Introduction to probability theory (Stat 276) Department of Statistics (AAU)

CHAPTER EIGHT
8. COMMON CONTINUOUS DISTRIBUTIONS AND THEIR PROPERTIES
8.1. Uniform distribution
8.2. Normal distribution
8.3. Exponential distribution
 

We now turn our attention to the most important special continuous random variables. We
will look at the Uniform, the Normal, the Exponential, the Gamma, the Chi-square, t-
distribution, and F-distribution.

8.1. The Uniform (Rectangular) distribution

Range space: ,
Parameters: a and b are any real numbers satisfying ∞ ∞
Notation: The , random variable is defined by the following probability density
function:
1

If X is ~ , , then
,
2 12
The uniform distribution gets its name from the fact that its density is uniform, or constant,
over the interval , . It is also rectangular distribution because the shape of the density is
rectangular.

8.2. The Normal (or Gaussian) distribution

Range space: ∞, ∞
Parameters: The Normal distribution has two parameters: μ is any real number; is any
positive real number
Notation: ~ ,
The , random variable is defined by the following probability density function:

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Introduction to probability theory (Stat 276) Department of Statistics (AAU)

A random variable X is said to have a normal distribution if its probability density function is
given by:
1
, ∞ ∞, ∞ ∞, 0
√2

where , . . √
and are parameters of normal distribution and hence the distribution of X can be written
as ~ , .
Properties of Normal Distribution:
1. It is bell shaped and is symmetrical about its mean. The maximum coordinate is at
and is given by
√

2. It is asymptotic to the axis, i.e., it extends indefinitely in either direction from the
mean.
3. The curve is continuous and never touches the x-axis
4. It is a family of curves, i.e., every unique pair of mean and standard deviation defines
a different normal distribution. Thus, the normal distribution is completely described
by two parameters: mean and standard deviation.
5. Total area under the curve sums to 1, i.e., the area of the distribution on each
a) side of the mean is 0.5. 1
6. It is unimodal, i.e., values mound up only in the center of the curve.
7. Median Mean mode µ
8. The probability that a random variable will have a value between any two points is
equal to the area under the curve between those points.
9. The area under the normal curve that lies within one SD of the mean is approximately
0.68 or 68%, within two SD’s about 0.95 or 95% and within three SD’s about 0.997
or 99.7%

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Introduction to probability theory (Stat 276) Department of Statistics (AAU)
 

34.13% 34.13%

13.59% 13.59%
2.28% 2.28%

μ-3σ μ-2σ μ -σ μ μ +σ μ+2σ μ+3σ

about 68%
about 95%
about 99.7%

Note: To facilitate the use of normal distribution, the following distribution known as the
standard normal distribution was derived by using the transformation

1
√2
Properties of the Standard Normal Distribution:
Same as a normal distribution, but also:
• Mean is zero
• Variance is one

For the solution of problems using the normal distribution, the following steps are used.
1. Draw a picture
2. Transform the given value to z-value

Thus, if ~ , ,

3. Shade the area desired

4. Read the area from the standard normal distribution table.

The cdf of standard normal distribution is given by .

√
Then

It is also evident from the definition of cdf ( )that 1

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Introduction to probability theory (Stat 276) Department of Statistics (AAU)
Note that:
2 1

Two important properties of the Normal random variable (proof to be done in the class)
1. If X~ N(μ, σ2) and Y= a+ bX then Y~ N(a+ bμ, b2σ2) 
2. Suppose X and Y are independent random variables with X~ N(μX, σX2) and Y~ N(μY, σY2)
then X+Y~ N(μX + μY, σX2+ σY2)
8.3. Exponential Distribution

It describes the time between events in a Poisson process, i.e. a process in which events occur
continuously and independently at a constant average rate.

The exponential distribution is often concerned with the amount of time until some specific
event occurs.

The Length of time interval between successive happening have exponential distribution
provided that the number of happening in a fixed time interval has a Poisson distribution.

Definition: If a random variable X has a density given by

, 0,

where 0, then X is defined to have an exponential distribution.

Note: If X has an exponential distribution, then

1 1 λ
, and MX , for t .
λ t

Occurrence and applications

The exponential distribution occurs naturally when describing the lengths of the inter-arrival
times in a homogeneous Poisson process.

The exponential distribution may be viewed as a continuous counterpart of the geometric

distribution, which describes the number of Bernoulli trials necessary for a discrete process

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Introduction to probability theory (Stat 276) Department of Statistics (AAU)
to change state. In contrast, the exponential distribution describes the time for a continuous
process to change state.

In real-world scenarios, the assumption of a constant rate (or probability per unit time) is
rarely satisfied. For example, the rate of incoming phone calls differs according to the time of
day. But if we focus on a time interval during which the rate is roughly constant, such as
from 2 to 4 p.m. during work days, the exponential distribution can be used as a good
approximate model for the time until the next phone call arrives. Similar caveats apply to the
following examples which yield approximately exponentially distributed variables:

• The time until a radioactive particle decays,

• The time it takes before your next telephone call
• The time until default (on payment to company debt holders) in reduced form credit
risk modeling
• The amount of time (beginning now) until an earthquake occurs
• The length, in minutes, of long distance business telephone calls,
• The amount of time, in months, a car battery lasts.

Exponential variables can also be used to model situations where certain events occur with a
constant probability per unit length, such as the distance between mutations on a DNA
strand, or between road kills on a given road.

