Chapter 5

Continuous Probability
Distributions

1
 5.1 Probability Density Function
A continuous random variable has an uncountable
infinite number of values.

To calculate probabilities of continuous random

variables we define a probability density function f(x),
which satisfies the following conditions
– f(x) is non-negative,
Area = 1
– The total area under the curve
representing f(x) is equal to 1.

2
The probability that a continuous variable X will assume
any particular value is zero.
The probability that x falls between ‘a’ and ‘b’ is the area
under the graph of f(x) between ‘a’ and ‘b’.

P(axb)

a b

3
 Uniform Distribution
A random variable X is said to be uniformly distributed if
its density function is
1
f ( x) = a  x  b.
b−a
with
a+b (b − a ) 2
E(X) = V( X ) =
f(X)
2 12

X
a b
4
Example 5.1: The daily sale of gasoline is uniformly
distributed between 2,000 and 5,000 gallons. Find the
probability that sales are: Between 2,500 and 3,000
gallons

P(2500X3000) = (3000-2500)(1/3000) = .1667

1/3000

x
2000 2500 3000 5000 5
5.2 Normal Distribution
A random variable X with mean m and variance s2 is
normally distributed if its probability density function is
2
 x −m 
1 −(1/ 2) 
f ( x) = e  s  −  x  
s 2
where  = 3.14159... and e = 2.71828...

We denote a normal distribution by N(m, s2 ).

Normal distributions range from minus infinity to plus
infinity 6
 The Shape of the Normal Distribution

bell shaped, and symmetrical around m.

7
Increasing the mean shifts the curve to the
right…

8.8
Increasing the standard deviation “flattens” the curve…

8.9
Two facts help calculate normal probabilities:
- The normal distribution is symmetrical.
- Any random variable (rv) X having N(m, s2 ) can
be transformed into a rv Z having N(0, 1) , called
the
“STANDARD NORMAL DISTRIBUTION”
or the Z-distribution by

X −m
Z=
s
10
We can use the following function to convert any normal
random variable to a standard normal random variable:

Some advice:
always draw a
picture!

8.11

The “standard normal distribution” or the Z-

distribution N(0,1)
 This shifts the
mean of X to
zero…

8.12
0

This changes the

shape of the
curve…

8.13
Example 1: The amount of time it takes to assemble a
computer is normally distributed, with a mean of 50
minutes and a standard deviation of 10 minutes. What is
the probability that a computer is assembled in between
45 and 60 minutes?
• Solution
Let X denote the assembly time of a computer.
We seek P(45<X<60).

14
 45 - 50 X− m 60 - 50
P(45<X<60) = P( < < )
10 s 10

(45-50)/10 = -.5 (60 – 50)/10 = 1

= P(-0.5<Z<1)
To complete the calculation
we need to compute
the probability under the
standard normal
distribution
z0 = -.5 z0 = 1
The
probability
provided by
the Z-Table
covers the
area
between
‘-infinity’ z0
and some
‘z0’.
16
17
 Using the Normal Table, or the Z table

P(-.5<Z<1) = P(Z<1) - P(Z< - .5) = .8413 - .3085

z 0 0.1 ……. 0.05 0.06

-0.5 0.3085 …. …. ….
. . . . .
0.0 0.5000 0.5040 .3413
1 0.8413 0.8438
0
18
Example 2: The rate of return (X) on an investment is normally
distributed with mean of 10% and standard deviation of 5%.
What is the probability of losing money?
Solution

Money is lost if the

return is negative
X
0% 10%

P(X< 0 ) = P(Z< 0 - 10
) = P(Z< - 2) = .0228
5

19
Example 2: The standard deviation of the rate of return (X) is
now 10%. What is the probability of losing money?

The curve for s =5%

The curve for s = 10%

X
0% 10%

0 - 10
P(X< 0 ) = P(Z< )= P(Z< - 1) = .1587
10
Comment: When the standard deviation is 10% rather than
5%, more values fall away from the mean, so the probability
of finding values at the distribution tail increases from .0228 Z
to .1587. 20
 Using Excel to Find Normal Probabilities
For P(X<k) enter in any empty cell:
=normdist(k,m,s,True).
Example: Let m = 50 and s = 10.
P(X < 30): =normdist(30,50,10,True)
P(X > 45): =1 - normdist(45,50,10,True)
P(30<X<60):
=normdist(60,50,10,True) – normdist(30,50,10,True).
Using “normsdist” if the “Z” value is known
P(Z<1.2234): =normsdist(1.2234)
21
Finding Values of Z
Sometimes we need to find the value of Z for a given
probability
We use the notation zA to express a Z value for which
P(Z > zA) = A

