4

Continuous
Random Variables
and Probability
Distributions
CHAPTER OUTLINE
4-1 Continuous Random Variables
4-2 Probability Distributions and Probability
Density Functions
4-3 Cumulative Distribution Functions
4-4 Mean and Variance of a Continuous
Random Variable
4-5 Continuous Uniform Distribution
4-6 Normal Distribution
4-7 Normal Approximation to the Binomial
and Poisson Distributions
4-8 Exponential Distribution

Chapter 4 Title and Outline 1

Continuous Random Variables
• A random variable is continuous if it can assume any value in some interval or
intervals of real numbers and the probability that it assumes any specific value
is 0.

• They are used to measure physical characteristics such as height, weight, time,
volume, position, etc...
Examples
1. Let Y be the height of a person (a real number).
2. Let X be the volume of juice in a can.
3. Let Y be the waiting time until the next person arrives at the server.

Sec 4-1 Continuos Radom Variables 2

Probability Density Function

Total area under the curve is equal to 1.

Sec 4-2 Probability Distributions & Probability Density

3
Functions
4-2 Probability Distributions and Probability Density Functions
Example
Example (continued)
Cumulative Distribution Functions

F(x) is the area under the

density curve to the left of x

The cumulative distribution function is defined for all real numbers.

f(x) F(a)=area to the left of a

a
x
6
Sec 4-3 Cumulative Distribution Functions
Example 4-1: Electric Current
Let the continuous random variable X denote the current measured in a thin copper
wire in milliamperes. Assume that the range of X is [0, 20 mA], and assume that
the probability density function of X is

What is the probability that a current measurement is less than 10 milliamperes?

Sec 4-2 Probability Distributions & Probability Density

8
Functions
Example 4-3: Electric Current

0.5 du=0.05x Figure 4-6 Cumulative distribution function

Sec 4-3 Cumulative Distribution Functions 9

 4-4 Mean and Variance of a Continuous Random
Variable

Definition
4-4 Mean and Variance of a Continuous Random Variable
Example 4-6

20
20 2 1
E(X2)= x (0.05) dx= 3 (0.05x3 ) = 133.33 V(X)= E(X2)- (E(X)) 2
0
= 133.33-100= 33.33
0
Continuous Uniform Distribution
• This is the simplest continuous distribution and analogous to its discrete
counterpart.
• This distribution is characterized by a density function that is “flat,” and thus
the probability is uniform in a closed interval [a, b].
• A continuous random variable X with probability density function
1
f(x) = for a ≤ x ≤ b
(b−a)

Figure 4-8 Continuous Uniform Probability Density Function

Sec 4-5 Continuous Uniform Distribution 12

4-5 Continuous Uniform Random Variable
Mean and Variance
4-5 Continuous Uniform Random Variable

  EX  
 a  b
2
and
20 20
𝑥2 b  a 
2

E(X)= 𝑥 0.05 𝑑𝑥 = 0.05 =10  2

V X  
0 2 12
0
4-5 Continuous Uniform Random Variable
Normal Distribution
• The most important continuous probability distribution in the entire field of
statistics is the normal distribution.
• Its graph, called the normal curve, is the bell-shaped curve, which
approximately describes many phenomena that occur in nature, industry, and
research which mostly involve physical measurements
The probability density function of a normal random variable
is given by:

• The curve defined by the density function is a bell-shaped

curve, and it is symmetric about its mean μ.
• The mean, median, and mode are all equal.
• A different normal distribution is specified for each different
value of μ and σ. Sec 4-6 Normal Distribution 16
For any normal random variable,
P(μ – σ < X < μ + σ) = 0.6827
P(μ – 2σ < X < μ + 2σ) = 0.9545
P(μ – 3σ < X < μ + 3σ) = 0.9973

There are infinitely many normal distributions

with different means and standard deviation. To
compute probabilities associated with a normal
random variable instead of using pdf we
standardize our random variable to a standard
random variable for which we have a cumulative
standard normal distribution table. This
transformation is called standardization.
Standardizing a Normal Random Variable

