Probability & Statistics

Dr. Santosh Kumar Yadav

Assistant Professor

Department of Mathematics
Lovely Professional University, Punjab.

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 Some Probability
Distributions
In this Lecture series we will discuss about some continuous
probability distribution functions.

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Normal Distribution

The most important continuous probability distribution in the

entire field of statistics is the normal distribution.
Graph of normal pdf is called the normal curve, and is the
bell-shaped curve.

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Normal Distribution

The most important continuous probability distribution in the

entire field of statistics is the normal distribution.
Graph of normal pdf is called the normal curve, and is the
bell-shaped curve.
The normal distribution is often referred to as the Gaussian
distribution, in honor of Karl Friedrich Gauss(1777–1855),
who also derived its equation from a study of errors in re-
peated measurements of the same quantity.

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Normal Distribution

A continuous random variable X follows normal distribution if its

probability density function (pdf) is given by

1 (x−µ)2
f (x, µ, σ) = √ e− 2σ2 , x, µ ∈ R, σ > 0
σ 2π
where mean of X is mu and variance is σ 2 .
Notation: If X follows normal distribution , we generally
write X ∼ N(µ, σ 2 ).

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Properties of Normal Curve
The curve is symmetric about a vertical axis through the
mean µ.
The normal curve approaches the horizontal axis asymptot-
ically as we proceed in either direction away from the mean.
The total area under the curve and above the horizontal axis
is equal to 1.

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Areas under the Normal Curve
The area under the curve bounded by the two ordinates x =
x1 and x = x2 equals the probability that the random variable
X assumes a value between x = x1 and x = x2 .
Z x2
P(x1 < X < x2) = f (x, µ, σ 2 )dx
x1

We change this in terms of a new variable Z (called standard

normal variate). There area of normal curve for values of Z
is given in standard normal table (TABLE A.3. PAGE 736 in
textbook)
For example, P(Z < −1.4) = 0.0808 (check it!) gives the
entire area of normal curve which lies left side to Z = −1.4.

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Dr. S. K. Yadav, LPU Punjab 7 / 27
Standard Normal Variate
The difficulty encountered in solving integrals of normal den-
sity functions. Fortunately, we are able to transform all the
observations of any normal random variable X into a new set
of observations of a normal random variable Z defined as

X −µ
Z =
σ
with mean 0 and variance 1.
It is easy to verify that mean and variance of Z are 0 and 1.
(Do it), i.e Z ∼ N(0, 1) when X ∼ N(µ, σ 2 ).

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Area Property (1σ, 2σ, 3σ range)
P(µ − σ < X < µ + σ) = P(−1 < Z < 1) = 0.6826
P(µ − 2σ < X < µ + 2σ) = P(−2 < Z < 2) = 0.9544
P(µ − 3σ < X < µ + 3σ) = P(−3 < Z < 3) = 0.9973

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Example 1

Let X is normally distributed where mean of X is 12 and SD is 4.

Then find
(i) P(X ≥ 20)
(ii) P(0 ≤ X ≤ 12)
(i) Sol: Clearly Z = 2, Hence

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Example 1

Let X is normally distributed where mean of X is 12 and SD is 4.

Then find
(i) P(X ≥ 20)
(ii) P(0 ≤ X ≤ 12)
(i) Sol: Clearly Z = 2, Hence

P(X ≥ 20) = P(Z ≥ 2) =?

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Cont...

Let X is normally distributed and mean of X is 12 and SD is 4.

Then find
P(X ≥ 20)
P(0 ≤ X ≤ 12)
(ii) Sol: P(0 ≤ X ≤ 12) = P(−3 ≤ Z ≤ 0) =?

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Example 2
A certain type of storage battery lasts, on average, 3.0 years
with a standard deviation of 0.5 year. Assuming that battery
life is normally distributed, find the probability that a given
battery will last less than 2.3 years.
(Given that P(Z < −1.4) = 0.0808)

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Problem 3
An electrical firm manufactures light bulbs that have a life,
before burn-out, that is normally distributed with mean equal
to 800 hours and a standard deviation of 40 hours. Find the
probability that a bulb burns between 778 and 834 hours.
Sol: P(778 < X < 834) = P(−0.55 < Z < 0.85) =?

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Example 4
Given a random variable X having a normal distribution with
mean 50 and S.D 10, find the probability that X assumes a
value between 45 and 62.

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Example 4
Given a random variable X having a normal distribution with
mean 50 and S.D 10, find the probability that X assumes a
value between 45 and 62.
Sol: P(45 < X < 62) = P(−0.5 < Z < 1.2) =?.

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Gamma Distribution

The continuous random variable X has a gamma distribution,

with parameters α and β, if its density function is given by

1 x
f (x, α, β) = e− β x α−1 , x > 0, α > 0, β > 0
βα Γ(α)
where X be the elapsed time before the αth event.
β is the average time between occurences, called rate pa-
rameter.

