Lecture 8.

Chapter 8
Continuous probability
distributions
8.1 Probability density function
8.2 Uniform distribution
8.3 Normal distribution

Introduction
• A continuous random variable is one that can
assume an uncountable number of values in an
interval [a,b].

• Because there is an infinite number of values xi

and all individual probabilities corresponding to
those should sum to 1 i.e. 𝒑(𝒙𝒊) = 𝟏 , the
probability of each individual value is
virtually 0. Thus, we can determine the
probability of a range of values only.

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Introduction
• Example 4.1, page 85: An electricity provider
wanted to acquire information about the monthly
electricity bills of new subscribers in the first month
after signing with the company. The company’s
marketing manager conducted a survey of 200 new
residential subscribers wherein the first month’s bills
were recorded.
• Denote X – the monthly bill of a new subscriber
randomly chosen from the population of all new
subscribers. Then we can consider X as a continuous
random variable that can take on indefinitely many
values from interval [50, 500]. X is also considered a
continuous random index.

• Example 4.1 (contd.): We may assume that P(X=

140.40)  0, meanwhile P(100  X  150)  0.12 (in fact P
(X= 140.40) = 1/200 = 0.005 and relative frequency for
the class $100 to $150 is 12%). Hence probability
density f(x) for all values x in class (10, 150] is about
0.12/50  0.0024.

Interval Relative Frequency Probability Density

[50, 100] 0.04 0.0008
(100, 150] 0.12 0.0024
(150, 200] 0.18 0.0036
(200, 250] 0.3 0.006
(250, 300] 0.14 0.0028
(300, 350] 0.08 0.0016
(350, 400] 0.05 0.001
(400, 450] 0.04 0.0008
(450, 500] 0.05 0.001
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• Example 4.1 (contd.): The relative frequency
histogram and the probability density histogram
when the class width is 50.
Relative Frequency Probabilty Density
0.35
0.007
0.3
0.006
0.25
0.005
0.2
0.004
0.15
0.003
0.1
0.002
0.05
0.001
0 0
100 150 200 250 300 350 400 450 500 100 150 200 250 300 350 400 450 500

• Remark 1: f(x)  0 for all possible values x of X.

• Remark 2: the total area of shaded rectangles
(in the right histogram) is 1.
5

• Example 4.1 (contd.): The relative frequency

histogram and the probability density histogram when
the class width is 50.
Relative Frequency Probabilty Density
0.35
0.007
0.3
0.006
0.25
0.005
0.2
0.004
0.15 0.003
0.1 0.002

0.05 0.001

0 0
100 150 200 250 300 350 400 450 500 100 150 200 250 300 350 400 450 500

• Remark 3: The probability that X takes a value in [a,

b]= the total area of all shaded rectangles with bottom
sides in [a, b]. For example, P(150 X 300) =
50.0036+50.006+50.0028=0.62 (the red area).
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8.1 Probability Density Function
A function f(x) is called a probability density
function, over the range c ≤ x ≤ d, if it meets the
following requirements:

1) f(x) ≥ 0 for all x between c and d (see again

remark 1 at the previous slides), and

f(x)

area=1

c d x

2) The total area under the curve between c and d is

1.0 (see again remark 2 at the previous slides).
7

Probability Density Function

3) The probability that X falls between a and b
(X takes a value in [a, b]) is found by
calculating the area under the graph of f(x)
between a and b.
Shaded area is P(a ≤ X ≤ b) (see again remark
3 at the previous slides).

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8.2 Uniform Distribution
A random variable X is said to be uniformly
distributed in the interval [a, b] if its density function
is constant and calculated by
1
f(x)  a  x  b.
f(x) ba

a b x
area = width x height = (b – a) x =1
The expected value and the variance of the uniform
distribution is ab (b  a)2
E(X)  V(X) 
2 12

Example
The time elapsing between the placement of an
order and the delivery time is uniformly distributed
between 100 and 180 minutes.
 Define the graph and the density function.
 What proportion of orders takes between 2 and
2.5 hours to be delivered? between 2.5 hours to
3 hours?
f(x) = 1/80 100  X  180
P(120  X  150) = (150-120)(1/80) = 0.375 = 37.5%
P(150  X  180) = (180-150)(1/80) = 0.375 = 37.5%