A
zA
22
Example 3:
What percentage of N(0,1) the standard normal
population is located to the right of z.10?
A = .10
Answer: 10%
z.10

What percentage of the standard normal population

is located to the left of z.30?
Answer: 70% 1 – A = .70 A = .30

z.30

What percentage of the standard normal population

is located between z.95 and z.40:
A1 = .95 A2 = .40
55%
Comment: z.95 has a negative value
z.95 z.40
Example 4: Determine z not exceeded by 5% of the
population; that is, z is exceeded by 95% of the
population.

Solution: Because of the symmetry of the normal

distribution it is the negative value of z.05.

0.05 0.95

-1.645 -Z0.05 0 Z0.05 1.645 24

 7.5 Other Continuous Distribution
Student t-distribution
Chi-squared distribution
F distribution

25
 The Student t density function
− (  +1) / 2
[(  − 1)]!  t 2
f (t ) = 1 + 
 [(  − 2)]!   

ν (nu) is called the degrees of freedom

E(t) = 0 V(t) = n/(n – 2)

(for n > 2)

26
Much like the standard normal distribution, the Student t
distribution is “mound” shaped and symmetrical about
its mean of zero:

=3  = 10

27
As the number of degrees of freedom increases, the t
distribution approaches the standard normal
distribution.

8.28
The student t distribution is used extensively in
statistical inference. Table 4 in Appendix B lists values
of ; that is, values of a Student t random variable
with degrees of freedom such that:

The values for A are pre-determined “critical” values,

typically in the 10%, 5%, 2.5%, 1% and 1/2% range.

8.29
For example, if we want the value of t with 10 degrees of
freedom such that the area under the Student t curve is
.05:
Area under the curve value (tA) : COLUMN

t.05,10
t.05,10=1.812

Degrees of Freedom : ROW

8.30
31
 Chi-Squared Distribution…

As before, the parameter is the number of degrees

of freedom.

The chi-squared distribution is not symmetrical and

only takes non-negative values
Chi squared values can be found from the chi squared
table or from Excel.
The c2-table entries are the c2 values of the right hand
tail probability (A), for which P(c2n > c2A) = A.

0 5 10 c152A 20 25 30 35
33
34
To find c2 for which
P(c2<c2)=.01, lookup
the column labeled A=.05
c21-.01 or c2.99 A =.99

0 5 10 15 cc22.05
20
A
25 30 35

Degrees of 2
freedom c .995 c2.990 c2.05 c2.010 c2.005
1 0.0000393 0.0001571 . . 6.6349 7.87944
.
.
10 2.15585 2.55821 . 18.307 23.2093 25.1882
. . . . . 35
. . . . . . . .
To find the point in a chi-squared distribution with 8
degrees of freedom, such that the area to the right is
.05,

Look up the intersection of the 8 d.f. row with the

column, yielding a value of 15.5
8.36
To find the point in a chi-squared distribution with 8
degrees of freedom, such that the area to the left is .05,

8.37
=2.73 =15.5

8.38
 F Distribution…
 1 +  2 − 2  1 − 2
 !    2
1
 2 F 2
f (F) =  1  F0
 1 − 2    2 − 2    2  1 +  2

 2  !  2  !  1F  2
 1 + 
 2 

F > 0.
is the “numerator” degrees of freedom and
is the “denominator” degrees of freedom.

8.39
 The F Distribution
This density function generates a rich family of
distributions, depending on the values of n1 and n2
0.01 1 = 5, 2 = 10
0.008
0.008
0.006 1 = 50, 2 = 10 0.007 1 = 5, 2 = 10
0.006
0.004 0.005
0.002 0.004 1 = 5, 2 = 1
0.003
0 0.002
0 1 2 3 40.001 5
0
0 1 2 3 4 5

40
For example, what is the value of F for 5% of the area
under the right hand “tail” of the curve, with a
numerator degree of freedom of 3 and a denominator
degree of freedom of 7?

There are different tables

for different values of A.
Make sure you start with
the correct table!!
F.05,3,7=4.35
F.05,3,7
Denominator Degrees of Freedom : ROW
Numerator Degrees of Freedom : COLUMN 8.41
For areas under the curve on the left hand side of the
curve, we can leverage the following relationship:

Pay close attention to the order of the terms!

8.42