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Introduction to probability theory (Stat 276) Department of Statistics (AAU)

: , , 0
Γ
where 0 0, then X is defined to have a gamma distribution.
Γ is a gamma function and is defined by

Γ 0

Integration by part yields Γ 1 Γ ! .

Note: If X has an gamma distribution with parameters , then

λ
and MX , for t .
λ t

8.5. T- distribution (Student's t-distribution)

Student's t-distribution (or simply the t-distribution) is a continuous probability distribution

that arises when estimating the mean of a normally distributed population in situations where
the sample size is small. It plays a role in a number of widely-used statistical analyses,
including the Student's t-test for assessing the statistical significance of the difference
between two sample means, the construction of confidence intervals for the difference
between two population means, and in linear regression analysis.

The t-distribution is symmetric and bell-shaped, like the normal distribution, but has heavier
tails, meaning that it is more flat to producing values that fall far from its mean.

Student's t-distribution is the probability distribution of the ratio.

Probability density function

Student's t-distribution has the probability density function

1
Γ
2 1
√ Γ
2

where 0 is the number of degrees of freedom and Γ is the Gamma function.

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Introduction to probability theory (Stat 276) Department of Statistics (AAU)
Properties of the t-distribution
1. It has a mean of 0
2. It is symmetrical about the mean
3. In general, it has a variance greater than 1, but the variance approaches 1 as the sample
size becomes large.
4. The variable t ranges from -∞ to +∞
5. Compared to the normal distribution the t distribution is less peaked in the center and has
higher tails.

Note: If X has a t-distribution, then

0
2

¾ The moment generating function of X does not exist.

8.6. Chi-square distribution

In probability theory and statistics, the chi-square distribution (also chi-squared or χ²-
distribution) with k degrees of freedom is the distribution of a sum of the squares of k
independent standard normal random variables. It is one of the most widely used probability
distributions in inferential statistics, e.g. in hypothesis testing, or in construction of
confidence intervals. The best-known situations in which the chi-square distribution is used
are the common chi-square tests for goodness of fit of an observed distribution to a
theoretical one, and of the independence of two criteria of classification of qualitative data.

The chi-square distribution is a special case of the gamma distribution.

Definition: If ,..., are independent, standard normal random variables, then the sum of
their squares

is distributed according to the chi-square distribution with degrees of freedom. This is

usually denoted as

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Introduction to probability theory (Stat 276) Department of Statistics (AAU)
~ ~

The chi-square distribution has one parameter: k — a positive integer that specifies the
number of degrees of freedom (i.e. the number of Xi’s)

Probability density function

The probability density function (pdf) of the chi-square distribution is

k x
1 −1 −
f ( x) = x 2
e 2 for x ≥ 0
2 k / 2 Γ(k / 2)

where Γ(k/2) denotes the Gamma function, which has closed-form values at the half-integers.

The chi-square distribution has the following properties:

• The mean of the distribution is equal to the number of degrees of freedom: .

• The variance is equal to two times the number of degrees of freedom: 2
• When the degrees of freedom are greater than or equal to 2, the maximum value for Y
occurs when 2.
• The moment generating function of a chi square distribution is given by:

1 /
1
MX ,
1 2 2

• As the degrees of freedom increase, the chi-square curve approaches a normal

distribution.

8.7. F-distribution:  An important probability distribution used to test the significance of

estimated mean squares in an analysis of variance (ANOVA) and in regression analysis.

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Introductiion to probab
bility theory (SStat 276) Deppartment of Sttatistics (AAU
U)
Theeoretically the
t F distribbution is thhe distributioon of the raatio of two independennt
random variables S1/ annd S2/ , whhere S1 has the chi-squuared distribbution on
deggrees of freeedom and S2 has the chhi-squared diistribution on
o degreess of freedom
m.
Tabbles of critiical values of the F distribution for
f ranges of
o and are widelly
avaailable, but direct com
mputation requires
r lenngthy algorrithms to compute
c thhe
incoomplete betaa function.

The probbability density function of an F (m, n) distributedd random vaariable is givven by

m
Γ((m + n) / 2 ) ⎛ m ⎞ 2 x ( m−2) / 2
f ( x) = ⎜ ⎟ * ~ F (m, n) ; Wherre x > x andd m, n = 1,2,...
Γ ( m / 2) Γ ( n / 2) ⎝ n ⎠ [1 + (m / n )x]( m + n ) / 2

The curvve of the F distributioon depends on the deggrees of freedom, a

and . Wheen
describinng an F distrribution, the number of degrees of freedom
f assoociated withh the standarrd
deviationn in the numeerator of thee F statistic is always statted first.

The F diistribution has

h the folloowing propeerties:

• The mean
m and vaariance of F (m, n) is giveen by:

n 2 n 2 ( m + n − 2)
E( X ) = f n > 2 , Var
for V (X ) = , for n > 4
n−2 m ( n − 2) 2 ( n − 4)

• The moment
m generating function of F disstribution is doesn’t
d exist.

F disstribution.

d b b P
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Introduction to probability theory (Stat 276) Department of Statistics (AAU)

Exercises
1. A cell will live for a random time before splitting. A biologist believes this time can be
modelled by an exponential random variable. Suppose it is known that the average
lifetime of the cell is 3 hours. What is λ? What is the probability that the cell will
live for more than 6 hours.
2. For what parameter values is a Gamma distribution also an exponential distribution?

3. Suppose X is a Uni(3,4) random variable and Y=3X+1. Derive the distribution of Y.

4. Suppose X is an Exp(1) random variable and Y=7X. Derive the distribution of Y.

5. Suppose X ~N(0, 1). Find the probability density function of Y=X2.

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