Chapter 2

RANDOM VARIABLES
AND PROBABILITY DISTRIBUTIONS

NGUYỄN THỊ THU THỦY(1)

SCHOOL OF APPLIED MATHEMATICS AND INFORMATICS

HANOI UNIVERSITY OF SCIENCE AND TECHNOLOGY

HANOI – 2022

(1)
Email: [email protected]
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CHAPTER OUTLINE

Chapter outline
1 CONCEPT OF A RANDOM VARIABLE
2 DISCRETE PROBABILITY DISTRIBUTIONS
3 CONTINUOUS PROBABILITY DISTRIBUTIONS
4 MEAN AND VARIANCE OF A RANDOM VARIABLE
5 SOME DISCRETE PROBABILITY DISTRIBUTIONS
6 SOME CONTINUOUS PROBABILITY DISTRIBUTIONS

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LEARNING OBJECTIVES

Learning Objectives
After careful study of this chapter you should be able to do the following:
(1) Discrete Random Variables and Probability Distributions
1 Determine probabilities from probability mass functions and the reverse
2 Determine probabilities from cumulative distribution functions and cumulative distribution
functions from probability mass functions, and the reverse
3 Calculate means and variances for discrete random variables
4 Understand the assumptions for some common discrete probability distributions
5 Select an appropriate discrete probability distribution to calculate probabilities in specific
applications
6 Calculate probabilities, determine means and variances for some common discrete probability
distributions

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LEARNING OBJECTIVES
Learning Objectives
(2) Continuous Random Variables and Probability Distributions
1 Determine probabilities from probability density functions
2 Determine probabilities from cumulative distribution functions and cumulative distribution
functions from probability density functions, and the reverse
3 Calculate means and variances for continuous random variables
4 Understand the assumptions for some common continuous probability distributions
5 Select an appropriate continuous probability distribution to calculate probabilities in specific
applications
6 Calculate probabilities, determine means and variances for some common continuous
probability distributions
7 Standardize normal random variables
8 Use the table for the cumulative distribution function of a standard normal distribution to
calculate probabilities
9 Approximate probabilities for some binomial and Poisson distributions
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 2.1 CONCEPT OF A RANDOM VARIABLE

Content
1 2.1 CONCEPT OF A RANDOM VARIABLE
2.1.1 Random Variable
2.1.2 Discrete Random Variable
2.1.3 Continuous Random Variable
2.1.4 Functions of a Random Variable
2 2.2 DISCRETE PROBABILITY DISTRIBUTIONS
2.2.1 Probability Distributions and Probability Mass Functions
2.2.2 Cumulative Distribution Functions
3 CONTINUOUS PROBABILITY DISTRIBUTIONS
2.3.1. Cumulative Distribution Function
2.3.2 Probability Density Function
4 2.4 EXPECTED VALUE AND VARIANCE
2.4.1 Mode and Median
2.4.2 Expected Value
2.4.3 Variance and Standard Deviation
5 2.5 IMPORTANT PROBABILITY DISTRIBUTIONS
2.5.1 Some Discrete Probability Distributions
2.5.2 Some Continuous Probability Distributions
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 2.1 CONCEPT OF A RANDOM VARIABLE 2.1.1 Random Variable

Random Variable

Definition 1 (Random variable)

A random variable is a function that assigns a real number to each outcome in the sample space of a
random experiment.

Notation
A random variable is denoted by an uppercase letter such as X.
After an experiment is conducted, the measured value of the random variable is denoted by a lowercase
letter such as x = 70 milliamperes.

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 2.1 CONCEPT OF A RANDOM VARIABLE 2.1.1 Random Variable

Random Variable

Example 1
Here are some random variables:
1 X, the number of students asleep in the next probability lecture.
2 Y , the number of phone calls you answer in the next hour.
3 Z, the number of minutes you wait until you next answer the phone.

Note
Random variables X and Y are discrete random variables. The possible values of these random variables
form a countable set. The underlying experiments have sample spaces that are discrete.
The random variable Z can be any nonnegative real number. It is a continuous random variable. Its
experiment has a continuous sample space.

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 2.1 CONCEPT OF A RANDOM VARIABLE 2.1.2 Discrete Random Variable

Discrete Random Variable

Definition 2 (Discrete random variable)

A discrete random variable is a random variable with a finite (or countably infinite) range.

Note
It follows from Definition 2 that
1 X is a finite random variable if the range is a finite set

SX = {x1 , x2 , . . . , xn }.

2 X is a discrete random variable if the range of X is a countable set

SX = {x1 , x2 , . . . }.

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 2.1 CONCEPT OF A RANDOM VARIABLE 2.1.2 Discrete Random Variable

Discrete Random Variable

Example 2

A voice communication system for a business contains 48 external lines. At a particular time, the system is
observed, and some of the lines are being used. Let the random variable X denote the number of lines in
use. Then, X can assume any of the integer values 0 through 48,

SX = {0, 1, . . . , 49}.

When the system is observed if 10 lines are in use, x = 10.

Example 3

In a semiconductor manufacturing process, two wafers from a lot are tested. Each wafer is classified as pass
or fail. Assume that the probability that a wafer passes the test is 0.8 and that wafers are independent.
The random variable X is defined to be equal to the number of wafers that pass.

SX = {0, 1, 2}.

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 2.1 CONCEPT OF A RANDOM VARIABLE 2.1.2 Discrete Random Variable

Discrete Random Variable

Definition 3 (Discrete Sample Space)

If a sample space contains a finite number of possibilities or an unending sequence with as many elements
as there are whole numbers, it is called a discrete sample space.

Example 4

Statisticians use sampling plans to either accept or reject batches or lots of material. Suppose one of these
sampling plans involves sampling independently 10 items from a lot of 100 items in which 12 are defective.
Let X be the random variable defined as the number of items found defective in the sample of 10. In this
case, the random variable takes on the values 0, 1, 2, . . . , 9, 10. X is a discrete random variable.

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 2.1 CONCEPT OF A RANDOM VARIABLE 2.1.3 Continuous Random Variable

Continuous Random Variable

Definition 4 (Continuous random variable)

A continuous random variable is a random variable with an interval (either finite or infinite) of real
numbers for its range.

Definition 5 (Continuous Sample Space)

If a sample space contains an infinite number of possibilities equal to the number of points on a line
segment, it is called a continuous sample space.

Example 5
Let Y be the random variable defined by the waiting time, in hours, between successive speeders spotted
by a radar unit. The random variable Y takes on all values y for which y ≥ 0. Y is a continuous random
variable.

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 2.1 CONCEPT OF A RANDOM VARIABLE 2.1.4 Functions of a Random Variable

Functions of a Random Variable

Definition 6 (Mathematical function)

Each sample value y of a derived random variable Y is a mathematical function g(x) of a sample value x of
another random variable X. We adopt the notation Y = g(X) to describe the relationship of the two
random variables.

Example 6

In Example 2, the random variable X denote the number of lines in use,

SX 2 = {01 , 12 , 22 , . . . , 482 }.

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 2.1 CONCEPT OF A RANDOM VARIABLE 2.1.4 Functions of a Random Variable

Functions of a Random Variable

Example 7

The random variable X is the number of pages in a facsimile transmission. Based on experience, you have
a probability model PX (x) for the number of pages in each fax you send. The phone company offers you a
new charging plan for faxes: $0.10 for the first page, $0.09 for the second page, etc., down to $0.06 for the
fifth page. For all faxes between 6 and 10 pages, the phone company will charge $0.50 per fax. (It will not
accept faxes longer than ten pages.) Find a function Y = g(X) for the charge in cents for sending one fax.

Solution
The following function corresponds to the new charging plan.
(
10.5X − 0.5X 2 , 1 ≤ X ≤ 5,
Y = g(X) =
50, 6 ≤ X ≤ 10.

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 2.2 DISCRETE PROBABILITY DISTRIBUTIONS

Content
1 2.1 CONCEPT OF A RANDOM VARIABLE
2.1.1 Random Variable
2.1.2 Discrete Random Variable
2.1.3 Continuous Random Variable
2.1.4 Functions of a Random Variable
2 2.2 DISCRETE PROBABILITY DISTRIBUTIONS
2.2.1 Probability Distributions and Probability Mass Functions
2.2.2 Cumulative Distribution Functions
3 CONTINUOUS PROBABILITY DISTRIBUTIONS
2.3.1. Cumulative Distribution Function
2.3.2 Probability Density Function
4 2.4 EXPECTED VALUE AND VARIANCE
2.4.1 Mode and Median
2.4.2 Expected Value
2.4.3 Variance and Standard Deviation
5 2.5 IMPORTANT PROBABILITY DISTRIBUTIONS
2.5.1 Some Discrete Probability Distributions
2.5.2 Some Continuous Probability Distributions
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 2.2 DISCRETE PROBABILITY DISTRIBUTIONS

Introduction

Introduction
Random variables are so important in random experiments that sometimes we essentially ignore the
original sample space of the experiment and focus on the probability distribution of the random variable.
For example, in Example 2, our analysis might focus exclusively on the integers {0, 1, . . . , 48} in the range
of X. In this manner, a random variable can simplify the description and analysis of a random experiment.
The probability distribution of a random variable X is a description of the probabilities associated with the
possible values of X.
For a discrete random variable, the distribution is often specified by just a list of the possible values along
with the probability of each. In some cases, it is convenient to express the probability in terms of a formula.

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 2.2 DISCRETE PROBABILITY DISTRIBUTIONS 2.2.1 Probability Distributions and Probability Mass Functions

PDs and PMF

Example 8

There is a chance that a bit transmitted through a digital transmission channel is received in error. The
chance that a bit transmitted through a digital transmission channel is received in error is 0.1. Also,
assume that the transmission trials are independent. Let X the number of bits in error in the next four
bits transmitted. The possible values for X are {0, 1, 2, 3, 4}. Based on Bernoulli trial formulate,
probabilities for these values will be determined.

P (X = 0) = (C40 )(0, 1)0 (0, 9)4 = 0, 6561; P (X = 1) = (C41 )(0, 1)1 (0, 9)3 = 0, 2916;
P (X = 2) = (C42 )(0, 1)2 (0, 9)2 = 0, 0486; P (X = 3) = (C43 )(0, 1)3 (0, 9)1 = 0, 0036;
P (X = 4) = (C44 )(0, 1)4 (0, 9)0 = 0, 0001.

The probability distribution of X is specified by the possible values along with the probability of each. A
graphical description of the probability distribution of X is shown in Fig. 1.

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 2.2 DISCRETE PROBABILITY DISTRIBUTIONS 2.2.1 Probability Distributions and Probability Mass Functions

PDs and PMF

Fig.

Figure 1: Probability distribution for bits in error.

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 2.2 DISCRETE PROBABILITY DISTRIBUTIONS 2.2.1 Probability Distributions and Probability Mass Functions

PDs and PMF

Definition 7 (Probability mass function)

For a discrete random variable X with possible values x1 , x2 , . . . , xn , a probability mass function is a
function such that
1 PX (xi ) = P (X = xi ) for all i = 1, 2, . . . , n;
2 PX (xi ) ≥ 0 for all i = 1, 2, . . . , n;
Pn
i=1 PX (xi ) = 1.
3

Example 9
For the bits in error in Example 8, PX (0) = 0.6561, PX (1) = 0.2916, PX (2) = 0.0486, PX (3) = 0.0036,
PX (4) = 0.0001. Check that the probabilities sum to 1.

