Chapter 4: Continuous Random

Variables and Probability

Distributions

PROBABILITY & STATISTICS

Hanoi - 2025

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Chapter 4: Continuous Random
Variables and Probability Distributions
1 4.1 Continuous Random Variables
2 4.2 Probability Density Functions
3 4.3 Cumulative Distribution Functions
4 4.4 Mean and Variance of a Continuous Random Variable
5 4.5 Continuous Uniform Distribution
6 4.6 Normal Distribution
7 4.7 Normal Approximation to the Binomial and Poisson
Distributions
8 4.8 Exponential Distribution

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Chapter 4: Continuous Random
Variables and Probability Distributions
1 4.1 Continuous Random Variables
2 4.2 Probability Density Functions
3 4.3 Cumulative Distribution Functions
4 4.4 Mean and Variance of a Continuous Random Variable
5 4.5 Continuous Uniform Distribution
6 4.6 Normal Distribution
7 4.7 Normal Approximation to the Binomial and Poisson
Distributions
8 4.8 Exponential Distribution

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 Continuous Random Variables
A continuous random variable is a random variable with an
interval of real numbers for its range.

Example 1.
The time until a projectile returns to earth.
The outside diameter of a machined shaft.
The weight of an injection-molded plastic part.

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Chapter 4: Continuous Random
Variables and Probability Distributions
1 4.1 Continuous Random Variables
2 4.2 Probability Density Functions
3 4.3 Cumulative Distribution Functions
4 4.4 Mean and Variance of a Continuous Random Variable
5 4.5 Continuous Uniform Distribution
6 4.6 Normal Distribution
7 4.7 Normal Approximation to the Binomial and Poisson
Distributions
8 4.8 Exponential Distribution

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 Probability Density Function
f (x) is the probability density function of a continuous random
variable X if
(1) f (x) ≥ 0,
Z ∞
(2) f (x)dx = 1,
−∞
Z b
(3) P (a < X < b) = f (x)dx for any a and b.
a

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 Note: If X is a continuous random variable, then for any a and b,

i) P (X = a) = 0,
ii) P (a ≤ X ≤ b) = P (a ≤ X < b) = P (a < X ≤ b)
= P (a < X < b).

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 Example 2. The probability density function of the time to
failure of an electronic component in a copier (in hours) is

f (x) = e−x/1000 /1000 for x > 0.

Determine the probability that

(a) A component lasts more than 3000 hours before failure.
(b) A component fails in the interval from 1000 to 2000 hours.
(c) A component fails before 1000 hours.
(d) Determine the number of hours at which 10% of all
components have failed.

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Chapter 4: Continuous Random
Variables and Probability Distributions
1 4.1 Continuous Random Variables
2 4.2 Probability Density Functions
3 4.3 Cumulative Distribution Functions
4 4.4 Mean and Variance of a Continuous Random Variable
5 4.5 Continuous Uniform Distribution
6 4.6 Normal Distribution
7 4.7 Normal Approximation to the Binomial and Poisson
Distributions
8 4.8 Exponential Distribution

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 Cumulative Distribution Function
The cumulative distribution function of a continuous random
variable X is
Z x
F (x) = P (X ≤ x) = f (t)dt, ∀x ∈ R
−∞

Note:
i) P (a < X < b) = F (b) − F (a)
ii) f (x) = F ′ (x) if the derivative exists.

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 Example 3. Suppose that the probability density function of a
continuous random variable X is

f (x) = cx2 for 2 < x < 3.

a) What is the value of c?

b) Find the cumulative distribution function of X.
c) Find P (X < 2.5 or X ≥ 2.8).

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Chapter 4: Continuous Random
Variables and Probability Distributions
1 4.1 Continuous Random Variables
2 4.2 Probability Density Functions
3 4.3 Cumulative Distribution Functions
4 4.4 Mean and Variance of a Continuous Random Variable
5 4.5 Continuous Uniform Distribution
6 4.6 Normal Distribution
7 4.7 Normal Approximation to the Binomial and Poisson
Distributions
8 4.8 Exponential Distribution

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 Mean and Variance of a Continuous Random Variable
If X is a continuous random variable with probability density
function f (x), then
The mean or expected value of X is
Z ∞
µ = E(X) = xf (x)dx
−∞

The variance of X is
Z ∞
2
σ = V (X) = x2 f (x)dx − µ2
−∞
√
The standard deviation of X is σ = σ2

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 Example 4. The probability density function of the weight of
packages delivered by a post office is

f (x) = 70/(69x2 ) for 1 < x < 70 pounds

(a) Determine the mean and variance of weight.

