1. STATISTICS Univariate Distributions
Professor Ke-Sheng Cheng
Department of Bioenvironmental Systems Engineering
National Taiwan University

2. Probability density functions of discrete random variables
Discrete uniform distribution
Bernoulli distribution
Binomial distribution
Negative binomial distribution
Geometric distribution
Hypergeometric distribution
Poisson distribution
9/12/2018
Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

3. Discrete uniform distribution
N ranges over the possible integers.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

4. Bernoulli distribution
1-p is often denoted by q.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

5. Binomial distribution
Binomial distribution represents the probability of having exactly x success in n independent and identical Bernoulli trials.
9/12/2018
Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

6. Negative binomial distribution
Negative binomial distribution represents the probability of achieving the r-th success in x independent and identical Bernoulli trials.
Unlike the binomial distribution for which the number of trials is fixed, the number of successes is fixed and the number of trials varies from experiment to experiment. The negative binomial random variable represents the number of trials needed to achieve the r-th success.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

8. Geometric distribution
Geometric distribution represents the probability of obtaining the first success in x independent and identical Bernoulli trials.
9/12/2018
Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

9. Hypergeometric distribution
where M is a positive integer, K is a nonnegative integer that is at most M, and n is a positive integer that is at most M.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

10. Let X denote the number of defective products in a sample of size n when sampling without replacement from a box containing M products, K of which are defective.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

11. Poisson distribution
The Poisson distribution provides a realistic model for many random phenomena for which the number of event occurrences within a given scope (time, length, area, volume) is of interest. For example, the number of fatal traffic accidents per day in Taipei, the number of meteorites that collide with a satellite during a single orbit, the number of defects per unit of some material, the number of flaws per unit length of some wire, etc.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

13. Assume that we are observing the number of occurrences of a certain event in time, space, region or length. Also assume that there exists a positive quantity which satisfies the following properties: 1.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

14. 2. 3.
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15. The probability of success (occurrence) in each independent trial.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

20. Comparison of Poisson and Binomial distributions
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

21. Example
Suppose that the average number of telephone calls arriving at the switchboard of a company is 30 calls per hour. Assuming telephone call occurrences are rare and can be modeled by a Poisson distribution.
What is the probability that no calls will arrive in a 3-minute period?
What is the probability that more than five calls will arrive in a 5-minute interval?
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

22. Assuming time is measured in minutes
Poisson distribution is NOT a good approximation of the binomial distribution in this case.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

23. Assuming time is measured in seconds
Poisson distribution is a good approximation of the binomial distribution.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

24. is the mean rate of occurrence when observation scale is used.
The first property provides the basis for transferring the mean rate of occurrence between different observation scales.
The “small time interval of length h” can be measured in different observation scales.
represents number of observations if (in unit of time) is chosen as the scale of observation (or conducting a random experiment).
is the mean rate of occurrence when observation scale is used.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

25. If the first property holds for various observation scales, say , then it implies the probability of exactly one happening in a small time interval h can be approximated by
The probability of more than one happenings in time interval h is negligible.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

26. i represents the average rate of occurrence (or success) within an interval of i. Within the interval of i , the probability of more than one occurrence is negligible. It is equivalent to say that a Bernoulli random experiment, with a probability of success i , is conducted once per i unit of time. Whether the phenomenon under investigation can be modeled as a Poisson process is dependent on our choice of scale of observation. The Poisson assumption is valid only if, under the chosen scale of observation, the occurrence of an event is rare, i.e., probability of more than one occurrence is negligible.
Definition of a rare event is dependent on the scale of observation. For example, typhoon occurrences cannot be considered as rare if they are observed on an annual basis. However, typhoons occurrences are rare, if observed on a weekly basis.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

27. probability that more than five calls will arrive in a 5-minute interval
Occurrences of events which can be characterized by the Poisson distribution is known as the Poisson process.
If the problem is treated by considering a binomial distribution of n=5 and p=0.5.
What is the probability of having more than five calls in a 5-minute interval?
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

30. Probability density functions of continuous random variables
Uniform or rectangular distribution
Normal distribution (also known as the Gaussian distribution)
Exponential distribution (or negative exponential distribution)
Gamma distribution (Pearson Type III)
Lognormal distribution
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