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 2.2 DISCRETE PROBABILITY DISTRIBUTIONS 2.2.1 Probability Distributions and Probability Mass Functions

PDs and PMF

Remark 1
Note that (X = x) is an event consisting of all outcomes s of the underlying experiment for which
X(s) = x. On the other hand, PX (x) is a function ranging over all real numbers x. For any value of x, the
function PX (x) is the probability of the event (X = x).

Example 10

Suppose we observe three calls at a telephone switch where voice calls (V ) and data calls (D) are equally
likely. Let X denote the number of voice calls, Y the number of data calls, and let R = XY . The sample
space of the experiment and the corresponding values of the random variables X, Y , and R are

Outcomes DDD DDV DV D DV V V DD V DV VVD VVV

P(.) 1/8 1/8 1/8 1/8 1/8 1/8 1/8 1/8
X 0 1 1 2 1 2 2 3
Y 3 2 2 1 2 1 1 0
R 0 2 2 2 2 2 2 0

What is the probability mass function of R?

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 2.2 DISCRETE PROBABILITY DISTRIBUTIONS 2.2.1 Probability Distributions and Probability Mass Functions

PDs and PMF

Definition 8 (Probability distribution)

The probability distribution for a discrete random variable X is a formula, table, or graph that gives the
possible values of X, and the probability associated with each value of X.

X x1 x2 ... xn
(1)
P P (X = x1 ) P (X = x2 ) ... P (X = xn )

Note
Requirements for discrete probability distribution:
1 The probability of each value of the discrete random variable is between 0 and 1, inclusive
(0 ≤ P (X = xi ) ≤ 1, i = 1, 2, . . . , n).
The sum of all the probabilities is 1, that is n
P
i=1 P (X = xi ) = 1.
2

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 2.2 DISCRETE PROBABILITY DISTRIBUTIONS 2.2.1 Probability Distributions and Probability Mass Functions

PDs and PMF

Example 11

In Example 2, X is the number of bits in error in the next four bits transmitted. The probability
distribution of X is

X 0 1 2 3 4
P (X = xi ) 0.6561 0.2916 0.0486 0.0036 0.0001

Example 12

In Example 7, suppose all your faxes contain 1, 2, 3, or 4 pages with equal probability. Find the PMF of Y ,
the charge for a fax.

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 2.2 DISCRETE PROBABILITY DISTRIBUTIONS 2.2.1 Probability Distributions and Probability Mass Functions

PDs and PMF

Solution
From the problem statement, the number of pages X has PMF
(
1/4, x = 1, 2, 3, 4,
PX (x) =
0, otherwise.

The charge for the fax, Y , has range SY = {10, 19, 27, 34} corresponding to SX = {1, 2, 3, 4}. Here each value
of Y results in a unique value of X. Hence,
(
1/4, x = 10, 19, 27, 34,
PY (y) =
0, otherwise.

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 2.2 DISCRETE PROBABILITY DISTRIBUTIONS 2.2.1 Probability Distributions and Probability Mass Functions

PDs and PMF

Example 13

A shipment of 30 similar laptop computers to a retail outlet contains 5 that are defective. If a school makes
a random purchase of 3 of these computers, find the probability distribution for the number of defectives.

Solution

X 0 1 2 3
115 75 25 1
P (X) 203 203 406 406

Theorem 1

For a discrete random variable X with PMF PX (x) and range SX . If B ⊂ SX , the probability that X is in
the set B is
X
P (B) = PX (x) (2)
x∈B
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 2.2 DISCRETE PROBABILITY DISTRIBUTIONS 2.2.1 Probability Distributions and Probability Mass Functions

PDs and PMF

Example 14

The probability that a bit transmitted through a digital transmission channel is received in error is 0.1.
Assume the transmissions are independent events, and let the random variable X denote the number of
bits transmitted until the first error. Find the probability distribution for X.

Solution
The range of X is SX = {1, 2, 3, 4, . . . } and

P (X = 1) = 0.001, P (X = 2) = 0.999 × 0.001,

2
P (X = 3) = (0.999) × 0.001, P (X = 4) = (0.999)3 × 0.001 . . .

Thus, the probability distribution of X is

X 1 2 3 4 ...
P (X) 0.001 0.999 × 0.001 (0.999)2 × 0.001 (0.999)3 × 0.001 ...

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 2.2 DISCRETE PROBABILITY DISTRIBUTIONS 2.2.2 Cumulative Distribution Functions

Cumulative Distribution Functions

Example 15

In Example 8, we might be interested in the probability of fewer than four bits being in error. This
question can be expressed as P (X < 4). The event that is the union of the events (X = 0), (X = 1),
(X = 2), and (X = 3). Clearly, these three events are mutually exclusive. Therefore,

P (X < 4) = P (X = 0) + P (X = 1) + P (X = 2) + P (X = 3) = 0.9999.

This approach can also be used to determine P (X = 3) = P (X < 4) − P (X < 3) = 0.0036.

Note
Example 15 shows that it is sometimes useful to be able to provide cumulative probabilities such as and that
such probabilities can be used to find the probability mass function of a random variable. Therefore, using
cumulative probabilities is an alternate method of describing the probability distribution of a random variable.

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 2.2 DISCRETE PROBABILITY DISTRIBUTIONS 2.2.2 Cumulative Distribution Functions

Cumulative Distribution Functions

Definition 9 (Cumulative distribution function)

The cumulative distribution function (CDF) FX (x) of a discrete random variable X with probability
distribution PX (x) is

FX (x) = P (X < x) for − ∞ < x < ∞ (3)

discrete random variable with probability distribution is (1), then the CDF is
If X is a P
FX (x) = t<x PX (t), that is


 0, x ≤ x1 ,

p , x1 < x ≤ x2 ,



 1
FX (x) = p1 + p2 , x2 < x ≤ x3 , (4)

...





1, x > xn .


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 2.2 DISCRETE PROBABILITY DISTRIBUTIONS 2.2.2 Cumulative Distribution Functions

Cumulative Distribution Functions

FX (x)
1

p1 + p2

p1

x
x1 x2 x3 ... xn
O

Figure 2: Figure of the CDF (4)

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 2.2 DISCRETE PROBABILITY DISTRIBUTIONS 2.2.2 Cumulative Distribution Functions

Cumulative Distribution Functions

Example 16

In Example 10, we found that random variable R has PMF


1/4,
 r = 0,
PR (r) = 3/4, r = 2,

0, otherwise.


Find and sketch the CDF of random variable R.

Example 17
Find the CDF of random variables in Examples 8, 11, and 13.

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 2.2 DISCRETE PROBABILITY DISTRIBUTIONS 2.2.2 Cumulative Distribution Functions

Cumulative Distribution Functions

Solution
The CDF of random variable in Example 13
 

 0, x ≤ 0, 
0, x ≤ 0,
 
115 115
 203 , 0 < x ≤ 1,  203 , 0 < x ≤ 1,

 

 
115 75 190
FX (x) = 203 + 203 , 1 < x ≤ 2, = 203
, 1 < x ≤ 2,
 115 75 25
 405
+ + 406 , 2 < x ≤ 3, , 2 < x ≤ 3,

 


 203 203 
 406
 115
 75 25 1

+ + + , x > 3. 1, x > 3.

203 203 406 406

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 2.2 DISCRETE PROBABILITY DISTRIBUTIONS 2.2.2 Cumulative Distribution Functions

Cumulative Distribution Functions

Theorem 2

For any discrete random variable X with range SX = {x1 , x2 , . . . } satisfying x1 ≤ x2 ≤ . . . ,

1 0 ≤ FX (x) ≤ 1.
2 For all x1 < x2 , FX (x1 ) ≤ FX (x2 ) and limx→a− FX (x) = FX (a) for all a ∈ R.
3 FX (−∞) = 0 and FX (+∞) = 1.
4 For xi ∈ S and ε, an arbitrarily small positive number, FX (xi + ε) − FX (xi ) = PX (xi ).
5 FX (x) = FX (xi ) for all x such that xi < x ≤ xi+1 .

Theorem 3

For all b > a,

FX (b) − FX (a) = P (a ≤ X < b) (5)

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 2.2 DISCRETE PROBABILITY DISTRIBUTIONS 2.2.2 Cumulative Distribution Functions

Cumulative Distribution Functions

Example 18
If a car agency sells 50% of its inventory of a certain foreign car equipped with side airbags,
(a) find a formula for the probability distribution PX (x) of the number of cars with side airbags among
the next 4 cars sold by the agency, X.
(b) find the cumulative distribution function of the random variable X; using FX (x), verify that
PX (2) = 3/8.

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 2.2 DISCRETE PROBABILITY DISTRIBUTIONS 2.2.2 Cumulative Distribution Functions

Cumulative Distribution Functions

Solution
(a) Since the probability of selling an automobile with side airbags is 0.5, the 24 = 16 points in the sample
space are equally likely to occur. Therefore, the denominator for all probabilities, and also for our function,
is 16. To obtain the number of ways of selling 3 cars with side airbags, we need to consider the number of
ways of partitioning 4 outcomes into two cells, with 3 cars with side airbags assigned to one cell and the
model without side airbags assigned to the other. This can be done in C43 = 4 ways. In general, the event
of selling x models with side airbags and 4 − x models without side airbags can occur in C4x ways, where x
can be 0, 1, 2, 3, or 4. Thus, the probability PX (x) is

 1 C x , for x = 0, 1, 2, 3, 4,
4
PX (x) = 16
0, otherwise.

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 2.2 DISCRETE PROBABILITY DISTRIBUTIONS 2.2.2 Cumulative Distribution Functions

Cumulative Distribution Functions

Solution (continuous)
(b) Direct calculations of the probability distribution PX (0) = 1/16. PX (1) = 1/4, PX (2) = 3/8,
PX (3) = 1/4, and PX (4) = 1/16. Therefore

0,
 for x ≤ 0,
1




 16
, for 0 < x ≤ 1,
 5 , for 1 < x ≤ 2,

FX (x) = 16 11


 16
, for 2 < x ≤ 3,
15
, for 3 < x ≤ 4,


 16


for x > 4.

1,

Now
11 5 3
PX (2) = FX (3) − FX (2) = − = .
16 16 8

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 CONTINUOUS PROBABILITY DISTRIBUTIONS

Content
1 2.1 CONCEPT OF A RANDOM VARIABLE
2.1.1 Random Variable
2.1.2 Discrete Random Variable
2.1.3 Continuous Random Variable
2.1.4 Functions of a Random Variable
2 2.2 DISCRETE PROBABILITY DISTRIBUTIONS
2.2.1 Probability Distributions and Probability Mass Functions
2.2.2 Cumulative Distribution Functions
3 CONTINUOUS PROBABILITY DISTRIBUTIONS
2.3.1. Cumulative Distribution Function
2.3.2 Probability Density Function
4 2.4 EXPECTED VALUE AND VARIANCE
2.4.1 Mode and Median
2.4.2 Expected Value
2.4.3 Variance and Standard Deviation
5 2.5 IMPORTANT PROBABILITY DISTRIBUTIONS
2.5.1 Some Discrete Probability Distributions
2.5.2 Some Continuous Probability Distributions
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 CONTINUOUS PROBABILITY DISTRIBUTIONS 2.3.1. Cumulative Distribution Function

Cumulative Distribution Function

Definition 10 (Cumulative distribution function)

The cumulative distribution function (CDF) of random variable X is

FX (x) = P (X < x), x∈R (6)

Definition 11 (Continuous random variable)

X is a continuous random variable if the CDF FX (x) is a continuous function.

