Contents

CHAPTER III
CONTINUOUS RANDOM VARIABLES AND
PROBABILITY DISTRIBUTIONS

Department of Foundation Year

Institute of Technology of Cambodia

LIN Mongkolsery
[email protected]

2021-2022

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 Contents

Contents

1 Probability Density Functions

2 Cumulative Distribution Functions and Expected Values

3 The Uniform Distribution

4 The Normal Distribution

5 The Exponential and Gamma Distributions

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 Probability Density Functions

Probability Distributions for Continuous Variables

Definition 1
Let X be a continuous rv. Then a probability distribution or probability
density function (pdf) of X is a function f (x) such that for any two
numbers a, b with a ≤ b,
Z b
P(a ≤ X ≤ b) = f (x)dx.
a

Property
For f (x) to be a legitimate pdf, it must satisfy the following two
conditions:
1 f (x) ≥ 0 for all x
Z ∞
2 f (x)dx = 1.
−∞

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 Probability Density Functions

Probability Distributions for Continuous Variables

Example 2
Suppose that X is a continuous rv whose pdf is given by
(
C (4x − 2x 2 ), 0 < x < 2,
f (x) =
0, otherwise.

(a) Determine the value of C ?

(b) Find P(X > 1).

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 Probability Density Functions

Probability Distributions for Continuous Variables

Example 3
The current in a certain circuit as measured by an ammeter is a
continuous random variable X with the following density function:
(
0.075x + 0.2, 3 ≤ x ≤ 5,
f (x) =
0, otherwise.

(a) Graph the pdf and verify that the total area under the density curve is
indeed 1.
(b) Calculate P(X ≤ 4). How does this probability compare to
P(X < 4)?
(c) Calculate P(3.5 ≤ X ≤ 4.5) and P(4.5 < X ).

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 Cumulative Distribution Functions and Expected Values

The Cumulative Distribution Function

Definition 4
The cumulative distribution function (cdf) F (x) for a continuous rv X
is defined for every number x by
Z x
F (x) = P(X ≤ x) = f (y )dy .
−∞

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 Cumulative Distribution Functions and Expected Values

The Cumulative Distribution Function

For each x, F (x) is the area under the density curve to the left of x. This
is illustrated in figure above, where F (x) increases smoothly as x increases.

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 Cumulative Distribution Functions and Expected Values

The Cumulative Distribution Function

Theorem 1
Let X be a continuous rv with pdf f (x) and cdf F (x). Then for any
number a,
P(X > a) = 1 − F (a)
and for any two numbers a and b with a < b,

P(a ≤ x ≤ b) = F (b) − F (a)

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 Cumulative Distribution Functions and Expected Values

The Cumulative Distribution Function

Example 5
Suppose the pdf f (x) of the magnitude X of a dynamic load on a bridge
(in newtons) is given by

 1 + 3 x, 0 ≤ x ≤ 2,
f (x) = 8 8
0, otherwise.

Find the cumulative distribution function.

Theorem 2
If X is a continuous rv with pdf f (x) and cdf F (x), then

F 0 (x) = f (x)

provided that F 0 (x) exists.

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 Cumulative Distribution Functions and Expected Values

The Cumulative Distribution Function

Definition 6
Let p be a number between 0 and 1. The (100p)th percentile of the
distribution of a continuous rv X , denoted by η(p), is defined by
Z η(p)
p = F (η(p)) = f (y )dy
−∞

Definition 7
The median of a continuous distribution, denoted by µ
e, is the 50th
percentile, so µ
e satisfies 0.5 = F (e
µ). That is,
Z µ
1 e
= F (e
µ) = f (y )dy .
2 −∞

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 Cumulative Distribution Functions and Expected Values

The Cumulative Distribution Function

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 Cumulative Distribution Functions and Expected Values

Expected Values

Definition 8
Let X be a continuous rv with pdf f (x).
1 The expected or mean value of X is
Z ∞
µX = E (X ) = xf (x)dx.
−∞

2 The variance of X is
Z +∞
2
V (X ) = E [(X − µ) ] = (x − µ)2 f (x)dx
−∞

3 The standard deviation of X is

p
σX = V (X )

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 Cumulative Distribution Functions and Expected Values

Expected Values

Definition 9
The moment-generating function (mgf) of a continuous rv X , if it
exists, is
  Z +∞
M(t) = E e tX = e tx f (x)dx
−∞

Theorem 3
If X is a continuous rv with pdf f (x) and h(X ) is any function of X , then
Z ∞
E [h(X )] = h(x).f (x)dx
−∞

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 Cumulative Distribution Functions and Expected Values

Expected Values

Theorem 4
Let X is a continuous rv. Then
1 E (aX + b) = aE (X ) + b
2 V (x) = E (X 2 ) − E 2 (X )
3 V (aX + b) = a2 V (X )
4 σaX +b = |a|σX
5 M (n) (t) = E [X n e tX ]
6 E [X ] = M 0 (0)
7 V (X ) = M 00 (0) − [M 0 (0)]2

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 Cumulative Distribution Functions and Expected Values

Example 10
The weekly demand for propane gas (in 1000s of gallons) from a particular
facility is an rv X with pdf
  
2 1 − 1 , 1 ≤ x ≤ 2,
f (x) = x2
0, otherwise.