31. Uniform or rectangular distribution
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

32. PDF of U(a,b)
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

33. Normal distribution (Gaussian distribution)
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

34. Z
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

37. X~N(μ1, σ1) Z~N(0,1) Y~N(μ2, σ2) 9/12/2018
Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

38. Commonly used values of normal distributions
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

39. Exponential distribution (negative exponential distribution)
Mean rate of occurrence in a Poisson process.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

41. Gamma distribution
represents the mean rate of occurrence in a Poisson process.
is equivalent to  in the exponential density.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

42. The exponential distribution is a special case of gamma distribution with
The sum of n independent identically distributed exponential random variables with parameter has a gamma distribution with parameters
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

43. Pearson Type III distribution (PT3)
, and are the mean, standard deviation and skewness coefficient of X, respectively. It reduces to Gamma distribution if = 0.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

44. The Pearson type III distribution is widely applied in stochastic hydrology.
Total rainfall depths of storm events can be characterized by the Pearson type III distribution.
Annual maximum rainfall depths are also often characterized by the Pearson type III or log-Pearson type III distribution.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

45. Log-Normal Distribution Log-Pearson Type III Distribution (LPT3)
A random variable X is said to have a log-normal distribution if Log(X) is distributed with a normal density.
A random variable X is said to have a Log-Pearson type III distribution if Log(X) has a Pearson type III distribution.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

46. Lognormal distribution
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

47. Approximations between random variables
Approximation of binomial distribution by Poisson distribution
Approximation of binomial distribution by normal distribution
Approximation of Poisson distribution by normal distribution
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

48. Approximation of binomial distribution by Poisson distribution
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

49. Approximation of binomial distribution by normal distribution
Let X have a binomial distribution with parameters n and p. If , then for fixed a<b,
is the cumulative distribution function of the standard normal distribution.
It is equivalent to say that as n approaches infinity X can be approximated by a normal distribution with mean np and variance npq.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

50. Approximation of Poisson distribution by normal distribution
Let X have a Poisson distribution with parameter . If , then for fixed a<b
It is equivalent to say that as  approaches infinity X can be approximated by a normal distribution with mean  and variance .
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

52. Example
Suppose that two fair dice are tossed 600 times. Let X denote the number of times that a total of 7 dots occurs. What is the probability that ?
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

54. Transformation of random variables
[Theorem] Let X be a continuous RV with density fx. Let Y=g(X), where g is strictly monotonic and differentiable. The density for Y, denoted by fY, is given by
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

55. Proof: Assume that Y=g(X) is a strictly monotonic increasing function of X.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

56. Example Let X be a gamma random variable with
Y is also a gamma random variable with scale parameter 1/ and shape parameter .
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

57. Definition of the location parameter
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58. Example of location parameter
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

59. Definition of the scale parameter
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

60. Example of scale parameter
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

61. Simulation
Given a random variable X with CDF FX(x), there are situations that we want to obtain a set of n random numbers (i.e., a random sample of size n) from FX(.) .
The advances in computer technology have made it possible to generate such random numbers using computers. The work of this nature is termed “simulation”, or more precisely “stochastic simulation”.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

63. Pseudo-random number generation
Pseudorandom number generation (PRNG) is the technique of generating a sequence of numbers that appears to be a random sample of random variables uniformly distributed over (0,1).
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

64. A commonly applied approach of PRNG starts with an initial seed and the following recursive algorithm (Ross, 2002)
modulo m
where a and m are given positive integers, and the above equation means that is divided by m and the remainder is taken as the value of
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

65. The quantity is then taken as an approximation to the value of a uniform (0,1) random variable.
Such algorithm will deterministically generate a sequence of values and repeat itself again and again. Consequently, the constants a and m should be chosen to satisfy the following criteria:
For any initial seed, the resultant sequence has the “appearance” of being a sequence of independent uniform (0,1) random variables.
For any initial seed, the number of random variables that can be generated before repetition begins is large.
The values can be computed efficiently on a digital computer.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

66. A guideline for selection of a and m is that m be chosen to be a large prime number that can be fitted to the computer word size. For a 32-bit word computer, m = and a = result in desired properties (Ross, 2002).
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

67. Simulating a continuous random variable
probability integral transformation
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68. The cumulative distribution function of a continuous random variable is a monotonic increasing function.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