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 CONTINUOUS PROBABILITY DISTRIBUTIONS 2.3.1. Cumulative Distribution Function

Cumulative Distribution Function

Example 19 (CDF)


0,
 x ≤ 0,
FX (x) = x2 , 0 < x ≤ 1,

1, x > 1.


FX (x) is the continuous function.

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 CONTINUOUS PROBABILITY DISTRIBUTIONS 2.3.1. Cumulative Distribution Function

Cumulative Distribution Function

Fig.

FX (x)

x2

x
O 1

Figure 3: Figure of the CDF in Example 19

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 CONTINUOUS PROBABILITY DISTRIBUTIONS 2.3.1. Cumulative Distribution Function

Cumulative Distribution Function

Example 20

Suppose the cumulative distribution function of the continuous random variable X is


0,
 x ≤ 0,
2 3
FX (x) = A + 3x − Bx , 0 < x ≤ 1,

1, x > 1.


(a) Find A and B.

(b) Find P (0.5 < X < 1).

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 CONTINUOUS PROBABILITY DISTRIBUTIONS 2.3.1. Cumulative Distribution Function

Cumulative Distribution Function

Solution
(a) Since FX (x) is a continuous function,

 lim FX (x) = lim FX (x) = FX (0),
x→0− x→0+
 lim FX (x) = lim FX (x) = FX (1).
x→1− x→1+

Therefore,
( (
A = 0, A = 0,
or
A + 3 − B = 1. B=2

and

0,
 x ≤ 0,
FX (x) = 3x2 − 2x3 , 0 < x ≤ 1,

1, x > 1.


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 CONTINUOUS PROBABILITY DISTRIBUTIONS 2.3.1. Cumulative Distribution Function

Probability Density Function

Solution (continuous)
(b) Now,

P (0.5 < X < 1) = FX (1) − FX (0.5)

= 3 × (1)2 − 2 × (1)3 − 3 × (0.5)2 − 2 × (0.5)3 = 0.5.
   

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 CONTINUOUS PROBABILITY DISTRIBUTIONS 2.3.2 Probability Density Function

Probability Density Function

Definition 12 (Probability density function)

The probability density function (PDF) of a continuous random variable X is

dFX (x)
fX (x) = (7)
dx

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 CONTINUOUS PROBABILITY DISTRIBUTIONS 2.3.2 Probability Density Function

Probability Density Function

Theorem 4 (Properties of the PDF)

For a continuous random variable X with PDF fX (x),

(a) fX (x) ≥ 0 for all x;
+∞
Z
(b) fX (x)dx = 1;
−∞

Zx
(c) FX (x) = fX (u)du.
−∞

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 CONTINUOUS PROBABILITY DISTRIBUTIONS 2.3.2 Probability Density Function

Probability Density Function

Proof
(a) FX (x) is a nondecreasing function of x.
(b) Follows from FX (−∞) = 0 and FX (+∞) = 1.
(c) Follows directly from the definition of fX (x) and the fact that FX (−∞) = 0.

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 CONTINUOUS PROBABILITY DISTRIBUTIONS 2.3.2 Probability Density Function

Probability Density Function

Theorem 5

Zb
P (a ≤ X < b) = fX (x)dx (2.6)
a

Proof

P (a ≤ X < b) = P (X < b) − P (X < a) = FX (b) − FX (a)

Zb Za Zb
= fX (x)dx − fX (x)dx = fX (x)dx.
−∞ −∞ a

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 CONTINUOUS PROBABILITY DISTRIBUTIONS 2.3.2 Probability Density Function

Probability Density Function

Note
The probability that X will fall into a particular interval say, from a to b is equal to the area under the curve
between the two points a and b. This is the shaded area in Figure 4.

Figure ThịThe
Nguyễn4: probability
Thu Thủy distribution
(SAMI-HUST) f (x); P (a < X < b) is equal to the shaded
ProSta-CHAP2 45/185 areaHANOI
under the curve
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 CONTINUOUS PROBABILITY DISTRIBUTIONS 2.3.2 Probability Density Function

Probability Density Function

Remark 1

P (X = a) = 0 for continuous random variables.

Follows directly from P (a ≤ X < b) = FX (b) − FX (a) and FX (x) is a continuous function.
P (X ≥ a) = P (X > a) and P (X ≤ a) = P (X < a).
This is not true in general for discrete random variables.

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 CONTINUOUS PROBABILITY DISTRIBUTIONS 2.3.2 Probability Density Function

Probability Density Function

Example 21

Let the continuous random variable X denote the current measured in a thin copper wire in milliamperes.
Assume that the range of X is [0, 20 mA], and assume that the probability density function of X is
(
0, x∈/ [0; 20],
fX (x) =
0.05, x ∈ [0; 20].

What is the probability that a current measurement is less than 10 milliamperes?

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 CONTINUOUS PROBABILITY DISTRIBUTIONS 2.3.2 Probability Density Function

Probability Density Function

Solution
The probability density function is shown in Fig. 5. It is assumed that wherever it is not specifically defined. The
probability requested is indicated by the shaded area in Fig. 5.
Z10 Z10
P (X < 10) = fX (x)dx = 0.05dx = 0.5.
0 0

Figure 5: Probability density function for Example 21

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 CONTINUOUS PROBABILITY DISTRIBUTIONS 2.3.2 Probability Density Function

Probability Density Function

Example 22

Let the continuous random variable X denote the diameter of a hole drilled in a sheet metal component.
The target diameter is 12.5 millimeters. Most random disturbances to the process result in larger
diameters. Historical data show that the distribution of X can be modeled by a probability density function
(
0, x ≤ 12.5,
fX (x) =
20e−20(x−12.5) , x > 12.5.

(a) If a part with a diameter larger than 12.60 millimeters is scrapped, what proportion of parts is
scrapped?
(b) What proportion of parts is between 12.5 and 12.6 millimeters?

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 CONTINUOUS PROBABILITY DISTRIBUTIONS 2.3.2 Probability Density Function

Probability Density Function

Solution
(a) The density function and the requested probability are shown in Fig. 6. A part is scrapped if X > 12.60.
Now
+∞
Z +∞
Z
P (X > 12.6) = fX (x)dx = 20e−20(x−12.5) dx = 0.1353.
12.6 12.6

Figure 6: Probability density function for Example 22

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 CONTINUOUS PROBABILITY DISTRIBUTIONS 2.3.2 Probability Density Function

Probability Density Function

Solution (continuous)
(b) Now
12.6
Z
12.6
P (12.5 < X < 12.6) = fX (x)dx = −e−20(x−12.5) 12.5
= 0.865.
12.5

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 CONTINUOUS PROBABILITY DISTRIBUTIONS 2.3.2 Probability Density Function

Probability Density Function

Example 23

For the drilling operation in Example 22, FX (x) consists of two expressions.

FX (x) = 0 for x ≤ 12.5

and for x > 12.5

Zx
FX (x) = 20e−20(u−12.5) du = 1 − e−20(x−12.5) .
12.5

Therefore, (
0, x ≤ 12.5,
FX (x) =
1 − e−20(x−12.5) , x > 12.5.

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 CONTINUOUS PROBABILITY DISTRIBUTIONS 2.3.2 Probability Density Function

Probability Density Function

Figure
Figure 7 displays a graph of FX (x).

Figure 7: Cumulative distribution function for Example 23

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 CONTINUOUS PROBABILITY DISTRIBUTIONS 2.3.2 Probability Density Function

Probability Density Function

Example 24

The continuous random variable X has PDF fX (x) = ae−|x| , (−∞ < x < +∞). Define the random
variable Y by Y = X 2 .
(a) What is a?
(b) What is the CDF FX (x)?
(c) What is the CDF FY (x)?
(d) Find P (0 < X < ln 3)?
(e) Find the probability that out of 3 independent trials, there is only one time that X is between 0 and
ln 3.

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 CONTINUOUS PROBABILITY DISTRIBUTIONS 2.3.2 Probability Density Function

Probability Density Function

Solution
Z +∞
(a) It follows from fX (x) ≥ 0, ∀x and fX (x)dx = 1 that
−∞

a ≥ 0 and
Z 0 Z +∞
1= aex dx + ae−x dx = 2a.
−∞ 0
1
Hence, a = .
2

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 CONTINUOUS PROBABILITY DISTRIBUTIONS 2.3.2 Probability Density Function

Probability Density Function

Solution (continuous)
(b) What is the CDF FX (x)?
Z x
1
Since FX (x) = fX (u)du, fX (u) = e−|u| , −∞ < u < +∞,
−∞ 2
Z x
1 u 1 x
- If x ≤ 0, FX (x) = e du = e .
−∞ 2 2
Z 0 Z x
1 u 1 −u 1 1 1 1
- If x > 0, FX (x) = e du + e du = − e−x + = 1 − e−x .
−∞ 2 0 2 2 2 2 2
Hence, 1
 ex , if x ≤ 0,
FX (x) = 2 1
1 − e−x , if x > 0.
2

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 CONTINUOUS PROBABILITY DISTRIBUTIONS 2.3.2 Probability Density Function

Probability Density Function

Solution (continuous)
(c) What is the CDF FY (x)?
Since FY (x) = P (Y < x) = P (X 2 < x),
- If x ≤ 0, FY (x) = P (∅) = 0.
√ √
- If x > 0, FY (x) = P (− x < X < x).
Therefore, (
0, if x ≤ 0,
FY (x) = √ √
FX ( x) − FX (− x), if x > 0.

Using (b), (
0, if x ≤ 0,
FY (x) = √
1 − e− x , if x > 0.

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 CONTINUOUS PROBABILITY DISTRIBUTIONS 2.3.2 Probability Density Function

Probability Density Function

Solution (continuous)
(d) Find P (0 < X < ln 3)?
P (0 < X < ln 3) = FX (ln 3) − FX (0) =?
Z ln 3 Z ln 3
1 −x
P (0 < X < ln 3) = fX (x)dx = e dx =??
0 0 2
(e) P3 (1) = C31 p1 (1 − p)2 , where p = P (0 < X < ln 3).

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 CONTINUOUS PROBABILITY DISTRIBUTIONS 2.3.2 Probability Density Function

Practice Test

Practice Test 1
The cumulative distribution function of the continuous random variable X is F (x) = a + b arctan x,
(−∞ < x < +∞). (a) What are a and b? (b) What is P (−1 < X < 1)?

Practice Test 2
The cumulative distribution function of the continuous random variable X is F (x) = 1/2 + 1/π arctan x/2.
What is the value of x1 such that P (X > x1 ) = 1/4?

