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기하_분포 [2017/08/07 16:26] moonrepeat [원적률] |
기하_분포 [2021/03/10 21:42] |
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- | ====== 기하분포 (Geometric Distribution) ====== | ||
- | ===== 표기 ===== | ||
- | * $$ X \sim Geo(p)$$ | ||
- | * $$ p \in [ \ 0 \ , \ 1 \ ] $$ | ||
- | ===== 받침 ===== | ||
- | $$ x \in \{ \ 0 \ , \ 1 \ , \ 2 \ , \ \cdots \ \} $$ | ||
- | ===== 확률밀도함수 ===== | ||
- | $$ p(x) = p \ (1-p)^{x} = p \ q^{x} $$ | ||
- | <plot> | ||
- | set title "Geometric Distribution PMF" | ||
- | set size 1 | ||
- | set yrange [0:0.9] | ||
- | set xrange [-0.5:15.5] | ||
- | set xlabel "x" | ||
- | set ylabel "p(x)" | ||
- | set format y "%.2f" | ||
- | |||
- | f(x,p) = p*((1-p)**(int(x))) | ||
- | |||
- | plot f(x+0.5,0.2) title "Geo(0.2)" with steps, \ | ||
- | f(x+0.5,0.5) title "Geo(0.5)" with steps, \ | ||
- | f(x+0.5,0.8) title "Geo(0.8)" with steps | ||
- | </plot> | ||
- | ===== 누적분포함수 ===== | ||
- | $$ F(x) = 1 - (1-p)^{x+1} = 1 - q^{x+1} $$ | ||
- | |||
- | <plot> | ||
- | set title "Geometric Distribution CDF" | ||
- | set size 1 | ||
- | set yrange [0:1.1] | ||
- | set xrange [-0.5:15.5] | ||
- | set xlabel "x" | ||
- | set ylabel "F(x) | ||
- | set format y "%.2f" | ||
- | |||
- | f(x,p) = 1-(1-p)**((int(x))+1) | ||
- | |||
- | plot f(x+0.5,0.2) title "Geo(0.2)" with steps, \ | ||
- | f(x+0.5,0.5) title "Geo(0.5)" with steps, \ | ||
- | f(x+0.5,0.8) title "Geo(0.8)" with steps | ||
- | </plot> | ||
- | ===== 기대값 ===== | ||
- | $$E(X)=\frac{1-p}{p}$$ | ||
- | ===== 분산 ===== | ||
- | $$Var(X)=\frac{1-p}{p^{2}}$$ | ||
- | ===== 왜도 ===== | ||
- | $$ \gamma_{1} = \frac{2 - p}{\sqrt{1-p}} = \frac{2-p}{\sqrt{q}} $$ | ||
- | ===== 첨도 ===== | ||
- | $$ \gamma_{2} = \frac{p^{2} - 6p + 6}{1-p} = \frac{p^{2} - 6p + 6}{q} $$ | ||
- | ===== 특성함수 ===== | ||
- | $$ \phi \ (t) = \frac{p}{1 - (1 - p) \cdot e^{ \ i t}} = \frac{p}{1 - q \cdot e^{ \ i t}} $$ | ||
- | ===== 적률생성함수 ===== | ||
- | $$M(t)=\frac{p}{1-(1-p) \cdot e^{t}} = \frac{p}{1-q \cdot e^{t}}$$ | ||
- | ===== 원적률 ===== | ||
- | $$ \mu'_{1} = \frac{1-p}{p} $$ | ||
- | |||
- | $$ \mu'_{2} = \frac{(2-p)(1-p)}{p^{2}} $$ | ||
- | |||
- | $$ \mu'_{3} = \frac{(1-p) \left[ 6+(p-6)p \right] }{p^{3}} $$ | ||
- | |||
- | $$ \mu'_{4} = \frac{(2-p)(1-p) \left[ 12+(p-12)p \right] }{p^{4}} $$ | ||
- | |||
- | $$ \mu'_{k} = p \ \operatorname{Li}_{ \ -k} (1-p) $$ | ||
- | |||
- | * 단,   $$\operatorname{Li}_{n} (z)$$ 는 ??함수(Polylogarithm)이다. | ||
- | ===== 중심적률 ===== | ||
- | $$ \mu_{2} = \frac{1-p}{p^{2}} $$ | ||
- | |||
- | |||
- | $$ \mu_{3} = \frac{(p-1)(p-2)}{p^{3}} $$ | ||
- | |||
- | |||
- | $$ \mu_{4} = \frac{(p-1)(-p^{2} +9p -9}{p^{4}} $$ | ||
- | |||
- | |||
- | $$ \mu_{k} = p \ \Phi \left( \ 1-p \ , \ -k \ , \ \frac{p-1}{p} \ \right) $$ | ||
- | |||
- | |||
- | |||
- | 단,   $$\Phi ( \ z \ , \ s \ , \ a \ )$$ 는 ??함수(Lerch Transcendent)이다. | ||
- | ===== 특성 ===== | ||
- | i. [[무기억성]]을 가진다. |