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Chapter 4

Continuous Random Variables and

Probability Distributions

Continuous Random Variables

An Example:
The dimensional length of a manufactured part is subject to
small variations in measurement due to vibrations,
temperature fluctuations, operator differences, calibration,
cutting tool wear, bearing wear, and raw material changes.
This length X would be a continuous random variable that would
occur in an interval (finite or infinite) of real numbers.
The number of possible values of X, in that interval, is
uncountably infinite and limited only by the precision of the
measurement instrument.

Can you think of other examples of continuous variables?

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Probability Density Function

A probability density function f(x) describes the probability

distribution of a continuous random variable. It is analogous
to the beam loading.

Figure Probability is determined from the area under f(x) from a to b.

If discrete: probability mass function 3

If continuous: probability density function

Probability Density Function

For a continuous random variable X ,
a probability density function is a function such that

(1) f  x  0 means that the function is always non-negative.


(2) 

f ( x)dx  1

b
(3) P  a  X  b    f  x  dx  area under f  x  dx from a to b
a

(4) f  x  0 means there is no area exactly at x.

*** probability of occurrence of a continuous r.v. is area under the curve (AUC).
***This curve is defined by f(x), i.e. probability density function.
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Example: Electric Current

Let the continuous random variable X denote the current
measured in a thin copper wire in milliampere (mA). Assume
that the range of X is:
0 ≤ x ≤ 20 and f(x) = 0.05.
What is the probability that a current is less than 10mA?

Figure P(X < 10).

Example: Hole Diameter

Let the continuous random variable X denote the diameter of a hole
drilled in a sheet metal component. The target diameter is 12.5
mm. Random disturbances to the process result in larger
diameters. Probability distribution of X can be modeled by:
f(x)= 20e-20(x-12.5), x ≥ 12.5 mm
If a part with a diameter larger than 12.60 mm is scrapped, what
proportion of parts is scrapped?


Figure 4-5 P  X  12.60  
20 x 12.5
 20e
12.6
dx  0.135
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Example: Hole Diameter

Example (continued)

f(x)= 20e-20(x-12.5), x ≥ 12.5 mm

Cumulative Distribution Functions

The cumulative distribution function

of a continuous random variable X is,
x
F  x  P  X  x   f  u  du for    x   (4-3)


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Cumulative Distribution Functions

Example

Example: Electric Current

For the copper wire current measurement in Exercise 1, the
cumulative distribution function (CDF) consists of three
expressions to cover the entire real number line.

0 x <0
F (x ) = 0.05x 0 ≤ x ≤ 20
1 20 < x

Figure This graph shows the CDF as a

continuous function.
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Mean and Variance

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Example: Electric Current

For the copper wire current measurement in Exercise 1, the PDF is

f(x) = 0.05 for 0 ≤ x ≤ 20. Find the mean and variance.

Therefore, we have to integrate ( 0.05 x ) over [0 20] interval.

20 20
0.05 x 2
E  X    x  f  x  dx   10
0
2 0

3 20
20
0.05  x  10 
V X     x  10  f  x  dx   33.33
2

0
3
0
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Example: Hole Diameter

For the drilling operation in Example 2, find the mean and

variance of X using integration by parts. Recall that f(x) = 20e-
20(x-12.5)dx for x ≥ 12.5.

 
EX   xf  x  dx 
20 x 12.5 

12.5 12.5
 x 20e dx


20 x 12.5 
20 x 12.5  e
  xe   12.5  0.05  12.55 mm
20 12.5

V X     x  12.55 f  x  dx  0.0025 mm and   0.05 mm
2 2

12.5

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Continuous Uniform Distribution

• This is the simplest continuous distribution and analogous to its
discrete counterpart (uniform discrete distr.).
• A continuous random variable X with probability density function
f(x) = 1 / (b-a) for a ≤ x ≤ b

X is a continuous r.v. which is defined between two values;

a and b.
The probability of X to be between a and b is constant.
Therefore, this is a uniform continuous distribution.