A normal random variable with μ = 0 and σ2 = 1

is called a standard normal random variable
and is denoted as Z.
The cumulative distribution function of a standard
normal random variable is denoted as:
F(z) = P(Z ≤ z)
standardization

Cumulative standard normal

distribution table gives area to the
left of a particular z value
Sec 4-6 Normal Distribution 18
F(0.52)= 0.6985
Example 4-14: Normally Distributed Current-1
Suppose that the current measurements in a strip of wire are assumed to follow a
normal distribution with μ = 10 and σ = 2 mA, what is the probability that the
current measurement is between 9 and 11 mA?

 9  10 x  10 11  10 
P  9  X  11  P    
 2 2 2 
 P  0.5  z  0.5 
 P  z  0.5   P  z  0.5 
 0.69146  0.30854  0.38292

Using Excel
0.38292 = NORMDIST(11,10,2,TRUE) - NORMDIST(9,10,2,TRUE)

Sec 4-6 Normal Distribution 20

 z𝛼

is the z value such that the

area to the right is 𝛼

If you subdivide the data into 100 Z0.05 area to the right is 0.05
equal parts xth percentile is the value - This z value is the 95th percentile
such that x% of the data fall on or of standard normal distribution
below that value.
Example 4-14: Normally Distributed Current-2
Determine the value for which the probability that a current measurement is below 0.98.
 X  10 x  10 
P  X  x  P   
 2 2 
 x  10 
 PZ    0.98
 2 
z  2.05 is the closest value.
z  2  2.05   10  14.1 mA.
98th percentile

Sec 4-6 Normal Distribution 22

Normal Approximations
• The binomial and Poisson distributions become more
bell-shaped and symmetric as their mean values
increase.
• For manual calculations, the normal approximation is
practical
• The normal distribution is a good approximation for:
• Binomial if np > 5 and n(1-p) > 5.
• Poisson if λs> 5. X assumes a given value x is equal to the area of the bar whose
base is centered at x. For example, the exact probability that X
assumes the value 4 is equal to the area of the rectangle with
base centered at x = 4.

Sec 4-7 Normal Approximation to the Binomial & Poisson

23
Distributions
Normal Approximation to the Binomial Distribution

Sec 4-7 Normal Approximation to the Binomial & Poisson

24
Distributions
Example 4-18: Applying the Approximation
In a digital communication channel, assume that the number of bits received in error can be
modeled by a binomial random variable. The probability that a bit is received in error is
10-5. If 16 million bits are transmitted, what is the probability that 150 or fewer errors
occur?
P  X  150   P  X  150.5 
 
X  160 150.5  160 
 P 

 160 1  105
  160 1  105  

 9.5 
 PZ    P  Z  0.75104   0.2263
 12.6491 
Using Excel
0.2263 = NORMDIST(150.5, 160, SQRT(160*(1-0.00001)), TRUE)
-0.7% = (0.2263-0.228)/0.228 = percent error in the approximation
Sec 4-7 Normal Approximation to the Binomial & Poisson
25
Distributions
Normal Approximation to the Poisson
If X is a Poisson random variable with E  X    sand
V  X    ,s
X s
Z  (4-13)
s
is approximately a standard normal random variable.
The same continuity correction used for the binomial
distribution can also be applied. The approximation is
good for s 5

Sec 4-7 Normal Approximation to the Binomial & Poisson

26
Distributions
Example 4-20: Normal Approximation to Poisson
Assume that the number of asbestos particles in a square meter of dust on a surface follows a
Poisson distribution with a mean of 1000. If a square meter of dust is analyzed, what is the
probability that 950 or fewer particles are found?
𝝀= 1000
k= 𝝀s= (1000)*1= 1000
950
e 10001000 x
P  X  950    ... too hard manually!
x 0 x!
The probability can be approximated as
P  X  950   P  X  950.5 
 950.5  1000 
 PZ  
 1000 
 P  Z  1.57   0.058