(b) If the shipping cost is $2.5 per pound, what is the average
shipping cost of a package?
(c) Determine the probability that the weight of a package
exceeds 50 pounds.

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 Expected Value of a Function of a Continuous Random
Variable
If X is a continuous random variable with probability density
function f (x), Z ∞
E[h(X)] = h(x)f (x)dx
−∞

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Chapter 4: Continuous Random
Variables and Probability Distributions
1 4.1 Continuous Random Variables
2 4.2 Probability Density Functions
3 4.3 Cumulative Distribution Functions
4 4.4 Mean and Variance of a Continuous Random Variable
5 4.5 Continuous Uniform Distribution
6 4.6 Normal Distribution
7 4.7 Normal Approximation to the Binomial and Poisson
Distributions
8 4.8 Exponential Distribution

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 Continuous Uniform Distribution
A random variable X is said to have a continuous uniform
distribution over [a; b] if its probability density function is
( 1
if a ≤ x ≤ b
f (x) = b−a
0 elsewhere

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 Mean and Variance
If X is a continuous uniform random variable over [a, b], then

a+b 2 (b − a)2
µ = E(X) = , σ = V (X) =
2 12

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 Cumulative Distribution Function
If X is a continuous uniform random variable over [a, b], then the
cumulative distribution function of X is


 x− 0 if x < a
a
F (x) = if a ≤ x ≤ b
 b−a

1 if x > b

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 Example 5. The thickness of a flange on an aircraft component
is uniformly distributed between 0.95 and 1.05 millimeters.
(a) Determine the cumulative distribution function of flange
thickness.
(b) Determine the proportion of flanges that exceeds 1.02
millimeters.
(c) What thickness is exceeded by 90% of the flanges?
(d) Determine the mean and variance of flange thickness.

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Chapter 4: Continuous Random
Variables and Probability Distributions
1 4.1 Continuous Random Variables
2 4.2 Probability Density Functions
3 4.3 Cumulative Distribution Functions
4 4.4 Mean and Variance of a Continuous Random Variable
5 4.5 Continuous Uniform Distribution
6 4.6 Normal Distribution
7 4.7 Normal Approximation to the Binomial and Poisson
Distributions
8 4.8 Exponential Distribution

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 Normal Distribution
A random variable X is said to have a normal distribution with
parameters µ and σ 2 (σ > 0), denoted as X ∼ N (µ, σ 2 ), if its
probability density function is

(x − µ)2
1 −
f (x) = √ e 2σ 2
σ 2π

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 Figure 6.1: Normal probability density functions for selected values of
the parameters µ and σ 2

Mean and Variance

If X ∼ N (µ, σ 2 ), then E(X) = µ, V (X) = σ 2 .

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 Standard Normal Distribution
A normal random variable with

µ = 0, σ = 1

is called a standard normal random variable, denoted as Z.

The cumulative distribution function of Z is denoted as Φ(z),

Φ(z) = P (Z ≤ z).

The values of Φ(z) are given in Appendix Table III.

In Excel, Φ(z) = NORMSDIST(z).

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 Note:
i) If z < −4, then Φ(z) ≈ 0.
ii) If z ≥ 4, then Φ(z) ≈ 1.

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 Example 6. Find the area under the standard normal curve that
lies
a) to the left of z = −1.3
b) to the right of z = 2.5
c) between z = −1.48 and z = 2.

Example 7. Find the value of z such that

a) P (Z > z) = 0.1
b) P (−1.24 < Z < z) = 0.8
c) P (−z < Z < z) = 0.95

Note: In Excel, if Φ(z) = p, then z = NORMSINV(p).