Figure Continuous uniform PDF 14

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Mean and Variance

• Mean & variance are:

a  b b  a 
2

  EX   and  V X 
2
 (4-7)
2 12

• Note that b2 - a2 = (b + a)(b - a)

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Example: Uniform Current

Let the continuous random variable X denote the current
measured in a thin copper wire in mA. Recall that the PDF is
F(x) = 0.05 for 0 ≤ x ≤ 20.
What is the probability that the current measurement is
between 5 and 10 mA?

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P  5  x  10    0.05dx  5  0.05  0.25
5

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Normal Distribution
• The most widely used distribution is the normal distribution,
also known as the Gaussian distribution.
• Random variation of many physical measurements are
normally distributed.
• The location and spread of the normal are independently
determined by mean (μ) and standard deviation (σ).

Figure Normal probability density functions with different  and 2

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Normal Probability Density Function

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Example: Normal Application

Assume that the current measurements in a strip of wire follows a normal
distribution with a mean of 10 mA & a variance of 4 mA2. Let X denote
the current in mA.
What is the probability that a measurement exceeds 13 mA?

The answer requires the integration of normal probability mass function

(see previous slide) over 13 and infinity.

AUC=P(x>13)

Figure Graphical probability that X > 13 for a normal random variable with μ = 10
and σ2 = 4.
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Standard Normal Distribution

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:
Φ(z) = P(Z ≤ z) = F(z)
Values are found in Appendix Table III and by using Excel and
Minitab.

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Example: Standard Normal Distribution

Assume Z is a standard normal random variable.

Find P(Z ≤ 1.50). Answer: 0.93319

Figure Standard normal PDF

Find P(Z ≤ 1.53): Answer: 0.93699

Find P(Z ≤ 0.02): Answer: 0.50398

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Example: Standard Normal Exercises

1. P(Z > 1.26) = 0.1038

2. P(Z < -0.86) = 0.195
3. P(Z > -1.37) = 0.915
4. P(-1.25 < 0.37) =
0.5387
5. P(Z ≤ -4.6) ≈ 0
6. Find z for P(Z ≤ z) =
0.05, z = -1.645
7. Find z for (-z < Z < z) =
0.99, z = 2.58

Figure Graphical displays for standard normal distributions.

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Standardizing

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Example: Normally Distributed Current-1

From a previous example  9  10 x  10 11  10

with μ = 10 and σ = 2 mA, P  9  X  11  P  2  2  2 
what is the probability  P  0.5  z  0.5 
that the current
 P  z  0.5   P  z  0.5 
measurement is between
 0.69146  0.30854  0.38292
9 and 11 mA?
Using Excel
Answer: 0.38292 = NORMDIST(11,10,2,TRUE) - NORMDIST(9,10,2,TRUE)

Figure Standardizing a normal random variable. 25

Example: Normally Distributed Current-2

Determine the value for  X  10 x  10 
P  X  x  P   
which the probability  2 2 
that a current  x  10 
 PZ    0.98
measurement is below  2 
this value is 0.98. z  2.05 is the closest value.
Answer: z  2  2.05   10  14.1 mA.
Using Excel
14.107 = NORMINV(0.98,10,2)

Figure Determining the value of x to meet a specified probability.