Sec 4-7 Normal Approximation to the Binomial & Poisson

27
Distributions
Exponential Distribution
The random variable X that equals the distance
between successive events of a Poisson process
with mean number of events λ > 0 per unit
interval is an exponential random variable with
parameter λ. The probability density function of
X is:

f(x) = λe-λx for 0 ≤ x < ∞ F(x) = 1-e-λx

There is an important relationship between the Poisson distribution and the

exponential distribution. If the former describes the number of occurrences of an
event during a given time interval; the latter describes the time between two
successive occurrences of an event.
Sec 4-8 Exponential Distribution 28
Exponential distribution - Mean & Variance

If the random variable X has an exponential

distribution with parameter  ,
1 1
  EX   and  V X  
2
(4-15)
  2

Note:
• Poisson distribution : Mean and variance are same.
• Exponential distribution : Mean and standard deviation
are same.
Sec 4-8 Exponential Distribution 29
Example 4-21: Computer Usage-1
In a large corporate computer network, user log-ons to the system can be modeled as a Poisson
process with a mean of 25 log-ons per hour. What is the probability that there are no log-ons
in the next 6 minutes (0.1 hour)?
Let X denote the time in hours from the start of the interval until the first log-on.


P  X  0.1 
25 0.1

25 x
25e dx  e  0.082
0.1

The cumulative distribution function also can

be used to obtain the same result as follows
P  X  0.1  1  F  0.1  0.082

Figure 4-23 Desired probability

Using Excel
0.0821 = 1 - EXPONDIST(0.1,25,TRUE)
Sec 4-8 Exponential Distribution 30
Example 4-21: Computer Usage-2

Continuing, what is the probability that the time until the next log-on is between 2
and 3 minutes (0.033 & 0.05 hours)?

0.05
P  0.033  X  0.05    25e25 x dx
0.033

25 x 0.05 –(25x0.033)

 e  0.152 F(0.033)= 1-e
0.033

An alternative solution is
P  0.033  X  0.05   F  0.05   F  0.033  0.152

Using Excel
0.148 = EXPONDIST(3/60, 25, TRUE) - EXPONDIST(2/60, 25, TRUE)
(difference due to round-off error)

Sec 4-8 Exponential Distribution 31

Example 4-21: Computer Usage-3

• Continuing, what is the interval of time such that the probability that no log-on
occurs during the interval is 0.90? Another way to solve
P(X=0) = e-25s=0.9
P  X  x   e25 x  0.90,  25 x  ln  0.90  s= 0.00421 h
0.10536
x  0.00421 hour  0.25 minute
25
• What is the mean and standard deviation of the time until the next log-in?
1
1
    0.04 hour  2.4 minutes
 25
1 1
    0.04 hour  2.4 minutes
 25
Sec 4-8 Exponential Distribution 32
Lack of Memory Property
An interesting property of an exponential random variable concerns conditional
probabilities.

For an exponential random variable X,

P(X<t1+t2|X>t1)= P(X < t2)

Sec 4-8 Exponential Distribution 33

Example 4-22: Lack of Memory Property
Let X denote the time between detections of a particle with a Geiger counter.
Assume X has an exponential distribution with E(X) = 1.4 minutes. What is the
probability that a particle is detected in the next 30 seconds?
P  X  0.5  F  0.5  1  e0.5 1.4  0.30 Using Excel
0.300 = EXPONDIST(0.5, 1/1.4, TRUE)

No particle has been detected in the last 3 minutes. What is the probability that a
particle is detected in the next 30 seconds?

P  3  X  3.5 F  3.5  F  3
P  X  3.5 X  3 
0.035
   0.30
P  X  3 1  F  3 0.117
The probability that a particle will be detected depends only on the interval of
time, not its detection history.
Sec 4-8 Exponential Distribution
34