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 2.4 EXPECTED VALUE AND VARIANCE

Content
1 2.1 CONCEPT OF A RANDOM VARIABLE
2.1.1 Random Variable
2.1.2 Discrete Random Variable
2.1.3 Continuous Random Variable
2.1.4 Functions of a Random Variable
2 2.2 DISCRETE PROBABILITY DISTRIBUTIONS
2.2.1 Probability Distributions and Probability Mass Functions
2.2.2 Cumulative Distribution Functions
3 CONTINUOUS PROBABILITY DISTRIBUTIONS
2.3.1. Cumulative Distribution Function
2.3.2 Probability Density Function
4 2.4 EXPECTED VALUE AND VARIANCE
2.4.1 Mode and Median
2.4.2 Expected Value
2.4.3 Variance and Standard Deviation
5 2.5 IMPORTANT PROBABILITY DISTRIBUTIONS
2.5.1 Some Discrete Probability Distributions
2.5.2 Some Continuous Probability Distributions
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 2.4 EXPECTED VALUE AND VARIANCE 2.4.1 Mode and Median

Mode and Median

Definition 13 (Mode)

A mode of random variable X is a number xmod satisfying

PX (xmod ) ≥ PX (x) for all x (if X is discrete) (8)

or

fX (xmod ) ≥ fX (x) for all x (if X is continuous) (9)

Definition 14 (Median)

A median, xmed , of random variable X is a number that satisfies

P [X < xmed ] = P [X ≥ xmed ] (10)

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 2.4 EXPECTED VALUE AND VARIANCE 2.4.1 Mode and Median

Mode and Median

Example 25
The probability density function of the continuous random variable X is
(
3
x(2 − x), 0 ≤ x ≤ 2,
fX (x) = 4
0, otherwise.

What is xmod ? What is xmed ?

Solution
We have 

 0, x ≤ 0,
  3
FX (x) = 3 x2 − x , 0 < x ≤ 2,
4
 3
1, x > 2.


1
So xmed is a solution of the equation FX (x) = , or x3 − 3x2 + 2 = 0 with 0 < x ≤ 2. Hence xmed = 1.
2
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 2.4 EXPECTED VALUE AND VARIANCE 2.4.1 Mode and Median

Mode and Median

Solution (continuous)


0, x ≤ 0,
3

0
Taking the derivative of the PDF fX (x), g(x) := fX (x) = (1 − x), 0 < x < 2,

 2
0, otherwise.


We can see the function g(x) reaches maximum at x = 1, so xmod = 1.

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 2.4 EXPECTED VALUE AND VARIANCE 2.4.2 Expected Value

(a) Expected Value of a Random Variable

Definition 15 (Expected value/Mean value)

Let X be a random variable with probability distribution PX (x) or fX (x). The mean value or expected
value of X, denoted as µ or E(X), is
X
µX = E(X) = xPX (x) if X is discrete (11)
x∈SX

and
+∞
Z
µX = E(X) = xfX (x)dx if X is continuous (12)
−∞

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 2.4 EXPECTED VALUE AND VARIANCE 2.4.2 Expected Value

(a) Expected Value of a Random Variable

Example 26

(a) In Example 8, there is a chance that a bit transmitted through a digital transmission channel is
received in error. Let X equal the number of bits in error in the next four bits transmitted. Now
E(X) is

E(X) = (0)(0.6561) + (1)(0.2916) + (2)(0.0486) + (3)(0.0036) + (4)(0.0001) = 0, 4.

(b) In Example 14, E(X) is

E(X) = 1 × 0, 001 + 2 × 0.999 × 0.001 + 3 × (0.999)2 × 0, 001 + . . .

∞
X
= 0.001 × n × (0.999)n−1 = 1000.
n=1

(c) For the copper current measurement in Example 21, the mean of X is
Z20 Z20
E(X) = xfX (x)dx = 0.05xdx = 10.
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 2.4 EXPECTED VALUE AND VARIANCE 2.4.2 Expected Value

(a) Expected Value of a Random Variable

Example 27

Continuous random variable X has the PDF

(
1, 0 ≤ x < 1,
fX (x) =
0, otherwise.

Find the expected value of X.

Solution

+∞
Z Z1
E(X) = xfX (x)dx = xdx = 1/2
−∞ 0

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 2.4 EXPECTED VALUE AND VARIANCE 2.4.2 Expected Value

(b) Expected Value of a Function of a Random Variable

Theorem 6

Let X be a random variable with probability distribution PX (x) or fX (x). The expected value of the
random variable Y = g(X) is
X
µY = E[g(X)] = g(x)PX (x) if X is discrete (13)
x∈SX

and
+∞
Z
µY = E[g(X)] = g(x)fX (x)dx if X is continuous (14)
−∞

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 2.4 EXPECTED VALUE AND VARIANCE 2.4.2 Expected Value

(b) Expected Value of a Function of a Random Variable

Example 28

In Example 39, suppose all your faxes contain 1, 2, 3, or 4 pages with equal probability. Find the expected
value of Y , the charge for a fax.

Solution
1
The expected fax bill is E(Y ) = (10 + 19 + 27 + 34) = 22.5 cents.
4

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 2.4 EXPECTED VALUE AND VARIANCE 2.4.2 Expected Value

(b) Expected Value of a Function of a Random Variable

Example 29

In Example 28,
(
1/4, x = 1, 2, 3, 4,
PX (x) =
0, otherwise

and
(
10.5X − 0.5X 2 , 1 ≤ X ≤ 5,
Y = g(X) =
50, 6 ≤ X ≤ 10.

What is E(Y )?

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 2.4 EXPECTED VALUE AND VARIANCE 2.4.2 Expected Value

(b) Expected Value of a Function of a Random Variable

Solution
Applying Theorem 6 we have
4
X
E(Y ) = PX (x)g(x)
x=1
1 1
= [(10.5)(1) − (0.5)(1)2 ] + [(10.5)(2) − (0.5)(2)2 ]
4 4
1 1
+ [(10.5)(3) − (0.5)(3)2 ] + [(10.5)(4) − (0.5)(4)2 ]
4 4
1
= [10 + 19 + 27 + 34] = 22.5 cents.
4

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 2.4 EXPECTED VALUE AND VARIANCE 2.4.2 Expected Value

(c) Properties of Expected Value

Theorem 7

For any random variable X,

1 E(X − µX ) = 0.
2 E(aX + b) = aE(X) + b.

Corollary 1

1 Setting a = 0, we see that E(b) = b.

2 Setting b = 0, we see that E(aX) = aE(X).

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 2.4 EXPECTED VALUE AND VARIANCE 2.4.2 Expected Value

(c) Properties of Expected Value

Example 30

Find the expected value of 6X + 2, where X in Example 13.

Solution
Using (11),
115 75 25 1
E(X) = 0 × +1× +2× +3× = 0, 5.
203 203 406 406
Using Theorem 7, E(6X + 2) = 6E(X) + 2 = 6 × 0, 5 + 2 = 5.
Or, applying Theorem 6 and Example 13,
115 75 25
E(6X + 2) = (6 × 0 + 2) × + (6 × 1 + 2) × + (6 × 2 + 2) ×
203 203 406
1 2030
+ (6 × 3 + 2) × = = 5.
406 406

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 2.4 EXPECTED VALUE AND VARIANCE 2.4.2 Expected Value

(c) Properties of Expected Value

Example 31

(a) In Example 8, let X equal the number of bits in error in the next four bits transmitted. Using (13),

E(X 2 ) = 02 × 0.6561 + 12 × 0.2916 + 22 × 0.0486 + 32 × 0.0036 + 42 × 0.0001 = 0.52.

Practical Interpretation: The expected value of a function of a random variable is simply a weighted
average of the function evaluated at the values of the random variable.
(b) In Example 21, the continuous random variable X denote the current measured in a thin copper wire
in milliamperes. Using (14),
Z20 Z20
E(X 2 ) = x2 fX (x)dx = 0.05x2 dx = 133.3333.
0 0

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 2.4 EXPECTED VALUE AND VARIANCE 2.4.2 Expected Value

(c) Properties of Expected Value

Example 32

Using (13), find the expexted value of 6X + 2, where X in Example 13.

Solution
Using (13) and Example 13,
115 75 25
E(6X + 2) = (6 × 0 + 2) × + (6 × 1 + 2) × + (6 × 2 + 2) ×
203 203 406
1 2030
+ (6 × 3 + 2) × = = 5.
406 406
(see Example 30).

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 2.4 EXPECTED VALUE AND VARIANCE 2.4.2 Expected Value

(c) Properties of Expected Value

Theorem 8

The expected value of the sum or difference of two or more functions of a random variable X is the sum or
difference of the expected values of the functions. That is,

E[g(X) ± h(X)] = E[g(X)] ± E[h(X)] (15)

Example 33
Let X be a random variable with probability distribution as follows:

X 0 1 2 3
PX (x) 1/3 1/2 0 1/6

Find the expected value of Y = (X − 1)2 .

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 2.4 EXPECTED VALUE AND VARIANCE 2.4.2 Expected Value

(c) Properties of Expected Value

Solution
Applying Theorem 8 to the function Y = (X − 1)2 , we can write

E[(X − 1)2 ] = E(X 2 ) − 2E(X) + E(1).

From Corollary 1, E(1) = 1, and by direct computation,

1 1 1
E(X) = (0) + (1) + (2)(0) + (3) =1 and
3 2 6

1 1 1

E(X 2 ) = (0) + (1) + (4)(0) + (9) = 2.
3 2 6
Hence,
E[(X − 1)2 ] = 2 − (2)(1) + 1 = 1.

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 2.4 EXPECTED VALUE AND VARIANCE 2.4.2 Expected Value

Practice Test

Practice Test 3
The random variable X has the probability density function
(
k(30 − x), x ∈ (0, 30),
fX (x) =
0, x∈/ (0, 30).

Let Y := max{20, X}. Find the expected value of the random variable Y .

Practice Test 4
At a county fair, a ring toss game may be played for 25 cents. You are given three rings and then attempt
to toss them individually onto a peg. If you successfully get one ring on a peg, you win a prize worth 50
cents. If you get two on, you get a prize worth 100 cents and if you get all three on, you win a prize worth
500 cents. Assuming the probability that you ring the peg is 0.1 each try, what is your expected gain if you
play this game five times?

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Variance and Standard Deviation

Introduction
The mean, or expected value, of a random variable X is of special importance in statistics because it
describes where the probability distribution is centered. By itself, however, the mean does not give an
adequate description of the shape of the distribution. We also need to characterize the variability in the
distribution. In Figure 8, we have the histograms of two discrete probability distributions that have the
same mean, µ = 2, but differ considerably in variability, or the dispersion of their observations about the
mean.
The most important measure of variability of a random variable X is obtained by applying Theorem 6 with
g(X) = (X − µ)2 . The quantity is referred to as the variance of the random variable X or the variance of
2
the probability distribution of X and is denoted by V ar(X) or the symbol σX , or simply by σ 2 when it is
clear to which random variable we refer.