1/80

x
100 120 150 180 10

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8.3 Normal Distribution
This is the most important
continuous distribution.
1. Many random variables can be
properly modeled as normally
distributed.
2. Many distributions can be
approximated by a normal
distribution.
3. Normal distribution is the
cornerstone distribution of
statistical inference.
4. The probability density
function of a normally m
distributed random variable
has a bell shape. 11

Example: Binomial distribution can be approximated

by a normal distribution.
We consider a binomial distribution with n = 20, p =
0.3. Then: 𝜇 = 𝑛𝑝 = 6 ; 𝜎 2 = 𝑛𝑝 1 − 𝑝 = 4.2 𝑎𝑛𝑑 𝜎 = 2.05.
Example 7.12, page 286
Records show 30% of customers in a shoe store make
payments using a credit card. This morning 20
customers purchased shoes. Answer the following
questions:
1. What is the expected number of customers who
used a credit card?
2. What is the standard deviation of the number of
customers who used a credit card?

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Solution
1. E(X) = np = 20(0.30) = 6
2. V(X) = np(1-p) = 20(0.30)(0.70) = 4.2
SD(X) = 𝟒. 𝟐 = 2.04
Binomial probability distribution with n = 20, p = 0.3
can be approximated by the normal distribution with E(X) = 6 and V(X) = 4.2
0.2

0.18

0.16

0.14

0.12

0.1

0.08

0.06

0.04

0.02

0
0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20

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Normal Distribution (Contd.)

• The normal distribution is
fully defined by two
parameters:
– its mean m
– its variance s2

• If a random variable X is
normally distributed:
– Mean = E(X) = m
– Variance = V(X) = s2
then the probability m
density function can be
Normal distribution is bell-shaped,
calculated as follows:
and symmetrical around m
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 Normal Distribution
• A random variable X with mean m and variance s2
is normally distributed if its probability density
function is given by

1 2
f(x)  e  (1/2)[(x  m )/s ]   x  
s 2
where m is the mean, s is the standard deviation,
  3.14159... and e  2.71828...

• Unlike the range of the uniform distribution (a ≤

x ≤ b), normal distributions range from minus
infinity to plus infinity.
15

How Does the Expected Value

Affect the Location of f(x)?

m = 10 m = 11 m = 12

Normal distributions with the same variance but

different means have the same shape but increasing
the mean shifts the curve to the right.

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How Does the Standard Deviation
Affect the Location of f(x)?

s=2
s=3
s=4

Normal distributions with the same mean but

different standard deviations have the same
symmetrical axis but increasing the standard
deviations flattens the curve.
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Calculating Normal Probabilities

We can use the following formula to convert any normal
random variable X (with mean m and standard deviation
s) to a standard normal random variable Z (with
mean =0 and standard deviation = 1).

So, we need only one table,

Table 3 in Appendix B (or table
Some advice: always 8.1 page 310), the standard
draw a picture! normal probability Z table.
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Table 8.1: Standard Normal Distribution
• This table (page 310) is similar to the ones we
used for the binomial distribution. That is, this
table lists cumulative probabilities P(Z < z) for
values of z ranging from −3.09 to +3.09.
• Example: Suppose we want to determine the
following probability: P(Z < −1.52).
- We first find −1.5 in the left margin.
- We then move along this row until we find
the probability under the .02 column heading.
- Thus, P(Z < −1.52) = 0.0643.

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Table 8.1, page 310

P(Z < −1.52) = 0.0643
We can use also the excel function
P(Z <−1.52) = NORMSDIST(-1.52)= 0.06426

0.0643

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Table 8.1, page 310
• We can also determine the probability that the
standard normal random variable is greater than
some value of z.

• Applying the
complement 0.9641
rule we get
P(Z > 1.80) =
1 – P(Z<1.80)
= 1 – 0.9641
= 0.0359

1- 0.9641 = 0.0359

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Table 8.1, page 310

We can also easily determine the probability that a
standard normal random variable lies between 2 values.
For example, we find the probability
P(−1.30 < Z < 2.10)
By finding the 2 cumulative probabilities and calculating
their difference. That is
P(Z < −1.30) = 0.0968
And P(Z < 2.10) = 0.9821
Hence,
P(−1.30 <Z< 2.10) = P(Z<2.10) − P(Z< −1.30)
= 0.9821 −0.0968 = 0.8853

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Table 8.1, page 310

0.9821

0.0968

0.8853=0.9821-0.0968

See also example 8.2, page 311

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Table 8.1, page 310

Notice that the largest value of z in the table is
3.09, and that P( Z < 3.09) = 0.9990. This means
that

P(Z > 3.09) = 1 − 0.9990 = 0.0010

However, because the table lists no values beyond

3.09, we approximate any area beyond 3.10 as 0.
That is,

P(Z > 3.10) = P(Z < −3.10) ≈ 0

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Example

• Suppose that at a country town petrol station, the

daily demand for regular petrol is normally
distributed with a mean of 1 000 liters and a
standard deviation of 100 liters.

