Академический Документы
Профессиональный Документы
Культура Документы
http://en.wikipedia.org/wiki/Probability_density_function 1/9
Boxplot and probability density function of a normal
distribution N(0,
2
).
Probability density function
From Wikipedia, the free encyclopedia
In probability theory, a probability density function (pdf), or
density of a continuous random variable, is a function that describes
the relative likelihood for this random variable to take on a given
value. The probability of the random variable falling within a
particular range of values is given by the integral of this variables
density over that rangethat is, it is given by the area under the
density function but above the horizontal axis and between the lowest
and greatest values of the range. The probability density function is
nonnegative everywhere, and its integral over the entire space is
equal to one.
The terms "probability distribution function"
[1]
and "probability
function"
[2]
have also sometimes been used to denote the
probability density function. However, this use is not standard among
probabilists and statisticians. In other sources, "probability
distribution function" may be used when the probability distribution is
defined as a function over general sets of values, or it may refer to
the cumulative distribution function, or it may be a probability mass
function rather than the density. Further confusion of terminology
exists because density function has also been used for what is here
called the "probability mass function".
[3]
Contents
1 Absolutely continuous univariate distributions
2 Formal definition
2.1 Discussion
3 Further details
4 Link between discrete and continuous distributions
5 Families of densities
6 Densities associated with multiple variables
6.1 Marginal densities
6.2 Independence
6.3 Corollary
6.4 Example
7 Dependent variables and change of variables
7.1 Multiple variables
8 Sums of independent random variables
9 Products and quotients of independent random variables
9.1 Example: Quotient distribution
9.2 Example: Quotient of two standard normals
10 See also
11 Bibliography
12 External links
23/7/2014 Probability density function - Wikipedia, the free encyclopedia
http://en.wikipedia.org/wiki/Probability_density_function 2/9
Absolutely continuous univariate distributions
A probability density function is most commonly associated with absolutely continuous univariate distributions. A random variable X
has density f
X
, where f
X
is a non-negative Lebesgue-integrable function, if:
Hence, if F
X
is the cumulative distribution function of X, then:
and (if f
X
is continuous at x)
Intuitively, one can think of f
X
(x) dx as being the probability of X falling within the infinitesimal interval [x, x + dx].
Formal definition
(This definition may be extended to any probability distribution using the measure-theoretic definition of probability.)
A random variable X with values in a measurable space (usually R
n
with the Borel sets as measurable subsets) has as
probability distribution the measure X