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Variance and Standard Deviation

Introduction

Figure 8: Distributions with equal means and unequal dispersions

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Variance and Standard Deviation

Definition 16 (Variance)

The variance of random variable X is

 X
σx2 = V ar(X) = E (X − µX )2 = (x − µ)2 PX (x)

if X is discrete (16)
x

and
+∞
Z
σx2 = V ar(X) = E (X − µX )2 = (x − µ)2 fX (x)dx
 
if X is continuous. (17)
−∞

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Variance and Standard Deviation

Definition 17 (Standard deviation)

The positive square root of the variance, σ, is called the standard deviation of X.
p
σX = V ar(X) (18)

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Variance and Standard Deviation

Example 34

Let the random variable X represent the number of automobiles that are used for official business purposes
on any given workday. The probability distribution for company A and that for company B (Figure 8) are

XA 1 2 3 XB 0 1 2 3 4
P (XA ) 0.3 0.4 0.3 P (XB ) 0.2 0.1 0.3 0.3 0.1

Show that the variance of the probability distribution for company B is greater than that for company A.

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Variance and Standard Deviation

Solution
For company A and B, we find that

E(XA ) = 1 × 0.3 + 2 × 0.4 + 3 × 0.3 = 2.0,

E(XB ) = 0 × 0.2 + 1 × 0.4 + 2 × 0.3 + 3 × 0.3 + 4 × 0.1 = 2.0

and then

V (XA ) = (1 − 2)2 × 0.3 + (2 − 2)2 × 0.4 + (3 − 2)2 × 0.3 = 0.6,

V (XB ) = (0 − 2)2 × 0.2 + (1 − 2)2 × 0.1 + (2 − 2)2 × 0.3
+ (3 − 2)2 × 0.3 + (4 − 2)2 × 0.1 = 1.6.

Clearly, the variance of the number of automobiles that are used for official business purposes is greater for
company B than for company A.

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Variance and Standard Deviation

Theorem 9

V (X) = E(X 2 ) − [E(X)]2 (19)

where
X
E(X 2 ) = x2 PX (x) if X is discrete (20)
x∈SX

and
+∞
Z
2
E(X ) = x2 fX (x)dx if X is continuous (21)
−∞

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Variance and Standard Deviation

Definition 18 (Moment)

For random variable X,

1 The nth moment is E(X n ).
2 The nth central moment is E[(X − µX )n ].

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Variance and Standard Deviation

Example 35

(a) In Example 8, let X equal the number of bits in error in the next four bits transmitted. Using (16),
5
X
V (X) = (xi − 0.4)2 pi = 0.36.
i=1

If using (19) and Examples 26(a), 31(a),

V (X) = E(X 2 ) − [E(X)]2 = 0.52 − (0.4)2 = 0.36.

(b) In Example 21, X is the current measured in milliamperes, using (17) and Example 26(b),
Z20 Z20
V (X) = (x − 10)2 fX (x)dx = 0.05(x − 10)2 dx = 33.3333.
0 0

If using (19) and Examples 26(b), 31(b), V (X) = E(X 2 ) − [E(X)]2 = 133.3333 − (10)2 = 33.3333.
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Variance and Standard Deviation

Note
Note that (X − µX )2 ≥ 0. Therefore, its expected value is also nonnegative. That is, for any random variable X

V ar(X) ≥ 0 (22)

Theorem 10

V ar(aX + b) = a2 V ar(X).

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Variance and Standard Deviation

Theorem 11

Let X be a random variable with probability distribution PX (x) or fX (x). The variance of the random
variable Y = g(X) is
X
σY2 = E[g(X) − µg(X) ]2 = [g(x) − µg(X) ]2 PX (x) if X is discrete (23)
x∈SX

and
+∞
Z
σY2 = E[g(X) − µg(X) ]2 = [g(x) − µg(X) ]2 fX (x)dx if X is continuous (24)
−∞

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Variance and Standard Deviation

Example 36
Calculate the variance of g(X) = 2X + 3, where X is a random variable with probability distribution

X 0 1 2 3
PX (x) 1/4 1/8 1/2 1/8

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Variance and Standard Deviation

Solution
First, we find the mean of the random variable 2X + 3. According to Theorem 6,
3
X
µ2X+3 = E[2X + 3] = (2x + 3)PX (x) = 6.
x=0

Now, using Theorem 11, we have

3
X
2
σ2X+3 = E[(2X + 3 − 6)2 ] = E[(4X 2 − 12X + 9)] = (4x2 − 12x + 9)PX (x) = 4.
x=0

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Variance and Standard Deviation

Example 37
Let X be a random variable with density function
 2
x
, −1 < x < 2,
fX (x) = 3
0, otherwise.

Find the expected value and the variance of g(X) = 4X + 3.

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Variance and Standard Deviation

Solution
By Theorem 6 we have
Z2 Z2
(4x + 3)x2 1
E[4X + 3] = dx = (4x3 + 3x2 )dx = 8.
3 3
−1 −1

Now, using Theorem 11,

2
σ4X+3 = E[(4X + 3) − 82 ] = E[(4X − 5)2 ]
Z2
x2 51
= (4x − 5)2 dx = .
3 5
−1

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 2.5 IMPORTANT PROBABILITY DISTRIBUTIONS

Content
1 2.1 CONCEPT OF A RANDOM VARIABLE
2.1.1 Random Variable
2.1.2 Discrete Random Variable
2.1.3 Continuous Random Variable
2.1.4 Functions of a Random Variable
2 2.2 DISCRETE PROBABILITY DISTRIBUTIONS
2.2.1 Probability Distributions and Probability Mass Functions
2.2.2 Cumulative Distribution Functions
3 CONTINUOUS PROBABILITY DISTRIBUTIONS
2.3.1. Cumulative Distribution Function
2.3.2 Probability Density Function
4 2.4 EXPECTED VALUE AND VARIANCE
2.4.1 Mode and Median
2.4.2 Expected Value
2.4.3 Variance and Standard Deviation
5 2.5 IMPORTANT PROBABILITY DISTRIBUTIONS
2.5.1 Some Discrete Probability Distributions
2.5.2 Some Continuous Probability Distributions
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 2.5 IMPORTANT PROBABILITY DISTRIBUTIONS

Important Probability Distributions

Some Discrete Probability Distributions

1 Discrete Uniform Distribution
2 Binomial Distribution
3 Poisson Distribution

Some Continuous Probability Distributions

1 Continuous Uniform Distribution
2 Exponential Distribution
3 Normal Distribution

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 2.5 IMPORTANT PROBABILITY DISTRIBUTIONS 2.5.1 Some Discrete Probability Distributions

(a) Discrete Uniform Distribution

Note
The simplest discrete random variable is one that assumes only a finite number of possible values, each with
equal probability. A random variable X that assumes each of the values x1 , x2 , . . . , xn , with equal probability
1/n, is frequently of interest.

Definition 19
A random variable X has a discrete uniform distribution if each of the n values in its range, say
x1 , x2 , . . . , xn , has equal probability. Then,

1
PX (xi ) = for all i = 1, 2, . . . , n (25)
n

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(a) Discrete Uniform Distribution

Example 38

The first digit of a part’s serial number is equally likely to be any one of the digits 0 through 9. If one part
is selected from a large batch and X is the first digit of the serial number, X has a discrete uniform
distribution with probability 0.1 for each value in R = {0, 1, 2, . . . , 9}. That is,

PX (x) = 0.1

for each value in R. The probability mass function of X is shown in Fig. 9

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(a) Discrete Uniform Distribution

Figure 9: Probability mass function for a discrete uniform random variable.

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(a) Discrete Uniform Distribution

Theorem 12
Suppose X is a discrete uniform random variable on the consecutive integers a, a + 1, . . . , b, for a < b. The
mean and the variance of X are

a+b (b − a + 1)2 − 1
E(X) = , V (X) = (26)
2 12

Example 39

As in Example 2, let the random variable X denote the number of the 48 voice lines that are in use at a
particular time. Assume that X is a discrete uniform random variable with a range of 0 to 48. Then,
r
0 + 48 (48 − 0 + 1)2 − 1
E(X) = = 24, σ = = 14.14.
2 12
Practical Interpretation: The average number of lines in use is 24 but the dispersion (as measured by ) is
large. Therefore, at many times far more or fewer than 24 lines are in use.

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(b) Binomial Distribution B(n, p)

Definition 20 (Bernoulli Random Variable)

X is a Bernoulli random variable if the PMF of X has the form


1 − p,
 x = 0,
PX (x) = p, x = 1,

0, otherwise,


where the parameter p is in the range 0 < p < 1.

Theorem 13

The mean and variance of the Bernoulli random variable X are

E(X) = p and V ar(X) = p(1 − p) (27)

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(b) Binomial Distribution B(n, p)

Example 40

Suppose you test one circuit. With probability p, the circuit is rejected. Let X be the number of rejected
circuits in one test. What is PX (x)?

Solution
Because there are only two outcomes in the sample space, X = 1 with probability p and X = 0 with probability
1 − p.

1 − p,
 x = 0,
PX (x) = p, x = 1,

0, otherwise.


Therefore, the number of circuits rejected in one test is a Bernoulli (p) random variable.

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(b) Binomial Distribution B(n, p)

Remark 2 (Bernoulli Process)

Strictly speaking, the Bernoulli process must possess the following properties:
1 The trials are independent.
2 Each trial results in only two possible outcomes, labeled as “success” and “failure.”
3 The probability of a success in each trial, denoted as p, remains constant

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(b) Binomial Distribution B(n, p)

Definition 21 (Binomial random variable)

X is a binomial random variable if the probability distribution of X has the form

X 0 1 ... k ... n
(28)
P (X) Cn0 p0 q n Cn1 p1 q n−1 ... Cnk pk q n−k ... Cnn pn q 0

where P (X = k) = Cnk pk q n−k .

Definition 22 (Binomial random variable)

X is a binomial random variable if the PMF of X has the form

(
Cnx px (1 − p)n−x , for x = 0, 1, 2, . . . , n,
PX (x) = (29)
0, otherwise

where 0 < p < 1 and n is an integer such that n ≥ 1.

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(b) Binomial Distribution B(n, p)

Example 41

The probability that a patient recovers from a rare blood disease is 0.4. If 15 people are known to have
contracted this disease, what is the probability that (a) at least 10 survive, (b) from 3 to 8 survive, and (c)
exactly 5 survive?

Solution
Px=15
(a) P [X ≥ 10] = x=10 PX (x) = 0.0338.

P [3 ≤ X ≤ 8] = x=8
P
(b) x=3 PX (x) = 0.8779.

(c) 5
P [X = 5] = C15 (0.4)5 (0.6)10 = 0.1859.

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(b) Binomial Distribution B(n, p)

Definition 23 (Binomial Distribution)

The probability distribution of this discrete random variable is called the binomial distribution, and is
denoted by B(n, p) (or X ∼ B(n, p)).

Theorem 14

The mean and variance of the binomial random variable X are

µ = E(X) = np and σ 2 = V ar(X) = np(1 − p). (30)

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(b) Binomial Distribution B(n, p)

Figure 10: Binomial distributions for n = 20 and p = 0.5

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(b) Binomial Distribution B(n, p)

Theorem 15

If X is a binomial random variable with parameters p and n,

(n + 1)p − 1 ≤ mod(X) ≤ (n + 1)p (31)

Remark 3
Since Theorem 15,
(a) If (n + 1)p − 1 ∈ Z, then mod(X) = (n + 1)p − 1 and mod(X) = (n + 1)p.
(b) If (n + 1)p − 1 ∈
/ Z, then mod(X) = [(n + 1)p].