(a) Compute the cdf of X .

(b) Obtain an expression for the (100p)th percentile. What is the value
of µ
e?
(c) Compute E (X ) and V (X ).
(d) If 1.5 thousand gallons are in stock at the beginning of the week and
no new supply is due in during the week, how much of the 1.5
thousand gallons is expected to be left at the end of the week?

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 The Uniform Distribution

The Uniform Distribution

Definition 11
A continuous rv X is said to have a uniform distribution on the interval
[a, b] if the pdf of X is

 1 , a ≤ x ≤ b,
f (x) = b − a
0, otherwise

In this case, we write X ∼ U(a, b).

Theorem 5
If X ∼ U(a, b), then
 tb ta
a+b (b − a)2  e − e , t 6= 0
E (X ) = , V (X ) = , M(t) = t(b − a)
2 12
1, t=0

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 The Uniform Distribution

The Uniform Distribution

Example 12
Buses arrive at a specified stop at 15-minute intervals starting at 7 A.M.
That is, they arrive at 7, 7 : 15, 7 : 30, 7 : 45, and so on. If a passenger
arrives at the stop at a time that is uniformly distributed between 7 and
7 : 30, find the probability that he waits
(a) less than 5 minutes for a bus;
(b) more than 10 minutes for a bus.

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 The Normal Distribution

The Normal Distribution

Definition 13
A continuous rv X is said to have a normal distribution with parameters
µ and σ (or µ and σ 2 ), where −∞ < µ < ∞ and 0 < σ, if the pdf of X is

1 2 2
f (x) = √ e −(x−µ) /(2σ ) , −∞ < x < ∞
2πσ

In this case, we write X ∼ N(µ, σ 2 ).

Theorem 6
If X ∼ N(µ, σ 2 ), then

σ2t 2
 
2
E (X ) = µ, V (X ) = σ , M(t) = exp µt + .
2

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 The Normal Distribution

The Standard Normal Distribution

Definition 14
The normal distribution with parameter values µ = 0 and σ = 1 is called
the standard normal distribution. A random variable having a standard
normal distribution is called a standard normal random variable and will
be denoted by Z . The pdf of Z ∼ N(0, 1) is

1 2
f (z) = √ e −z /2 , −∞ < z < ∞
2π
The graph of f (z) is called the standard normal (or z) curve. Its inflection
points are at 1 and −1. The cdf of Z is
Z z
Φ(z) = P(Z ≤ z) = f (y )dy .
−∞

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 The Normal Distribution

Nonstandard Normal Distributions

Theorem 7
X −µ
Let X ∼ N(µ, σ 2 ). If Z = , then Z ∼ N(0, 1). Thus
σ
 
a−µ b−µ
P(a ≤ X ≤ b) = P ≤Z ≤
σ σ
   
b−µ a−µ
=Φ −Φ
σ σ
 
a−µ
P(X ≤ a) = Φ
σ
 
b−µ
P(X ≥ b) = 1 − Φ
σ

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 The Normal Distribution

Nonstandard Normal Distributions

Example 15
Determine the value of the constant c that makes the probability
statement correct:
(a) Φ(c) = .9838
(b) P(c ≤ Z ≤ 1) = .291
(c) P(c ≤ Z ) = .121
(d) P(−c ≤ Z ≤ c) = .668
(e) P(c ≤ |Z |) = .016

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 The Normal Distribution

Nonstandard Normal Distributions

Example 16
Scores on an examination are assumed to be normally distributed with
mean 65 and variance 36.
1 What is the probability that a person taking the examination scores
higher than 70?
2 Suppose that students scoring in the top 10% of this distribution are
to receive an A grade. What is the minimum score a student must
achieve to earn an A grade?
3 What must be the cutoff point for passing the examination if the
examiner wants only the top 75% of all scores to be passing?
4 Approximately what proportion of students have scores 5 or more
points above the score that cuts off the lowest 15%?
5 If it is known that a student’s score exceeds 72, what is the
probability that his or her score exceeds 84?
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 The Normal Distribution

Approximating the Binomial Distribution

Theorem 8
Let X be a binomial rv based on n trials with success probability p. Then
if the binomial probability histogram is not too skewed, X has
√
approximately a normal distribution with µ = np and σ = npq. In
particular, for x =a possible value of X ,
 
area of the normal curve
P(X ≤ x) = B(x; n, p) ≈
to the left of x + 0.5
 
x + 0.5 − np
=Φ √
npq
In practice, the approximation is adequate provided that both np ≥ 10 and
nq ≥ 10, since there is then enough symmetry in the underlying binomial
distribution. B(x; n, p) is the cdf of Bin(n, p).

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 The Normal Distribution

Approximating the Binomial Distribution

Example 17
Suppose only 75% of all drivers in a certain state regularly wear a seat belt.
A random sample of 500 drivers is selected. What is the probability that
(a) Between 360 and 400 (inclusive) of the drivers in the sample regularly
wear a seat belt?
(b) Fewer than 400 of those in the sample regularly wear a seat belt?

