Chapter 4:

Continuous random variables and

Probability distribution
LEARNING OBJECTIVES
1. Continuous random variable
2. Probability density function
3. Cumulative distribution function
4. Mean and Variance
5. Uniform and Normal distributions
6. Normal approximation to the Binomial and Poisson
7. Exponential distribution
 1. Continuous random variables
Definition
A continuous random variable is a random variable whose
possible values includes in an interval of real numbers.

Example:
1. The height of a student at FPT university can be any number
between 150cm – 190cm.
2. The weight of a newborn can be any number between
0.5kg - 4.5kg.
 2. Probability density function (pdf)
Definition
The probability density function (pdf) of a continuous random
variable X is a function such that:
(1) ≥ 0, ∀

(2) ∫ =1

(3) ≤ ≤ =∫
= area under f(x) from a to b

Property (X is a continuous random variable)

(i) P( X  x)  0,  x
(ii) P( x1  X  x2 )  P( x1  X  x2 )  P( x1  X  x2 )  P( x1  X  x2 )
Example 1: Suppose that the probability density function of a
continuous random variable X is:
f (x)  e-( x-3) , x ³ 3
Determine
P(1  X  5); P( X  8); P( X ³ 0).

Example 2: The probability density function of the length of a

metal rod is f ( x)  cx 2 , for 2  x  3

a. What is the value of c?

b. Find P( X  2.5 or X ³ 2.8) ?
 3. Cumulative distribution function (cdf)
Definition
The cumulative distribution function (cdf ) of a continuous
random variable X is
x
F ( x)  P ( X  x)   f (t ) dt
-

for -∞ < x < +∞.

Remark: If X is continuous random variable with cumulative

distribution function F(x) then we can use:

P(a  X  b)  F(b) - F(a)

Example 1: Suppose the cumulative distribution function of the
random variable X is
ì0, if x 1
ï
F(x)  í0.5x - 0.5, if 1  x  3
ï1, if x ³ 3
î

Find P( X  2.8); P(0  X  1.5) ?

Example 2: Suppose the probability density function of the

random variable X is
f (x)  e-( x-3) , x ³ 3
Find the cumulative distribution function of X.
 Summary
Let X be a continuous random variable.
F(x): The cumulative distribution function of X (cdf)
f(x): The probability density function of X (pdf)
x
1. F ( x)  P  X  x    f (t ) dt
-

2. f ( x)  F ( x)
3. P ( X  x)  0,  x
4. P (a  X  b)  P( a  X  b)  P( a  X  b)  P (a  X  b)
b
5. P( a  X  b)   f ( x) dx
a

or
P (a  X  b)  F (b) - F (a )
m
6. P( X  m)  P( X  m)   f ( x) dx  F ( m)
-

7. P( X  m)  P( X ³ m)   f ( x)dx
m

or
m
P ( X ³ m)  1 - P ( X  m)  1 -  f ( x) dx  1 - F (m)
-

Chú ý quan trọng: Khi tính toán XS cho BNN liên tục (continuous random variable) thì ta
không cần bận tâm đến việc trong bất đẳng thức có dấu “=” hay không, điều này khác với
BNN rời rạc (discrete random variabe).
4. Mean and variance of a continuous random
variable
Definition
Suppose X is a continuous random variable with probability
density function f(x).
The mean or expected value of X is defined by

  E ( X ) :  xf ( x)dx
-
The variance of X is defined by
 
 2  V ( X ) :  ( x - )2 f ( x)dx   x2 f ( x)dx -  2
- -

The standard deviation of X is = .

Mean of a function of a continuous variable
If X is a continuous random variable with probability density
function f(x), then we have

E  h  X     h( x) f ( x) dx
-

Example:
 
EX2   x 2 f ( x) dx, E  X 3    x 3 f ( x) dx
- -
Example 1: Assume that X is a continuous random variable with
the following probability density function
x2
f (x)  , for - 3  x  3
18
Determine the mean and variance of X.

Example 2: The cumulative distribution function of the random

variable X is
ì0, if x 1
ï
F(x)  í0.5x - 0.5, if 1  x  3
ï1, if x ³ 3
î

Find the standard deviation of X.

5.1. Continuous uniform distribution
X has a continuous uniform distribution on the segment [a, b] if

ì 1
ï , a xb
pdf: f ( x)  í b - a
ïî 0 otherwise

Mean and Variance:

ab 2 (b - a ) 2
  EX  ,  V (X ) 
2 12

cdf: ì 0, if x  a
ïx-a
ï
F ( x)  í , if a  x  b
ïb - a
ïî1, if x ³ b
Continuous uniform distribution
Example 1: Suppose X has a continuous uniform distribution
over the interval [1;10].
• Determine the mean, variance and standard deviation of X.
• Find P(X<6.5).
• Determine the cumulative distribution function of X.