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 Standardizing a Normal Random Variable
X −µ
If X ∼ N (µ, σ 2 ) then Z = ∼ N (0, 1).
σ

Calculating Normal Probabilities

If X ∼ N (µ, σ 2 ), then
 
a−µ
a) P (X < a) = P Z < ,
σ
   
b−µ a−µ
b) P (a < X < b) = P Z < −P Z < .
σ σ

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 Example 8. The compressive strength of samples of cement can
be modeled by a normal distribution with a mean of 6000
kilograms per square centimeter and a standard deviation of 100
kilograms per square centimeter.
(a) What is the probability that a sample’s strength is less than
6250 Kg/cm2 ?
(b) What is the probability that a sample’s strength is between
5800 and 5900 Kg/cm2 ?
(c) What strength is exceeded by 95% of the samples?

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Chapter 4: Continuous Random
Variables and Probability Distributions
1 4.1 Continuous Random Variables
2 4.2 Probability Density Functions
3 4.3 Cumulative Distribution Functions
4 4.4 Mean and Variance of a Continuous Random Variable
5 4.5 Continuous Uniform Distribution
6 4.6 Normal Distribution
7 4.7 Normal Approximation to the Binomial and Poisson
Distributions
8 4.8 Exponential Distribution

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 Normal Approximation to the Binomial Distribution
If X is a binomial random variable with parameters n and p, then
X is approximately a normal random variable with mean µ = np
and variance σ 2 = np(1 − p).
!
x + 0.5 − np
P (X ≤ x) = P (X ≤ x + 0.5) ≈ P Z ≤ p
np(1 − p)
!
x − 0.5 − np
P (X ≥ x) = P (X ≥ x − 0.5) ≈ P Z ≥ p
np(1 − p)

The approximation is good for np > 5 and n(1 − p) > 5

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 Example 9. The percentage of people exposed to a bacteria who
become ill is 20%. Assume that people are independent. Assume
that 1000 people are exposed to the bacteria. Approximate each
of the following:
a) The probability that more than 225 become ill
b) The probability that between 175 and 225 become ill
c) The value such that the probability that the number of
people that become ill exceeds the value is 0.01

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 Normal Approximation to the Poisson Distribution
If X is a Poisson random variable with parameter λ, then X is
approximately a normal random variable with mean µ = λ and
variance σ 2 = λ.
The approximation is good for λ > 5.

Example 10. Suppose that the number of asbestos particles in a

sample of 1 squared centimeter of dust is a Poisson random
variable with a mean of 1000. What is the probability that 10
squared centimeters of dust contains more than 10,000 particles?

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Chapter 4: Continuous Random
Variables and Probability Distributions
1 4.1 Continuous Random Variables
2 4.2 Probability Density Functions
3 4.3 Cumulative Distribution Functions
4 4.4 Mean and Variance of a Continuous Random Variable
5 4.5 Continuous Uniform Distribution
6 4.6 Normal Distribution
7 4.7 Normal Approximation to the Binomial and Poisson
Distributions
8 4.8 Exponential Distribution

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 Exponential Distribution
The random variable X that equals the distance between
successive events of a Poisson process with mean λ > 0 is an
exponential random variable with parameter λ. The probability
density function of X is

f (x) = λe−λx , x ≥ 0.

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 Mean and Variance
If the random variable X has an exponential distribution with
parameter λ, then
1 2 1
µ = E(X) = , σ = V (X) = 2
λ λ

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 Example 11. The time between calls to a plumbing supply
business is exponentially distributed with a mean time between
calls of 15 minutes.
(a) What the probability that there are no calls within a
30-minute interval?
(b) What the probability that at least one call arrives within a
10-minute interval?
(c) What the probability that the first call arrives within 5 and
10 minutes after opening?
(d) Determine the length of an interval of time such that the
probability of at least one call in the interval is 0.9?

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 Lack of Memory Property
For an exponential random variable X,

P (X < t1 + t2 |X > t1 ) = P (X < t2 )

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Exercises

4.2: 4-4, 4-6 (page 111)

4.3: 4-14, 4-22, 4-26 (page 113-114)
4.4: 4-29, 4-34, 4-35, 4-37 (page 115)
4.5: 4-40, 4-43 (page 117)
4.6: 4-53, 4-54, 4-58, 4-60, 4-62, 4-66 (page 125, 126)
4.7: 4-80, 4-82, 4-86 (page 131)
4.8: 4-93, 4-94, 4-98, 4-106 (page 136, 137)

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