Continuous distributions Ch 05: 1

Five important continuous distributions:

1. uniform distribution (continuous)

2. Normal distribution
3. c2 –distribution [“Chi-square”]
4. t-distribution
5. F-distribution

Fall 2023
A reminder Ch 05: 2

Definition:
Let X: S → R be a continuous random variable.

A density function for X, f (x), is defined by:

1. f(x)  0 for all x

f (x) P(a<X<b)

2.
−
 f ( x) dx = 1 b

3. P(a  X  b) =  f ( x) dx
a a b x

Fall 2023
Uniform distribution Ch 05: 3

Definition

Definition: f
Let X be a random variable. If the (x)
density function is given by 1
1 B− A
f ( x) = A x B
B− A A B x
then the distribution of X is the
(continuous) uniform distribution on
the interval [A,B].

Fall 2023
Uniform distribution Ch 05: 4

Mean & variance

Theorem:
Let X be uniformly distributed on the interval [A,B].
Then we have:
A+ B
• mean of X: E( X ) =
2

( B − A) 2
• variance of X: Var ( X ) =
12

Fall 2023
Uniform distribution Ch 05: 5

Example
Suppose that a large conference room at a certain company can be reserved
for no more than 4 hours. In fact, it can be assumed that the length X of a
conference has a uniform distribution on the interval [0, 4].
(a) What is the probability density function?
(b) What is the probability that any given conference lasts at least 3
hours?

Solution
a) The appropriate density function for the uniformly distributed random variable
X in this situation is

Fall 2023
Normal distribution Ch 05: 6

Definition:
Let X be a continuous random variable.
If the density function is given by

then the distribution of X is called the normal distribution

with parameters m and s2 (known).
1 −
1
( x − m )2
f ( x) = 2s
−  x  
2
e
2s 2

My notation:
The book’s: X ~ N ( m , s 2 ) for density function
n( x; m , s )

Fall 2023
Normal distribution Ch 05: 7

Examples
The normal distribution is without doubt the most important
continuous distribution, since many phenomena are well
described by it.
IQ among AAU students Height among AAU students
0.04 0.08

0.03 0.06

0.02 0.04

0.01 0.02

0 0
90 100 110 120 130 140 150 160 170 180 190 200

Plotting in Matlab:
>> x=90:1:150; y=normpdf(x,120,10); plot(x,y)
m s
Fall 2023
Normal distribution Ch 05: 8

Mean & variance

Theorem:
If X ~ N(m,s2) then
• mean of X: E( X ) = m
• variance of X: Var ( X ) = s 2

Density function: 0.4

0.3
N(0,1)
0.2
N(1,1)
0.1 N(0,2)
0.0

-4 -2 0 2 4

Fall 2023
Normal distribution Ch 05: 9

Probability of the random variable X assumes a value

between x = x and x = x
1 2

Fall 2023
Normal distribution Ch 05: 10

Standard normal distribution Z ~ N(0,1)

Difficult in solving integrals of and need of normal density functions the
tabulation.
Thus, any normal random variable X can be transformed into a new set of
observations of a normal random variable Z with mean 0 and variance 1 by

Density function: 1 − 12 z 2
f ( z) = e
2
0.4

0.3

0.2

0.1

0.0

-3 -2 -1 0 1 2 3

Fall 2023
 Ch 05: 11

Distribution function:
z
1 − 12 z 2
F ( z ) = P( Z  z ) = 
− 2
e dx

(see Table A.3)

2
1 − 12 z 2
P(−1  Z  2) =  e dz
−1 2

Notice!! Due to symmetry

P(Z  −z) = 1− P(Z  z)

Fall 2023
Normal distribution Ch 05: 12

Standard normal distribution

Standard normal distribution, N(0,1), is the only normal

distribution for which the distribution function is tabulated.

We typically have X~N(m,s2) where m  0 and s2  1.

Example: X ~ N(1,4) 0.4

0.3

What is P( X > 3 ) ? 0.2

0.1

0.0

-2 0 2 4

Fall 2023
Normal distribution Ch 05: 13

Standard normal distribution

Theorem: Standardise
X −m
2
If X ~ N(m,s ) then ~ N (0,1)
s
Example cont.: X ~ N(1,4). What is P(X >3) ?
X −1 3 −1
P( X > 3) = P( > ) = P( Z > 1) = 1 − P( Z  1) = 0.1587
2 2
0.4 0.4
Z ~ N(0,1)
Z ~ N(0,1)
0.3
X ~ N(1,4) 0.3

0.2 0.2
Equal areas = 0.1587
0.1 0.1

0.0 0.0

-2 0 2 4 -2 0 2 4

Fall 2023
Normal distribution Ch 05: 14

Standard normal distribution

0.4

0.3

0.2

0.1

0.0

-2 0 2 4

P(Z  1) = 0.8413  P( X > 3) = 1 − P(Z  1) = 1 − 0.8413 = 0.1587

Fall 2023
Normal distribution Ch 05: 15

Standard normal distribution

Example cont.: X ~ N(1,4). What is P(X >3) ?