Example 2: Suppose X has a continuous uniform distribution

over [5;15]. What is the mean and variance of Y=8X?
 5.2. Normal distribution
Notation: X = N(µ, σ2), where −∞ < < +∞, >0
-1 x- 2
1 (
2 
)
pdf: f (x)  e , -   x  
22

Mean, Variance and Standard deviation:

E(X) = µ, V(X) = σ2 and σ(X) = σ

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 Standard normal distribution
Notation: Z = N(0,1) (mean = 0 and variance = 1)
- x2
1 2
pdf: f ( x)  e , -   x  
2
- x2
z 2
e
cdf: (z)   dx
- 2

Example 1: Find the standard normal-curve area between z = −1 and z = −0.4?

Hint: Use Appendix Table III or NORM.S.DIST(a;1) in Excel to find P(z<a).

Example 2: Assume that z scores are normally distributed with a mean of 0 and a
standard deviation of 1. If P(z < a) = 0.1487, find a.
Hint: Use Appendix Table III or NORM.S.INV(p) in Excel to find a such that
P(z < a) = p.
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 Normal distribution
Standardizing
If X = N(µ, σ2), then
X -
Z

is a standard normal random variable N(0, 1).

Remark: Suppose is a normal random variable with mean and

variance . Then

• ≤ = ≤ = ≤

• ≥ = ≥ = ≥ =1− ≤

• ≤ ≤ = ≤ ≤

= ≤ ≤ = ≤ − ≤
 Normal distribution

Example 1: A machine pours beer into 16 oz. bottles. Experience has shown
that the number of ounces poured is normally distributed with a standard
deviation of 1.3 ounces. Find the probabilities that the amount of beer the
machine will pour into the next bottle will be more than 16.25 ounces.

Example 2: The tread life of a particular brand of tire is a random variable

best described by a normal distribution with a mean of 65,000 miles and a
standard deviation of 1,500 miles. What warranty should the company use if
they want 95% of the tires to outlast the warranty?
6. Approximation using Normal distribution
Normal Approximation to the Binomial Distribution
If X has a Binomial distribution B(n, p) then random variable
X - np
Z
np(1 - p)
is approximately a standard normal random variable N(0,1). The
approximation is good for np > 5 and n(1-p) > 5.

x  0.5 - np
Continuity correction : P( X  x)  P( X  x  0.5)  P(Z  )
np(1 - p)
x - 0.5 - np
P( X ³ x)  P( X ³ x - 0.5)  P(Z ³ )
np(1 - np)
x - 0.5 - np
P( X  x)  P( X  x - 0.5)  P(Z  )
np(1 - p)
x  0.5 - np
P( X  x)  P( X  x  0.5)  P(Z  ), ( x  0,1,2,..., n)
np(1 - p)
Approximation using Normal distribution

Example: The manufacturing of semiconductor chips produces

3% defective chips. Assume the chips are independent and that
a lot contains 800 chips. Approximate the probability that more
than 30 chips are defective.

Hint: X~B(n = 800; p = 0.03). Use Normal approximation.

Remark: Can use BINOM.DIST in Excel to find actual value.

Normal Approximation to the Poisson Distribution
If X has Poisson distribution with = and V =
then random variable
X -
Z

is approximately a standard normal random variable N(0,1).
The approximation is good for λ > 5.

x  0 .5 - 
P ( X  x )  P ( X  x  0 .5)  P ( Z  )

x - 0 .5 - 
P ( X ³ x )  P ( X ³ x - 0 .5 )  P ( Z ³ )

x - 0 .5 - 
P ( X  x)  1 - P ( X ³ x)  1 - P (Z ³ )

x  0 .5 - 
P ( X  x)  1 - P ( X  x)  1 - P (Z  )

Approximation using Normal distribution

Example: The number of customers that arrive at a fast-food

business during a one-hour period is known to be Poisson
distributed with a mean equal to 9.6. What is the probability
that more than 10 customers will arrive in a one-hour period?

Hint: X~P(9.6). Use Normal approximation

Remark: Can use POISSON.DIST in Excel to find actual value.

 7. Exponential distribution
Definition
λ > 0: mean number of events per unit interval.
X: the distance between two consecutive events.
Then X is an exponential random variable with parameter λ. The
probability density function of X is:
f ( x)   e -  x , x ³ 0

Mean and Variance:

1 2 1
  E( X )  ;   V ( X )  2
 
cdf:
F ( x)  1 - e -  x , x ³ 0
Exponential distribution
Example 1: The time between customer arrivals at a furniture
store has an approximate exponential distribution with mean of
9 minutes. If a customer just arrived, find the probability that
the next customer will not arrive for at least 15 minutes.

Example 2: The time between patients arriving at an outpatient

clinic follows an exponential distribution at a rate of 15
patients per hour. What is the probability that a randomly
chosen arriving interval will not exceed 6 minutes?