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 The Exponential and Gamma Distributions

The Exponential Distribution

Definition 18
A continuous rv X is said to have an exponential distribution
(X ∼ Exp(λ)) with parameter λ(λ > 0) if the pdf of X is

 1 e − λx , x ≥ 0,
f (x) = λ
0, otherwise

Theorem 9
If X ∼ Exp(λ), then
(
0, x < 0,
1 F (x) = x
1 − e− λ , x ≥ 0.
1 1
2 E (X ) = λ, V (X ) = λ2 , M(t) = ,t < .
1 − λt λ
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 The Exponential and Gamma Distributions

The Exponential Distribution

Example 19
Suppose that the length of a phone call in minutes is an exponential
random variable with parameter λ = 10. If someone arrives immediately
ahead of you at a public telephone booth, find the probability that you will
have to wait
(a) more than 10 minutes;
(b) between 10 and 20 minutes.

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 The Exponential and Gamma Distributions

The Gamma Function

Definition 20
The gamma function and the incomplete gamma function are defined
respectively by Z ∞
Γ(α) = t α−1 e −t dt, α > 0.
0
Z x
Γ(x, α) = t α−1 e −t dt, α > 0, x > 0.
0

Theorem 10
1 Γ(α) = (α − 1)Γ(α − 1), α > 1.
2 Γ(n) = (n − 1)!, n ∈ N.
√
 
1
3 Γ = π
2

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 The Exponential and Gamma Distributions

The Gamma Distribution

Definition 21
A continuous rv X is said to have a gamma distribution with parameters
α > 0 and β > 0 if the pdf of X is

 1 x α−1 e −x/β , x ≥ 0


f (x) = β α Γ(α)
0, otherwise


In this case, we write X ∼ Gam(α, β). If β = 1, we call standard gamma

distribution.

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 The Exponential and Gamma Distributions

The Gamma Distribution

Theorem 11
If X ∼ Gam(α, β), then

1 1
E (X ) = αβ, V (X ) = αβ 2 , M(t) = , t< .
(1 − βt)α β

Theorem 12
Let X ∼ Gam(α, β). Then for any x > 0, the cdf of X is given by
 
x
P(X ≤ x) = F (x) = Γ ,α
β

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 The Exponential and Gamma Distributions

The Chi-squared Distribution

Definition 22
Let ν be a positive integer. Then a random variable X is said to have a
chi-squared distribution with parameter ν, we write X ∼ χ2 (ν), if the
ν
pdf of X is the gamma density with α = and β = 2.
2
 1 ν x
 ν
ν
x 2 −1 e − 2 , x ≥ 0,
f (x) = 2 Γ( 2 )
2

0, x < 0.


The parameter ν is called the number of degree of freedom of X .

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 The Exponential and Gamma Distributions

The Chi-squared Distribution

Theorem 13
If X ∼ χ2 (ν), then
ν 1
E (X ) = ν, V (X ) = 2ν, M(t) = (1 − 2t)− 2 , t< .
2

Theorem 14
If the random variable X ∼ N(µ, σ 2 ), σ 2 > 0, then the random variable
(X − µ)2
V = = Z 2 ∼ χ2 (1).
σ2

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 The Exponential and Gamma Distributions

Beta Distribution

Definition 23
The beta function is defined by
Z 1
Γ(α)Γ(β)
B(α, β) = x α−1 (1 − x)β−1 dx = , α, β > 0
0 Γ(α + β)

where Γ is the gamma function.

Definition 24
The continuous rv X has a beta distribution(X ∼ Bet(α, β)) with
parameters α > 0 and β > 0 if its density function is given by

 1 x α−1 (1 − x)β−1 , 0 < x < 1



f (x) = B(α, β)
0, otherwise


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 The Exponential and Gamma Distributions

Beta Distribution

Theorem 15
If X ∼ Bet(α, β), then

α αβ
E (X ) = and V (X ) =
α+β (α + β)2 (α + β + 1)

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 The Exponential and Gamma Distributions

Lognormal Distribution

Definition 25
The continuous rv X has a lognormal distribution if the random variable
Y = ln(X ) has a normal distribution with mean µ and standard deviation
σ. The resulting density function of X is

 √ 1 e − 2σ1 2 [ln(x)−µ]2 , x ≥ 0


f (x; µ, σ) = 2πσx
0, x <0


We write X ∼ Log(µ, σ).

Theorem 16
If X ∼ Log(µ, σ), then
2 /2 2 2
E (X ) = e µ+σ and V (X ) = e 2µ+σ (e σ − 1)
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 The Exponential and Gamma Distributions

Weibull Distribution

Definition 26
The continuous rv X has a Weibull distribution, with parameters α and
β, if its density function is given by
( β
αβx β−1 e −αx , x > 0
f (x; α, β) = , α > 0, β > 0.
0, otherwise.

We write X ∼ Wei(α, β).

Theorem 17
If X ∼ Wei(α, β), then
(   )
1 2
    
−1/β 1 −2/β 2
E (X ) = α Γ 1+ , V (X ) = α Γ 1+ − Γ 1+
β β β

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