P( X > 3) = 1 − P( X  3) = 0.1587

Solution in Matlab:
Cumulative distribution function
>> 1 – normcdf(3,1,2)
normcdf(x,m,s)
ans =
0.1587

Fall 2023
Normal distribution Ch 05: 16

Example

Using Table A.3 in the book

a) Area under the curve = P(Z >1.84) = 1- P(Z<1.84)

= 1 – 0.9671 = 0.0329

b) Area under the curve = P(-1.97<Z <0.86) =

P(Z<0.86) – P(Z<-1.97)= 0.8051 – 0.0244 = 0.7807

Fall 2023
 Ch 05: 17

Fall 2023
Normal distribution Ch 05: 18

Example

a) Area under the curve = P(Z >k) = 0.3015=1- P(Z<k)=

P(Z<k) = 1 – 0.3015 = 0.6985
Using Table A.3 in the book

k=0.52

Fall 2023
Normal distribution Ch 05: 19

Example

Using Table A.3,

Fall 2023
Normal distribution Ch 05: 20

Example
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.

Fall 2023
 Ch 05: 21

Example
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.
Solution:

First, transform X to Z distribution

Fall 2023
 Ch 05: 22

Example
A certain machine makes electrical resistors having a mean resistance
of 40 ohms and a standard deviation of 2 ohms. Assuming that the
resistance follows a normal distribution and can be measured to any
degree of accuracy, what percentage of resistors will have a
resistance exceeding 43 ohms?

Fall 2023
Using the Normal Curve in Reverse Ch 05: 23

Sometimes, we are required to find the value of x corresponding

to a specified probability. Using Table A3 and relation below,
we can find x

First, we find the value of z that correspond to desired probability

from table A3.
Second, using relation above we find x.

Fall 2023
Normal distribution Ch 05: 24

Example
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.

a) From Table A.3

we find P(Z < z) = 0.45, so the desired z value is −0.13. Hence, x = (6)(−0.13)
+ 40 = 39.22.
b) This time 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. From Table A.3, we find
P(Z < z) = 0.86, so the desired z value is 1.08 and
x = (6)(1.08) + 40 = 46.48.

Fall 2023
 Ch 05: 25

Fall 2023
Gamma Distribution Ch 05: 26

The continuous random variable X has a gamma

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

𝛼 is number of events in a given time period

1
•𝛽 is the mean and it equal to 𝜆 , where 𝜆 mean number of events per unit time in Poisson process.
• Used to model waiting times, survival times.

Fall 2023
Gamma Distribution Ch 05: 27

Example
Suppose that telephone calls arriving at a particular switchboard follow a
Gamma distribution 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. Denote by X the time in minutes
that transpires before 2 calls come. The required probability is given by

Using integration by part (𝑢 = 𝑥, 𝑑𝑣 = 𝑒 −5𝑥 )

1 1
−1 −1 −5𝑥
25 න 𝑥𝑒 −5𝑥 𝑑𝑥 = 25 𝑥𝑒 −5𝑥 − න 𝑒 1 𝑑𝑥
0 5 0 5
1
−1 −5𝑥 1 −5𝑥
= 25 𝑥𝑒 + 𝑒 = 0.96
5 25 0

Fall 2023
Exponential Distribution: Ch 05: 28

Exponential distribution:
•Describes the time between events in a Poisson process.
•Often used to model lifetimes of components or time between
arrivals of events.
•Its special case of Gamma distribution where 𝛼=1
•Probability density function

Fall 2023
Exponential Distribution: Ch 05: 29

Example
Suppose that a system contains a certain type of component whose time, in
years, to failure is given by T. The random variable T is modeled nicely by the
exponential distribution with mean time to failure β = 5. If 5 of these
components are installed in different systems, what is the probability that at least
2 are still functioning at the end of 8 years?
Solution:

Fall 2023
 Ch 05: 30

Fall 2023