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(b) Binomial Distribution B(n, p)

Example 42

For the number of transmitted bits received in error in Example 8, n = 4 and p = 0.1, so

E(X) = np = 4 × 0.1 = 0.4 and V (X) = np(1 − p) = 4 × 0.1 × 0.9 = 0.36

and these results match those obtained from a direct calculation in Examples 26(a) and 35(a).

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(c) Poisson Distribution

Example 43

Consider the transmission of n bits over a digital communication channel. Let the random variable X
equal the number of bits in error. When the probability that a bit is in error is constant and the
transmissions are independent, X has a binomial distribution. Let p denote the probability that a bit is in
error. Let λ = np. Then, E(X) = np = λ and
 λ x  λ n−x
P (X = x) = Cnx px (1 − p)n−x = Cnx 1− .
n n
Now, suppose that the number of bits transmitted increases and the probability of an error decreases
exactly enough that pn remains equal to a constant. That is, n increases and p decreases accordingly, such
that E(X) = λ remains constant. Then, with some work, it can be shown that
 1 x 1  λ −x  λ n
Cnx → , 1− → 1, 1− → e−λ
n x! n n
so that
e−λ λx
lim P (X = x) = , x = 0, 1, 2, . . .
n→∞ x!
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(c) Poisson Distribution

Definition 24 (Poisson Random Variable)

X is a Poisson random variable if the probability distribution of X has the form

X 0 1 ... k ... n ...

λ0 −λ λ1 −λ λk −λ λn −λ (2.31.1)
p 0!
e 1!
e ... k!
e ... n!
e ...

λk −λ
where P (X = k) = e , λ > 0 is a constant.
k!

Definition 25 (Poisson random variable)

X is a Poisson random variable if the PMF of X has the form

 x −λ
λ e
, x = 0, 1, 2, . . .
PX (x) = x! (32)
0, otherwise,

where the parameter λ is in the range λ > 0.

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(c) Poisson Distribution

Definition 26 (Poisson Distribution)

Probability distribution of Poisson random variable is called the Poisson distribution, and is denoted by
P(λ).

Theorem 16

Both the mean and the variance of the Poisson distribution P(λ) are λ.

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(c) Poisson Distribution

Figure 11: Poisson distributions for λ = 5

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 2.5 IMPORTANT PROBABILITY DISTRIBUTIONS 2.5.1 Some Discrete Probability Distributions

(c) Poisson Distribution

Remark 4

Here are some examples of experiments for which the random variable X can be modeled by the Poisson
random variable:
1 The number of calls received by a switchboard during a given period of time.
2 The number of customer arrivals at a checkout counter during a given minute.
3 The number of machine breakdowns during a given day.
4 The number of traffic accidents at a given intersection during a given time period.
In each example, X represents the number of events that occur in a period of time or space during which
an average of λ such events can be expected to occur. The only assumptions needed when one uses the
Poisson distribution to model experiments such as these are that the counts or events occur randomly and
independently of one another.

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(c) Poisson Distribution

Example 44

The number of hits at a Web site in any time interval is a Poisson random variable. A particular site has
on average α = 2 hits per second.
(a) What is the probability that there are no hits in an interval of 0.25 seconds?
(b) What is the probability that there are no more than two hits in an interval of one second?

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(c) Poisson Distribution

Solution
(a) In an interval of 0.25 seconds, the number of hits H is a Poisson random variable with
λ = αT = (2hits/s) × (0.25s) = 0.5 hits. The PMF of H is

 (0.5)h × e−5

, h = 0, 1, 2, . . .
PH (h) = h!
0, otherwise.


The probability of no hits is

(0.5)0 × e−0.5
P (H = 0) = PH (0) = = 0.607.
0!

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(c) Poisson Distribution

Solution (continuous)
(b) In an interval of 1 second, λ = αT = (2hits/s) × (1s) = 2 hits. Letting J denote the number of hits in
one second, the PMF of J is
 j −2
 (2) × e , j = 0, 1, 2, . . .
PJ (j) = j!
0, otherwise.


To find the probability of no more than two hits, we note that {J ≤ 2} = {J = 0} ∪ {J = 1} ∪ {J = 2} is

the union of three mutually exclusive events. Therefore,

P (J ≤ 2) = P (J = 0) + P (J = 1) + P (J = 2)
= PJ (0) + PJ (1) + PJ (2)
21 × e−2 22 × e−2
= e−2 + + = 0.677.
1! 2!

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(d) Approximation of Binomial Distribution by a Poisson

Distribution

Theorem 17

Let X be a binomial random variable with probability distribution B(n, p). When n → ∞, p → 0, and
np → µ as n → ∞ remains constant,

B(n, p) → P(λ) as n→∞ (33)

Remark 2
The Poisson distribution provides a simple, easy-to-compute, and accurate approximation to binomial
probabilities when n is large and λ = np is small, preferably with np < 7.

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(d) Approximation of Binomial Distribution by a Poisson

Distribution

Example 45
Suppose a life insurance company insures the lives of 5000 men aged 42. If actuarial studies show the
probability that any 42-year-old man will die in a given year to be 0.001, find the exact probability that
the company will have to pay X = 4 claims during a given year.

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(d) Approximation of Binomial Distribution by a Poisson

Distribution

Solution
The exact probability is given by the binomial distribution as
5000!
P (X = 4) = (0.001)4 (0.999)4996
4!4996!
for which binomial tables are not available.
To compute P (X = 4) without the aid of a computer would be very time-consuming, but the Poisson
distribution can be used to provide a good approximation to P (X = 4). Computing
λ = np = (5000)(0.001) = 5 and substituting into the formula for the Poisson probability distribution, we
have
54 −5 (625)(0.006738)
P (X = 4) ' e = = 0.175.
4! 24

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(d) Approximation of Binomial Distribution by a Poisson

Distribution

Example 46

In a certain industrial facility, accidents occur infrequently. It is known that the probability of an accident
on any given day is 0.005 and accidents are independent of each other.
(a) What is the probability that in any given period of 400 days there will be an accident on one day?
(b) What is the probability that there are at most three days with an accident?

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(d) Approximation of Binomial Distribution by a Poisson

Distribution

Solution
Let X be a binomial random variable with n = 400 and p = 0.005. Thus, np = 2. Using the Poisson
approximation,
(a) P (X = 1) = e−1 21 = 0.271 and
P3 e−2 2x
(b) P (X ≤ 3) = x=0 = 0.857.
x!

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(a) Continuous Uniform Distribution

Definition 27 (Uniform random variable)

X is a uniform U[a, b] random variable if the PDF of X is


 1 , a ≤ x ≤ b,
fX (x) = b − a (34)
0, otherwise,

where the two parameters are b > a.

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(a) Continuous Uniform Distribution

fX (x)

1
b−a

x
O a b

Figure 12: The density function for a random variable on the interval [a, b]

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(a) Continuous Uniform Distribution

Example 47
Suppose that a large conference room at a certain company can be reserved for no more than 4 hours.
Both long and short conferences occur quite often. 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?

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(a) Continuous Uniform Distribution

Solution
(a) The appropriate density function for the uniformly distributed random variable X in this situation is

 1 , 0 ≤ x ≤ 4,
f (x) = 4
0, otherwise.

Z 4
1 1
(b) P (X ≥ 3) = dx = .
3 4 4

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(a) Continuous Uniform Distribution

Figure 13: The density function for a random variable on the interval [1, 3]

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(a) Continuous Uniform Distribution

Theorem 18

If X is a uniform U[a, b] random variable,

1 The CDF of X is


 0, x ≤ a,
x − a
FX (x) = , a < x ≤ b, (35)

 b−a
1, x > b.


2 The expected value and the variance of X are

a+b (b − a)2
E(X) = and V ar(X) = (36)
2 12

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(a) Continuous Uniform Distribution

FX (x)

1
b−a

x
O a b

Figure 14: The CDF for a random variable on the interval [a, b]

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(a) Continuous Uniform Distribution

Example 48

The random variable X in Example 21 is a uniform U[0, 20] random variable. Then,

0 + 20 202
E(X) = = 10 mA and V (X) = = 33.3333 mA2
2 12
and these results match those obtained from a direct calculation in Examples 26(b) and 31(b).

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(a) Continuous Uniform Distribution

Theorem 19

Let X be a uniform U[a, b] random variable, where a and b are both integers. Let K = [X]. Then K is a
discrete uniform [a + 1, b] random variable.

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(b) Exponential Distribution

Introduction
The discussion of the Poisson distribution defined a random variable to be the number of flaws along a
length of copper wire.
The distance between flaws is another random variable that is often of interest. Let the random variable X
denote the length from any starting point on the wire until a flaw is detected.
As you might expect, the distribution of X can be obtained from knowledge of the distribution of the
number of flaws.
The key to the relationship is the following concept. The distance to the first flaw exceeds 3 millimeters if
and only if there are no flaws within a length of 3 millimeters–simple, but sufficient for an analysis of the
distribution of X.

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(b) Exponential Distribution

Introduction
In general, let the random variable N denote the number of flaws in x millimeters of wire. If the mean
number of flaws is λ per millimeter, N has a Poisson distribution with mean λx.
We assume that the wire is longer than the value of x. Now

e−λx (λx)0
P (X > x) = P (N = 0) = = e−λx .
0!

Therefore,
FX (x) = P (X < x) = 1 − e−λx , x≥0
is the cumulative distribution function of X. By differentiating F( x), the probability density function of X
is calculated to be
fX (x) = e−λx , x ≥ 0.

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(b) Exponential Distribution

Definition 28 (Exponential random variable)

The random variable X that equals the distance between successive events of a Poisson process with mean
number of events λ > 0 per unit interval is an exponential random variable with parameter λ. The
probability density function of X is
(
λe−λx , x ≥ 0,
fX (x) = (37)
0, otherwise.

Note
The exponential distribution obtains its name from the exponential function in the probability density function.
Plots of the exponential distribution for selected values of λ are shown in Fig. 15. For any value of λ, the
exponential distribution is quite skewed.

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(b) Exponential Distribution

Note

Figure 15: Probability density function of exponential random variables for selected values of λ

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(b) Exponential Distribution

Example 49

The probability that a telephone call lasts no more than t minutes is often modeled as an exponential CDF.
(
1 − e−t/3 , t ≥ 0,
FT (t) =
0, otherwise.

(a) What is the PDF of the duration in minutes of a telephone conversation? (b) What is the probability
that a conversation will last between 2 and 4 minutes?

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(b) Exponential Distribution

Solution
(a) We find the PDF of T by taking the derivative of the CDF:

 1 e−t/3 , t ≥ 0,
dFT (t)
fT (t) = = 3
dt 0, otherwise.

Therefore, observing Definition 28, we recognize that T is an exponential (λ = 1/3) random variable.
(b) The probability that a call lasts between 2 and 4 minutes is

P [2 ≤ T ≤ 4] = FT (4) − FT (2) = e−2/3 − e−4/3 = 0.250.

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(b) Exponential Distribution

Example 50

In Example 49, what is E(T ), the expected duration of a telephone call? What are the variance and
standard deviation of T ? What is the probability that a call duration is within ±1 standard deviation of
the expected call duration?