• The station manager has just opened the station

for business and notes that there is exactly 1 100
liters of regular petrol in storage.

• The next delivery is scheduled later today at the

close of business. The manager would like to know
the probability that he will have enough regular
petrol to satisfy today’s demands.
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8.25

Solution
The demand for petrol is normally distributed with
mean µ = 1,000 and standard deviation σ = 100. We
want to find the probability P(X < 1,100).
Graphically we want to calculate the shaded area.
The first step is to
standardize X. However,
X if we perform any
operations on X we must
perform the same
operations on 1,100.
Thus, P(X < 1,100) =
 X  m 1,100  1,000 
P  
 s 100 
= P(Z < 1.00) = 0.8413.
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Example 8.4, page 314
• The rate of return X on a proposed investment is
approximately normally distributed with m = 30% and
s = 10%.
• We convert X to Z using formula Z = (X-m)/s.
𝑋−0.3 0.55−0.3
• P(X > 55%) = 𝑃 0.1
> 0.1
=𝑃 𝑍 > 2.5
= 1– P (Z < 2.5) = 1– 0.9938 = 0.0062.
𝑋−0.3 0.22−0.3
• P(X < 22%) = 𝑃 0.1
< 0.1
=𝑃 𝑍 < −0.8 = 0.2119.
(We can also use the excel function P(X < 22%) =
NORM.DIST(0.22, 0.3, 0.1,TRUE) = 0.211855)
𝑋−0.3 0.0−0.3
• P(X < 0%) = 𝑃 0.1
< 0.1
=𝑃 𝑍 < −3.0 = 0.0013
(The probability / chance of losing money)
27

8.27

Finding Values of Z
Often we’re asked to find some value of Z for a given
probability, i.e. given an area (A) of the right tail
under the curve, find the corresponding value of z (zA)
on the horizontal axis that gives P(Z > zA) = A
What value of z corresponds to
an area under the curve of
2.5%? That is, what is z.025 ?
(1 – A) = (1–.025) = .9750
If you do a ‘reverse look-up’
on Table 8.1 for .9750, you will
get the corresponding zA =
1.96. Since P(z > 1.96) =
.025, we say: z.025 = 1.96
(use the excel function
NORMSINV(0.975)) 28

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 Appendix 8.A. Normal Approximation
to the Binomial Distribution
Example, page 336: The binomially distributed random variable
X with n = 20, p = 0.5 can be approximated by a normally
distributed random variable Y with exactly the same mean,
variance and standard deviation:
𝜇 = 𝑛𝑝 = 10 ; 𝜎 2 = 𝑛𝑝 1 − 𝑝 = 5 𝑎𝑛𝑑 𝜎 = 2.236.
Example 7.12 revised (p = 0.5), pages 335 - 337
Records show 50% of customers in a shoe store make payments
using a credit card. This morning 20 customers purchased shoes.
X the number of customers using a credit card. Z = (Y-m)/s
1/ P(X=10)  P(9.5<Y<10.5) = P(-0.22<Z<0.22)= 0.1742
2/ P(X  8) = P(Y  8.5) = P(Z <-0.67) = 0.2514
3/ P(X  14)= P(Y  13.5) =
P(Z1.56) = 1 –P(Z<1.56)= 1 – 0.9464 = 0.0594
4/ P(9X13)= P(8.5Y13.5)=P(-0.67Z1.56)=
= 0.9464-0.2514 = 0.6950 29

Summary: page 333

Home assignment:

- Section 8.1&8.2 Exercises page 306: 8.1, 8.3,

8.4, 8.6

- Section 8.3 Exercises pages 324 - 327: 8.9, 8.10,

8.11, 8.16, 8.17, 8.37

- Appendix 8.A Exercises page 339: A8.1, A8.3

- Additional reading (Optional): 8.4 Exponential

distribution

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