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Statistical Models in Simulation

1.REVIEW OF TERMINOLOGY AND CONCEPTS


1.1. Discrete random variables. Let X be a random variable. If the number
of possible values of X is finite, or countably infinite, X is called a discrete
random variable. The possible values of X may be listed as. X1, x2,
In the finite case, the list terminates; in the countably infinite case, the list
continues indefinitely.

Example 1
The number of jobs arriving each week at a job shop is observed. The
random variable of interest is. X, where
X = number of jobs arriving each week

The possible values of X are given by the range space of X, which is


denoted by Rx. Here Rx = {0, 1, 2, ...} .
Let X be a discrete random variable. With each possible outcome X; in
RX' a number p(xi) = P(X = xi) gives the probability that the random variable
equals the value of xi. The numbers p(xi), i = 1, 2, . . . , must satisfy the
following two conditions:
1.

2.

The collection of pairs (xi, p(xi)), i = 1, 2, ... is called the probability


distribution of X, and p(xi) is called the probability mass function (pmf) of X.
Problem: textbook example 2

1.2. Continuous random variables. If the range space Rx of the random


variable X is an interval or a collection of intervals, X is called a continuous
random variable. For a continuous random variable X, the probability that X
lies in the interval [a, b] is given by

The function f(x) is called the probability density function (pdf) of the
random variable X. The pdf satisfies the following condition s:
a.

b.

c. f(x) = 0 if x is not in Rx
As a result of Equation (1), for any specified value x0, P(X = x0) = 0, because

P(X=x0) = 0 also means that the following equations hold:


The graphical interpretation of Equation (1) is shown in Figure 2. The
shaded area represents the probability that X lies in the interval [a, b].
Problem: textbook example 3

1.3. Cumulative distribution function. The cumulative distribution


function (cdf), denoted by F(x), measures the probability that the random
variable X assumes a value less than or equal to x, that is, F(x) = P(X <= x).
If X is discrete, then

If X is continuous, then

Some properties of the cdf are listed here:


a. F is a nondecreasing function. If a < b, then F(a) <= F(b).
b.

c.

All probability questions about X can be answered in terms of the cdf. For
example,
P(a < X <= b) = F(b) - F(a) for all a < b

For continuous distributions, not only does Equation (5) hold, but also the
probabilities in Equation (2) are equal to F(b) - F(a).
Problem: textbook example 4, example 5

1.4 Expectation

1.5 The mode

2. USEFUL STATISTICAL MODELS

3. DISCRETE DISTRIBUTIONS

Discrete random variables are used to describe random phenomena in


which only integer values can occur.

3.1 Bernoulli trials and Bernoulli distribution