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(b) Exponential Distribution

Solution
Using the PDF fT (t) in Example 49, we calculate the expected duration of a call:
+∞
Z +∞
Z
1
E(T ) = tfT (t)dt = t e−t/3 dt.
3
−∞ 0

Integration by parts yields

+∞
Z
+∞
−t/3
E(T ) = −te + e−t/3 dt = 3 minutes.
0
0

To calculate the variance, we begin with the second moment of T :

+∞
Z +∞
Z
1
2
E(T ) = 2
t fT (t)dt = t2 e−t/3 dt.
3
−∞ 0

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(b) Exponential Distribution

Solution (continuous)
Again integrating by parts, we have
+∞
Z +∞
Z
+∞
2 −t/3 −t/3
2
E(T ) = −t e + 2te dt = 2 te−t/3 dt.
0
0 0

Z +∞
With the knowledge that E(T ) = 3, we observe that te−t/3 dt = 3E(T ) = 9. Thus
0
E(T 2 ) = 6E(T ) = 18 and

V ar(T ) = E(T 2 ) − (E(T ))2 = 18 − 32 = 9.

p
The standard deviation is σT = V ar(T ) = 3 minutes. The probability that the call duration is within
±1 standard deviation of the expected value is

P (0 ≤ T ≤ 6) = FT (6) − FT (0) = 1 − e−2 = 0.865.

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(b) Exponential Distribution

Theorem 20

If X is an exponential Exp(λ) random variable,

(
1 − e−λx , x ≥ 0,
(a) FX (x) =
0, otherwise.
(b) µ = E(X) = 1/λ.
(c) σ 2 = V ar(X) = 1/λ2 .

Remark 5

P (X > x) = 1 − P (X ≤ x) = 1 − P (X < x) = 1 − FX (x) = e−λx x ≥ 0.

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(b) Exponential Distribution

Example 51

Let X denote the time between detections of a particle with a Geiger counter and assume that X has
an exponential distribution with E(X) = 1.4 minutes. The probability that we detect a particle
within 30 seconds of starting the counter is

P (X < 0.5 minute) = FX (0.5) − FX (0) = 1 − e−0.5/1.4 = 0.3

In this calculation, all units are converted to minutes. Now, suppose we turn on the Geiger counter
and wait 3 minutes without detecting a particle. What is the probability that a particle is detected in
the next 30 seconds?
Because we have already been waiting for 3 minutes, we feel that we are “due.” That is, the
probability of detection in the next 30 seconds should be greater than 0.3. However, for an
exponential distribution, this is not true. The requested probability can be expressed as the
conditional probability that P (X < 3.5|X > 3). From the definition of conditional probability,

P (3 < X < 3.5) FX (3.5) − FX (3) 0.035

P (X < 3.5|X > 3) = = = = 0.30.
P (X > 3) 1 − FX (3) 0.117
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(b) Exponential Distribution

Note
Practical Interpretation: After waiting for 3 minutes without a detection, the probability of a detection in
the next 30 seconds is the same as the probability of a detection in the 30 seconds immediately after
starting the counter. The fact that you have waited 3 minutes without a detection does not change the
probability of a detection in the next 30 seconds.
Example 51 illustrates the lack of memory property of an exponential random variable, and a general
statement of the property follows. In fact, the exponential distribution is the only continuous distribution
with this property.

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(b) Exponential Distribution

Remark 6

P (X > t + s|X > t) = P (X > s).

Note
Figure 16 graphically illustrates the lack of memory property. The area of region A divided by the total area
under the probability density function equals. The area of region C divided by the area equals The lack of
memory property implies that the proportion of the total area that is in A equals the proportion of the area in C
and D that is in C. The mathematical verification of the lack of memory property is left as a mind-expanding
exercise.

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(b) Exponential Distribution

Figure 16: Probability density function of exponential random variables for selected values of λ

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(b) Exponential Distribution

Example 52

Phone company A charges $0.15 per minute for telephone calls. For any fraction of a minute at the end of
a call, they charge for a full minute. Phone company B also charges $0.15 per minute. However, Phone
company B calculates its charge based on the exact duration of a call. If T , the duration of a call in
minutes, is an exponential (λ = 1/3) random variable, what is the PDF of T ? What is the expected value
of T ? What are the expected revenues per call E[RA ] and E[RB ] for companies A and B?

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(b) Exponential Distribution

Solution
Because T is an exponential (λ = 1/3) random variable,

 1 e− 13 t , t ≥ 0,
fT (t) = 3
0, otherwise.

We have in Theorem 20 (and in Example 50),

+∞
Z
1
E(T ) = tfT (t)dt = = 3 minutes per call.
λ
−∞

Therefore, for phone company B, which charges for the exact duration of a call,

E(RB ) = 0.15 × E(T ) = 0.45 dolars per call.

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(b) Exponential Distribution

Solution (continuous)
Company A, by contrast, collects $0.15[T ] for a call of duration T minutes (T = 1.2, [T ] = 2 . . . ).
Put K = [T ]. The expected revenue for company A is E(RA ) = 0.15 × E(K).
P (K = k) = P (k − 1 < X ≤ k) = FX (k) − FX (k − 1) = (e−λ )k−1 (1 − e−λ ).
∞ ∞ 1
k(1 − p)k−1 p = , where p = 1 − e−λ .
P P
E(K) = kP (K = k) =
k=1 k=1 p
Hence,
0.15 0.15
E(RA ) = = = (0.15) × (3.5285) = 0.5292 dolars per call.
p 0.2834

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(c1) Normal Distribution N (µ, σ 2 )

Introduction
The most important continuous probability distribution in the entire field of statistics is the normal
distribution. Its graph, called the normal curve, is the bell-shaped curve of Figure 17, which approximately
describes many phenomena that occur in nature, industry, and research.

Figure 17: The normal curve

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(c1) Normal Distribution N (µ, σ 2 )

Introduction
The normal distribution is often referred to as the Gaussian distribution, in honor of Karl Friedrich Gauss
(1777–1855), who also derived its equation from a study of errors in repeated measurements of the same
quantity.
A continuous random variable X having the bell-shaped distribution of Figure 17 is called a normal
random variable. The mathematical equation for the probability distribution of the normal variable
depends on the two parameters µ and σ, its mean and standard deviation, respectively. Hence, we denote
the normal distribution by N (µ, σ 2 ).

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(c1) Normal Distribution N (µ, σ 2 )

Definition 29 (PDF)

The PDF of the normal random variable X, with mean µ and variance σ 2 , is

(x − µ)2
1 −
fX (x) = √ e 2σ 2 , −∞ < x < ∞, (38)
σ 2π
where π = 3.14159 . . . and e = 2.71828 . . . .

Note
Once µ and σ are specified, the normal curve is completely determined. For example, if µ = 50 and σ = 5, then
the ordinates N (50, 5) can be computed for various values of x and the curve drawn.

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(c1) Normal Distribution N (µ, σ 2 )

Figure 18
In Figure 18, we have sketched two normal curves having the same standard deviation but different means. The
two curves are identical in form but are centered at different positions along the horizontal axis.

Figure 18: Normal curves with µ1 < µ2 and σ1 = σ2

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(c1) Normal Distribution N (µ, σ 2 )

Figure 19
In Figure 19, we have sketched two normal curves with the same mean but different standard deviations.

Figure 19: Normal curves with µ1 = µ2 and σ1 < σ2

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(c1) Normal Distribution N (µ, σ 2 )

Figure 20
Figure 20 shows two normal curves having different means and different standard deviations.

Figure 20: Normal curves with µ1 < µ2 and σ1 < σ2

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(c1) Normal Distribution N (µ, σ 2 )

Note
Based on inspection of Figures 17 through 20 and examination of the first and second derivatives of N (µ, σ 2 ),
we list the following properties of the normal curve:
1 The mode, which is the point on the horizontal axis where the curve is a maximum, occurs at x = µ.
2 The curve is symmetric about a vertical axis through the mean µ.
3 The curve has its points of inflection at x = µ ± σ; it is concave downward if µ − σ < X < µ + σ and is
concave upward otherwise.
4 The normal curve approaches the horizontal axis asymptotically as we proceed in either direction away
from the mean.
5 The total area under the curve and above the horizontal axis is equal to 1.

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(c1) Normal Distribution N (µ, σ 2 )

Theorem 21

The mean and variance of the normal random variable are µ and σ 2 , respectively. Hence, the standard
deviation is σ.

Theorem 22

If X is normal random variable N (µ, σ 2 ), Y = aX + b is normal random variable N (aµ + b, a2 σ 2 ).

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(c2) Standard Normal Distribution. Area Under the Normal Curve

Introduction
Put
X −µ
Z=
.
σ
If X is a normal random variable with mean µ and variance σ 2 then Z is seen to be a normal random variable
with mean 0 and variance 1.

Definition 30 (Standard normal distribution)

The distribution of a normal random variable with mean 0 and variance 1 is called a standard normal
distribution.

PDF
The PDF of the standard normal random variable Z is
1 z2
ϕZ (z) = √ e− 2 .
2π

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(c2) Standard Normal Distribution. Area Under the Normal Curve

Figure 21: Standardizing a normal random variable

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(c2) Standard Normal Distribution. Area Under the Normal Curve

Definition 31 (CDF)

The CDF of the standard normal random variable Z is

Zz
1 u2
Φ(z) = √ e− 2 du.
2π
−∞

Theorem 23

If X is a normal random variable N (µ, σ 2 ), the CDF of X is

x − µ
FX (x) = Φ .
σ
The probability that X is in the interval (x1 , x2 ) is
x − µ x − µ
2 1
P (x1 < X < x2 ) = Φ −Φ .
σ σ
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(c2) Standard Normal Distribution. Area Under the Normal Curve

Corollary 2
β − µ
(a) P (X < β) = Φ .
σ
α − µ
(b) P (X > α) = 1 − Φ .
σ
(c) P (|X − µ| < ε) = 2Φ σε − 1.

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(c2) Standard Normal Distribution. Area Under the Normal Curve

Example 53

Suppose the current measurements in a strip of wire are assumed to follow a normal distribution with a
mean of 10 milliamperes and a variance of 4 (milliamperes)2. What is the probability that a measurement
will exceed 13 milliamperes?

Solution
Let X denote the current in milliamperes. The requested probability can be represented as P (X > 13). Using
Corollary 2 and Table 2.1,
 13 − 10 
P (X > 13) = 1 − Φ = 1 − Φ(1.5) = 1 − 0.93319 = 0.06681.
2

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(c2) Standard Normal Distribution. Area Under the Normal Curve

Note
Some useful results concerning a normal distribution are summarized below and in Fig. 22. For any normal
random variable,

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 22: Probabilities associated with a normal distribution

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Note
The curve of any continuous probability distribution or probability density function is constructed so that the
area under the curve bounded by the two ordinates x = x1 and x = x2 equals the probability that the random
variable X assumes a value between x = x1 and x = x2 . Thus, for the normal curve in Figure 23,
Zx2 (x−µ)2
1 −
P (x1 < X < x2 ) = √ e 2σ 2 dx
σ 2π
x1

is represented by the area of the shaded region.