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Example: Shaft Diameter-1

The diameter of the shaft is normally distributed with μ = 0.2508
inch and σ = 0.0005 inch. The specifications on the shaft are
0.2500 ± 0.0015 inch. What proportion of shafts conform to
the specifications? Let X denote the shaft diameter in inches.
Answer: P  0.2485  X  0.2515
 0.2485  0.2508 0.2515  0.2508 
 P Z 
 0.0005 0.0005 
 P  4.6  Z  1.4 
 P  Z  1.4   P  Z  4.6 
 0.91924  0.0000  0.91924

Using Excel
0.91924 = NORMDIST(0.2515, 0.2508, 0.0005, TRUE) - NORMDIST(0.2485, 0.2508, 0.0005, TRUE)

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Example: Shaft Diameter-2

Most of the nonconforming shafts are too large, because the
process mean is near the upper specification limit. If the
process is centered so that the process mean is equal to the
target value, what proportion of the shafts will now conform?
Answer: P  0.2485  X  0.2515 
 0.2485  0.2500 0.2515  0.2500 
 P Z 
 0.0005 0.0005 
 P  3  Z  3
 P  Z  3  P  Z  3
 0.99865  0.00135  0.99730
Using Excel
0.99730 = NORMDIST(0.2515, 0.25, 0.0005, TRUE) - NORMDIST(0.2485, 0.25, 0.0005, TRUE)

By centering the process, the yield increased from 91.924% to

99.730%, an increase of 7.806%
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Empirical Rule: just to understand the normal distr.

P(μ – σ < X < μ + σ) = 0.6827

P(μ – 2σ < X < μ + 2σ) = 0.9545
P(μ – 3σ < X < μ + 3σ) = 0.9973

Figure Probabilities associated with a normal distribution.

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Covariance and Correlation

• Covariance and correlation coefficient as the degree of linear

relationship between two variables.
• Covariance between variables X and Y:
For population: XY
For samples: sXY

• Correlation between variables X and Y:

For population: rXY
For samples: rXY

• Correlation is the normalized version of covariance.

• Scatter plots: The data of two variables are plotted one
against to another.
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Correlation Coefficient Matrix

EXAMPLE: Three different temperature readings in a process

Covariance btw T1 and T2: s12 = 0.895

Correlation btw T1 and T2: r12 = 0.930

T1 T2 T3
T1 1
T2 0.9302 1
T3 0.2060 0.1669 1

Covariance btw T1 and T3: s13 = 0.634

Correlation btw T1 and T3: r13 = 0.203
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Covariance and Correlation

Definition

Covariance is used to explain how random variables vary together.

So covariance is a measure of linear relationship between two random variables.
For any two random variables X and Y

-∞ < XY < ∞

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Covariance and Correlation

• Correlation coefficient explains the relationship between two random variables, too.
• Different than covariance, correlation coefficient changes between -1and +1.
• For this reason, correlation coefficient can be more practical measure to tell the
relationship among variables.
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Bivariate Normal Distribution

The surface and contour plots of different bivariate normal distributions.

Figure. Examples of bivariate normal distributions.

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Bivariate Normal Distribution

Definition

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Bivariate Normal Distribution

• Covariance and correlation coefficient
• X is a data matrix with dimension 42 x 7
• In Matlab, covariance and correlation matrices can be determined
>> load x.dat
>> x(1:10,1:5) %AS ONE PART OF THE DATA, THE FIRST 10 READINGS FOR 5 VARIABLES
8 98 7 2 12
7 107 4 3 9
7 103 4 3 5
10 88 5 2 8
6 91 4 2 8
8 90 5 2 12
9 84 7 4 12
5 72 6 4 21
7 82 5 1 11
8 64 5 2 13

>> cov(x(:,3),x(:,5)) %COV BETWEEN VAR3 AND VAR5

1.5221 2.3148
-- This is Covariance matrix, a symmetric matrix
2.3148 11.3635

>> corrcoef(x(:,3),x(:,5)) %CORR COEFF BETWEEN VAR3 AND VAR5

1.0000 0.5566 -- Correlation
0.5566 1.0000 coefficient matrix 37

Bivariate Normal Distribution

𝑆11 𝑆12
Sample Covariance Matrix = 𝑆 = where S12 = S21
𝑆21 𝑆22

1 𝑟12
Sample Correlation Coefficient Matrix = r = where r12 = r21
𝑟21 1

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Bivariate Normal Distribution

Example

Figure
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