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STAT2006_02

Continuous Random Variables/Distributions

Exponential

Gamma

Normal

Chi-square

typical type of Gamma, $\alpha = r/2, \theta = 2 = 1/\lambda$

where r is called the degree of freedom

eg: Brown motion: $x = Normal,y = Normal, then, r = \sqrt{x^2 + y^2} = \sqrt{chi-square}$

Pareto distribution

$\alpha$ = power (decay) law