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Figure 23: 23 P (x1 < X < x2 ) = area of the shaded region

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Remark 3
In using Theorem 23, we transform values of a norm random variable, X, to equivalent values of the
standard normal random variable, Z. For a sample value x of the random variable X, the
corresponding sample value of Z is
x−µ
z= or equivalently, x = µ + zσ. (39)
σ

The original and transformed distributions are illustrated in Figure 24. Since all the values of X
falling between x1 and x2 have corresponding z values between z1 and z2 , the area under the X-curve
between the ordinates x = x1 and x = x2 in Figure 24 equals the area under the Z-curve between the
transformed ordinates z = z1 and z = z2 .

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Figure 24: The original and transformed normal distributions

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Remark 4

The probability distribution for Z, shown in Figure 25, is called the standardized normal distribution
because its mean is 0 and its standard deviation is 1. Values of Z on the left side of the curve are
negative, while values on the right side are positive.
The area under the standard normal curve to the left of a specified value of Z say, z0 is the
probability P (Z ≤ z0 ). This cumulative area is recorded in Table 2.1 and is shown as the shaded area
in Figure 25.

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Figure 25: Standardized normal distribution

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Example 54

Suppose your score on a test is x = 46, a sample value of the Gaussian (61, 102 ) random variable. Express
your test score as a sample value of the standard normal random variable, Z.

Solution
Equation (39) indicates that z = (46 − 61)/10 = −1.5. Therefore your score is 1.5 standard deviations less than
the expected value.

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Remark 7

To find probabilities of norm random variables, we use the values of (z) presented in Table 2.1. Note that
this table contains entries only for z ≥ 0. For negative values of z, we apply the following property of Φ(z).

Theorem 24

Φ(−z) = 1 − Φ(z).

Remark 8

Figure 26 displays the symmetry properties of Φ(z). Both graphs contain the standard normal PDF. In
Figure 26(a), the shaded area under the PDF is Φ(z). Since the area under the PDF equals 1, the
unshaded area the PDF is 1 − Φ(z). In Figure 26(b), the shaded area on the right is 1 − Φ(z) and the
shaded area on the left is Φ(−z). This graph demonstrates that Φ(−z) = 1 − Φ(z).

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Remark 3.7

Figure 26: Standardized normal distribution

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 2.5 IMPORTANT PROBABILITY DISTRIBUTIONS 2.5.2 Some Continuous Probability Distributions
Z x
−t2
Table 2.1: The values of Φ(x) = √1 e 2 dt
2π
−∞

x 0 1 2 3 4 5 6 7 8 9
0,0 0,50000 50399 50798 51197 51595 51994 52392 52790 53188 53586
0,1 53983 54380 54776 55172 55567 55962 56356 56749 57142 57535
0,2 57926 58317 58706 59095 59483 59871 60257 60642 61026 61409
0,3 61791 62172 62556 62930 63307 63683 64058 64431 64803 65173
0,4 65542 65910 66276 66640 67003 67364 67724 68082 68439 68739
0,5 69146 69447 69847 70194 70544 70884 71226 71566 71904 72240
0,6 72575 72907 73237 73565 73891 74215 74537 74857 75175 75490
0,7 75804 76115 76424 76730 77035 77337 77637 77935 78230 78524
0,8 78814 79103 79389 79673 79955 80234 80511 80785 81057 81327
0,9 81594 81859 82121 82381 82639 82894 83147 83398 83646 83891
1,0 84134 84375 84614 84850 85083 85314 85543 85769 85993 86214
1,1 86433 86650 86864 87076 87286 87493 87698 87900 88100 88298
1,2 88493 88686 88877 89065 89251 89435 89617 89796 89973 90147
1,3 90320 90490 90658 90824 90988 91149 91309 91466 91621 91774
1,4 91924 92073 92220 92364 92507 92647 92786 92922 93056 93189
1,5 93319 93448 93574 93699 93822 93943 94062 94179 94295 94408
1,6 94520 94630 94738 94845 94950 95053 95154 95254 95352 95449
1,7 95543 95637 95728 95818 95907 95994 96080 96164 96246 96327
1,8 96407 96485 96562 96638 96712 96784 96856 96926 96995 97062
1,9 97128 97193 97257 97320 97381 97441 97500 97558 97615 97670

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Z x
−t2
Table 2.1: The values of Φ(x) = √1 e 2 dt
2π
−∞

x 0 1 2 3 4 5 6 7 8 9
2,0 97725 97778 97831 97882 97932 97982 98030 98077 98124 98169
2,1 98214 98257 98300 98341 98382 98422 99461 98500 98537 98574
2,2 98610 98645 98679 98713 98745 98778 98809 98840 98870 98899
2,3 98928 98956 98983 99010 99036 99061 99086 99111 99134 99158
2,4 99180 99202 99224 99245 99266 99285 99305 99324 99343 99361
2,5 99379 99396 99413 99430 99446 99261 99477 99492 99506 99520
2,6 99534 99547 99560 99573 99585 99598 99609 99621 99632 99643
2,7 99653 99664 99674 99683 99693 99702 99711 99720 99728 99763
2,8 99744 99752 99760 99767 99774 99781 99788 99795 99801 99807
2,9 99813 99819 99825 99831 99836 99841 99846 99851 99856 99861
3,0 0,99865 3,1 99903 3,2 99931 3,3 99952 3,4 99966
3,5 99977 3,6 99984 3,7 99989 3,8 99993 3,9 99995
4,0 999968
4,5 999997
5,0 99999997

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(c2) Standard Normal Distribution. Area Under the Normal Curve

Example 55

If X is the norm random variable N (61, 102 ), what is P (X ≤ 46)?

Solution
Applying Theorem 23 and the result of Example 54, we have

P (X ≤ 46) = Φ(−1.5) = 1 − Φ(1.5) = 1 − 0.93319 = 0.06681.

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Example 56

If X is a Gaussian random variable with µ = 61 and σ = 10, what is P (51 < X ≤ 71)?

Solution
Applying Equation (39), we find that the event {51 < X ≤ 71} corresponds to {−1 < Z ≤ 1}. The probability
of this event is

Φ(1) − Φ(−1) = Φ(1) − [1 − Φ(1)] = 2Φ(1) − 1 = 0.68268.

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(c3) The Normal Approximation to the Binomial Probability

Distribution

Introduction
Probabilities associated with binomial experiments are readily obtainable from the formula B(n, p) of the
binomial distribution when n is small.
In the previous section, we illustrated how the Poisson distribution can be used to approximate binomial
probabilities when n is quite large and p is very close to 0 or 1. Both the binomial and the Poisson
distributions are discrete.
We now state a theorem that allows us to use areas under the normal curve to approximate binomial
properties when n is sufficiently large.

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Distribution

Theorem 25
If X is a binomial random variable with mean µ = np and variance σ 2 = npq, then the limiting form of the
distribution of
X − np
Z= √ ,
npq
as n → ∞, is the standard normal distribution N (0, 1).

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(c3) The Normal Approximation to the Binomial Probability

Distribution

Note
It turns out that the normal distribution with µ = np and σ 2 = npq not only provides a very accurate
approximation to the binomial distribution when n is large and p is not extremely close to 0 or 1 but also
provides a fairly good approximation even when n is small and p is reasonably close to 1/2.
To illustrate the normal approximation to the binomial distribution, we first draw the histogram for
B(15, 0.4) and then superimpose the particular normal curve having the same mean and variance as the
binomial variable X. Hence, we draw a normal curve with µ = np = (15)(0.4) = 6 and
σ 2 = npq = (15)(0.4)(0.6) = 3.6. The histogram of B(15, 0.4) and the corresponding superimposed
normal curve, which is completely determined by its mean and variance, are illustrated in Figure 27.

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Distribution

Figure 27: Normal approximation of B(15, 0.4)

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Theorem 26 (Normal Approximation to the Binomial Distribution)

Let X be a binomial random variable with n trials and probability p of success. The probability
distribution of X is approximated using a normal curve with
√
µ = np and σ = npq,

and
 k + 0.5 − µ   k − 0.5 − µ 
P (X = k) ' Φ −Φ (40)
σ σ

and
 k + 0, 5 − µ   k − 0, 5 − µ 
2 1
P (k1 ≤ X ≤ k2 ) ' Φ −Φ (41)
σ σ

and the approximation will be good if np and n(1 − p) are greater than or equal to 5.

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Remark 5
(a) Since the normal distribution is continuous, the area under the curve at any single point is equal to 0.
Keep in mind that this result applies only to continuous random variables. Because the binomial
random variable X is a discrete random variable, the probability that X takes some specific value
say, X = 11 will not necessarily equal 0.
(b) Figures 28 and 29 show the binomial probability histograms for n = 25 with p = 0.5 and p = 0.1,
respectively. The distribution in Figure 28 is exactly symmetric.
(c) If you superimpose a normal curve with the same mean, µ = np, and the same standard deviation,
√
σ = npq, over the top of the bars, it “fits” quite well; that is, the areas under the curve are almost
the same as the areas under the bars. However, when the probability of success, p, gets small and the
distribution is skewed, as in Figure 29, the symmetric normal curve no longer fits very well. If you try
to use the normal curve areas to approximate the area under the bars, your approximation will not
be very good.

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Figure 28: The binomial probability distribution for n = 25 and p = 0.5 and the approximating normal
distribution with µ = 12.5 and σ = 2.5

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Figure 29: The binomial probability distribution and the approximating normal distribution for n = 25
and p = 0.1

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Example 57

Use the normal curve to approximate the probability that X = 8, 9, or 10 for a binomial random variable
with n = 25 and p = 0.5. Compare this approximation to the exact binomial probability.

Solution
You can find the exact binomial probability for this example because there are cumulative binomial tables
for n = 25,
8 9 10

P (X = 8) + P (X = 9) + P (X = 10) = C25 + C25 + C25 (0.5)25 ' 0.190535.

To use the normal approximation, first find the appropriate mean and standard deviation for the normal
√
curve: µ = np = 12.5, σ = npq = 2.5. It follows from (41) that

P (8 ≤ X ≤ 10) = Φ(−0.8) − Φ(−2) = 0.18911.

You can compare the approximation, 0.18911, to the actual probability, 0.190535. They are quite close!

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Remark 9

The normal approximation to the binomial probabilities will be adequate if both np > 5 and n(1 − p) > 5.

Example 58

The reliability of an electrical fuse is the probability that a fuse, chosen at random from production, will
function under its designed conditions. A random sample of 1000 fuses was tested and X = 27 defectives
were observed. Calculate the approximate probability of observing 27 or more defectives, assuming that
the fuse reliability is 0.98.

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Solution
The probability of observing a defective when a single fuse is tested is p = 0.02, given that the fuse
√
reliability is 0.98. Then µ = np = 20, σ = npq = 4.43.
The probability of 27 or more defective fuses, given n = 1000, is

P (X ≥ 27) = P (X = 27) + P (X = 28) + · · · + P (X = 1000).

It is appropriate to use the normal approximation to the binomial probability because np = 20 and
nq = 980 are both greater than 5. So
 1000 + 0.5 − 20   27 − 0.5 − 20 
P (27 ≤ X ≤ 1000) = Φ −Φ
4.43 4.43
= 1 − Φ(1.47) = 1 − 0.92922 = 0.07078.

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Solution (continuous)

Figure 30: Normal approximation to the binomial for Example 58

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