69. Example
Generate a random sample of random variable V which has a uniform density over (0, 1).
Convert to using the above V-to-X transformation.
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Lab for Remote Sensing Hydrology and Spatial Modeling Dept of Bioenvironmental Systems Engineering, NTU

70. Random number generation in R
R commands for stochastic simulation (for normal distribution
pnorm – cumulative probability
qnorm – quantile function
rnorm – generating a random sample of a specific sample size
dnorm – probability density function
For other distributions, simply change the distribution names.
For examples, (punif, qunif, runif, and dunif) for uniform distribution and (ppois, qpois, rpois, and dpois) for Poisson distribution.
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Lab for Remote Sensing Hydrology and Spatial Modeling Dept of Bioenvironmental Systems Engineering, NTU

71. Generating random numbers of discrete distribution in R
Discrete uniform distribution
R does not provide default functions for random number generation for the discrete uniform distribution.
However, the following functions can be used for discrete uniform distribution between 1 and k.
rdu<-function(n,k) sample(1:k,n,replace=T) # random number
ddu<-function(x,k) ifelse(x>=1 & x<=k & round(x)==x,1/k,0) # density
pdu<-function(x,k) ifelse(x<1,0,ifelse(x<=k,floor(x)/k,1))  # CDF
qdu <- function(p, k) ifelse(p <= 0 | p > 1, return("undefined"), ceiling(p*k)) # quantile
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

72. Similar, yet more flexible, functions are defined as follows
dunifdisc<-function(x, min=0, max=1) ifelse(x>=min & x<=max & round(x)==x, 1/(max-min+1), 0)
>dunifdisc(23,21,40)
>dunifdisc(c(0,1))
punifdisc<-function(q, min=0, max=1) ifelse(q<min, 0, ifelse(q>max, 1, floor(q-min+1)/(max-min+1)))
>punifdisc(0.2)
>punifdisc(5,2,19)
qunifdisc<-function(p, min=0, max=1) floor(p*(max-min+1))+min
>qunifdisc( ,2,19)
>qunifdisc(0.2)
runifdisc<-function(n, min=0, max=1) sample(min:max, n, replace=T)
>runifdisc(30,2,19)
>runifdisc(30)
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

73. Binomial distribution
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74. Negative binomial distribution
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75. Geometric distribution
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76. Hypergeometric distribution
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77. Poisson distribution 9/12/2018
Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

78. An example of stochastic simulation
The travel time from your home (or dormitory) to NTU campus may involve a few factors:
Walking to bus stop (stop for traffic lights, crowdedness on the streets, etc.)
Transportation by bus
Stop by 7-11 or Starbucks for breakfast (long queue)
Walking to campus
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Lab for Remote Sensing Hydrology and Spatial Modeling Dept of Bioenvironmental Systems Engineering, NTU

79. All Xi’s are independently distributed.
Gamma distribution with mean 30 minutes and standard deviation 10 minutes.
Exponential distribution with a mean of 20 minutes.
All Xi’s are independently distributed.
If you leave home at 8:00 a.m. for a class session of 9:10, what is the probability of being late for the class?
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Lab for Remote Sensing Hydrology and Spatial Modeling Dept of Bioenvironmental Systems Engineering, NTU

80. The Acceptance/Rejection Method
This method uses an auxiliary density for generation of random quantities from another distribution. This method is particularly useful for generating random numbers of random variables whose cumulative distribution functions cannot be expressed in closed form.
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Lab for Remote Sensing Hydrology and Spatial Modeling Dept of Bioenvironmental Systems Engineering, NTU

81. Suppose that we want to generate random numbers of a random variable X with density f(X).
An auxiliary density g(X) which we know how to generate random samples is identified and cg(X) is everywhere no less than f(X) for some constant c, i.e.,
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Lab for Remote Sensing Hydrology and Spatial Modeling Dept of Bioenvironmental Systems Engineering, NTU

82. cg(X)
f(X) X
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Lab for Remote Sensing Hydrology and Spatial Modeling Dept of Bioenvironmental Systems Engineering, NTU

83. Generate a random number x of density g(X),
Generate a random number u from the density U[0,cg(x)),
Reject x if u > f(x); otherwise, x is accepted as a random number from f(X),
Repeat the above steps until the desired number of random numbers are obtained.
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Lab for Remote Sensing Hydrology and Spatial Modeling Dept of Bioenvironmental Systems Engineering, NTU