random variables Special case of central limit theorem

Tossing coins

Suppose we toss a million fair coins. How many heads will we get? About half a million, yes, but how close to that? Will we be o by 10 or 1000 or 100,000? How can we describe the error? Lets try this out.

18.440 Lecture 19

Tossing coins Normal random variables Special case of central limit theorem

Tossing coins

Toss n coins. What is probability to see k heads? n Answer: 2k k . Lets plot this for a few values of n. Seems to look like its converging to a curve. If we replace fair coin with p coin, whats probability to see k heads. n Answer: p k (1 p )nk k . Lets plot this for p = 2/3 and some values of n. What does limit shape seem to be?

18.440 Lecture 19

Tossing coins Normal random variables Special case of central limit theorem

Outline

Tossing coins

Normal random variables

Special case of central limit theorem

18.440 Lecture 19

Tossing coins Normal random variables Special case of central limit theorem

Standard normal random variable

Say X is a (standard) normal random variable if 2 e x /2 . fX (x ) = f (x ) = 1 2 Clearly f is always non-negative for real values of x , but how do we show that f (x )dx = 1? Looks kind of tricky. 2 Happens to be a nice trick. Write I = e x /2 dx . Then try to compute I 2 as a two dimensional integral. That is, write 2 2 2 x 2 /2 y 2 /2 I = e dx e dy = e x /2 dxe y /2 dy .

Then switch to polar coordinates. 2 2 r 2 /2 I = e rd dr = 2 so I = 2 .

0 0 0

re r

2 /2

dr = 2 e r

2 /2

,
0

18.440 Lecture 19

Tossing coins Normal random variables Special case of central limit theorem

Standard normal random variable mean and variance

Say X is a (standard) normal random variable if 2 e x /2 . f (x ) = 1 2 Question: what are mean and variance of X ? E [X ] = xf (x )dx . Can see by symmetry that this zero. Or can compute directly: 1 1 2 2 e x /2 xdx = e x /2 E [X ] = = 0. 2 2 How would we compute Var[X ] = f (x )x 2 dx =
2 1 e x /2 x 2 dx ? 2 2

Try integration by parts with u = x and dv = xe x /2 dx . x 2 /2 x 2 /2 Find that Var[X ] = 1 ( xe + dx ) = 1. e 2

18.440 Lecture 19

Tossing coins Normal random variables Special case of central limit theorem

General normal random variables

Again, X is a (standard) normal random variable if 2 e x /2 . f (x ) = 1 2 What about Y = X + ? Can we stretch out and translate the normal distribution (as we did last lecture for the uniform distribution)? Say Y is normal with parameters and 2 if 2 2 1 e (x ) /2 . f (x ) = 2 What are the mean and variance of Y ? E [Y ] = E [X ] + = and Var[Y ] = 2 Var[X ] = 2 .

18.440 Lecture 19

Tossing coins Normal random variables Special case of central limit theorem

Cumulative distribution function

Again, X is a standard normal random variable if 2 f (x ) = 1 e x /2 . 2 What is the cumulative distribution function? a 2 Write this as FX (a) = P {X a} = 1 e x /2 dx . 2 How can we compute this integral explicitly? Cant. Lets just give it a name. Write 2 a 1 (a) = 2 e x /2 dx . Values: (3) .0013, (2) .023 and (1) .159. Rough rule of thumb: two thirds of time within one SD of mean, 95 percent of time within 2 SDs of mean.

18.440 Lecture 19

Tossing coins Normal random variables Special case of central limit theorem

Outline

Tossing coins

Normal random variables

Special case of central limit theorem

18.440 Lecture 19

Tossing coins Normal random variables Special case of central limit theorem

DeMoivre-Laplace Limit Theorem

Let Sn be number of heads in n tosses of a p coin. Whats the standard deviation of Sn ? Answer: npq (where q = 1 p ).
n np The special quantity S npq describes the number of standard deviations that Sn is above or below its mean. Whats the mean and variance of this special quantity? Is it roughly normal? DeMoivre-Laplace limit theorem (special case of central limit theorem):

Sn np lim P {a b } (b ) (a). n npq

This is (b ) (a) = P {a X b } when X is a standard normal random variable.

18.440 Lecture 19

Tossing coins Normal random variables Special case of central limit theorem

Problems

Toss a million fair coins. Approximate the probability that I get more than 501, 000 heads. Answer: well, npq = 106 .5 .5 = 500. So were asking for probability to be over two SDs above mean. This is approximately 1 (2) = (2) .159. Roll 60000 dice. Expect to see 10000 sixes. Whats the probability to see more than 9800? 5 Here npq = 60000 1 6 6 91.28. And 200/91.28 2.19. Answer is about 1 (2.19).

18.440 Lecture 19

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18.440 Probability and Random Variables

Spring 2011

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