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Gamma Function and Properties
R∞
1 Gamma function is defined as Γ(α) = 0
e−z z α−1 dz
2 Γ(α) = (α − 1)Γ(α − 1) for α > 1.
3 Γ(n) = (n − 1)! for a positive integer n.
4 Γ(1) = 1.
√
5 Γ( 12 ) = π

6 Find Γ(5) and Γ( 23 )?

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Exponential Distribution

When α = 1, we have the exponential distribution which

models the waiting time between occrences in a Poisson
process.
The continuous random variable X has an exponential distri-
bution with density function given by

1 − βx
f (x, β) = e , x > 0, β > 0
β

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Mean and Variance

The mean and variance of the gamma distribution are

µ = αβ, σ 2 = αβ 2

The mean and variance of the exponential distribution are

µ = β, σ 2 = β 2

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Applications
The gamma distribution used to model the time that elapses
before α occurences of a randomly occuring event, like calls
to a pizza place. Such events are said to occur according to
a Poisson process.
Time between arrivals at service facilities and time to failure
of component parts and electrical systems are modeled by
the exponential distribution.
Consider a poisson process with parameter λ. Let X
denote the time of occurence of first event, then X has
an exponential distribution with parameter β = 1/λ.

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Applications
The gamma distribution used to model the time that elapses
before α occurences of a randomly occuring event, like calls
to a pizza place. Such events are said to occur according to
a Poisson process.
Time between arrivals at service facilities and time to failure
of component parts and electrical systems are modeled by
the exponential distribution.
Consider a poisson process with parameter λ. Let X
denote the time of occurence of first event, then X has
an exponential distribution with parameter β = 1/λ.
The exponential distribution is concerned with the amount
of time until some specific event occurs. For example, the
amount of time until an earthquake occurs.
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Example 1
Suppose that telephone calls arriving at a particular switch-
board follow a Poisson process with an average of 5 calls
coming per minute. What is the probability that up to a
minute will elapse by the time 2 calls have come in to the
switchboard?

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Example 1
Suppose that telephone calls arriving at a particular switch-
board follow a Poisson process with an average of 5 calls
coming per minute. What is the probability that up to a
minute will elapse by the time 2 calls have come in to the
switchboard?
Solution : The Poisson process applies, with time until 2
Poisson events following a gamma distribution with β = 1/5
and α = 2. The required probability is given by
Z 1
1 −x/β
P(X ≤ 1) = 2
xe dx
0 β
Z 1
= 25 xe−5x = 1 − e−5 (1 + 5)
0

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Example 2

The time in hours to repair a machine is exponential distribu-

tion with parameter 1/3. What is the probability that repair
time exceeds 3 hours.

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Example 2

The time in hours to repair a machine is exponential distribu-

tion with parameter 1/3. What is the probability that repair
time exceeds 3 hours.
Ans: P(X > 3) = e−9

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Example 3
On a saturday morning, customers arrive at a bakery accord-
ing to a posson process at an average rate of 15 customers
per hour.
(i) What is the probability that it takes less than 10 minutes
for first 3 customer to arrive.
Sol: Given that λ = 15/60 = 1/4 minutes, hence β = 1/λ =
4. Find P(X < 10).

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Example 3
On a saturday morning, customers arrive at a bakery accord-
ing to a posson process at an average rate of 15 customers
per hour.
(i) What is the probability that it takes less than 10 minutes
for first 3 customer to arrive.
Sol: Given that λ = 15/60 = 1/4 minutes, hence β = 1/λ =
4. Find P(X < 10).
Ans: (i) 0.456
(ii) What is average amount of time in minutes that will elapse
before 3 customers arrive in a bakery.

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Example 3
On a saturday morning, customers arrive at a bakery accord-
ing to a posson process at an average rate of 15 customers
per hour.
(i) What is the probability that it takes less than 10 minutes
for first 3 customer to arrive.
Sol: Given that λ = 15/60 = 1/4 minutes, hence β = 1/λ =
4. Find P(X < 10).
Ans: (i) 0.456
(ii) What is average amount of time in minutes that will elapse
before 3 customers arrive in a bakery.
Ans: (ii) 12min

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Review Problems

(4) The length of time a person speaks over phone follows ex-
ponential distribution with mean 6. Find the probability that
the person will talk for (i) more than 8 minutes, (ii) between
4 and 8 minutes.

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Review Problems

(4) The length of time a person speaks over phone follows ex-
ponential distribution with mean 6. Find the probability that
the person will talk for (i) more than 8 minutes, (ii) between
4 and 8 minutes.
Ans: (i) P(X > 8) = e−4/3 , (ii) P(4 < X < 8) = e−2/3 − e−4/3

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Cont..

(5) A certain type of device has an advertised fail- ure rate of

0.01 per hour. The failure rate is constant and the exponen-
tial distribution applies.
(a) What is the mean time to failure?
(b) What is the probability that 200 hours will pass before a
failure is observed?

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Cont...
(6) Given a normal distribution with µ = 40 and σ = 6, find the
value of x that has
(a) 45% of the area to the left and
(b) 14% of the area to the right.
Sol: (a) We require a z value that leaves an area of 0.45
to the left. From Table A.3 we find P(Z < −0.13) = 0.45, so
the desired z value is −0.13. Hence,
x = (6)(−0.13) + 40 = 39.22.
(b) we require a z value that leaves 0.14 of the area to the
right and hence an area of 0.86 to the left. Again, from
Table A.3, we find P(Z < 1.08) = 0.86, so the desired z
value is 1.08 and
x = (6)(1.08) + 40 = 46.48.

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 THANK YOU

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