Contents

3 Continuous Probability Distributions 2

3.1 Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
3.1.1 Continuous Random Variable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
3.1.2 Probability Density Function (pdf) . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
3.1.3 Cumulative Distribution Function (cdf) . . . . . . . . . . . . . . . . . . . . . . . . 3
3.1.4 Expectation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
3.1.5 Moment Generating Function (mgf), Moments and Variance . . . . . . . . . . . . 4
3.2 Uniform or Rectangular Distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
3.3 Gamma Distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
3.3.1 Exponential Distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
3.3.2 Online calculator for probabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
3.3.3 Chi-Squared (χ2 ) Distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
3.4 Normal Distribution (Gaussian distribution) . . . . . . . . . . . . . . . . . . . . . . . . . . 12
3.4.1 Standard Normal Distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
3.4.2 Seeing the values from normal distribution table . . . . . . . . . . . . . . . . . . . 16
3.5 Density of a dependent random variable . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
3.6 Chebyshev’s Inequality . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
3.7 Approximation of Binomial distribution by Normal distribution . . . . . . . . . . . . . . . 20
3.8 Approximation of Poisson distribution by Normal distribution . . . . . . . . . . . . . . . . 21
3.9 Student t-Distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
3.9.1 Symmetry of the t-distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
3.10 F -distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
3.11 Misc. Practice Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27

Note: Comments/suggestions on these lecture notes are welcome on the e-mail: [email protected] to
Dr. Suresh Kumar.

1
Chapter 3

Continuous Probability Distributions

3.1 Definitions
3.1.1 Continuous Random Variable
A continuous random variable is a variable X that takes all values x in an interval or intervals of real
numbers, and its probability for a particular value is 0.
For example, if X denotes the lifetime of a person, then it is a continuous random variable because
lifetime happens to be continuous, no matter how small or big it is.

3.1.2 Probability Density Function (pdf )

A function f is called probability density function (pdf) of a continuous random variable X if it
satisfies the following conditions:

(i) f (x) ≥ 0 for all x.

Z b
(ii) P (a ≤ X ≤ b) = f (x)dx, i.e., f (x) gives probability of X lying in any given interval [a, b],
Z ∞ a

(iii) f (x)dx = 1.
−∞

We immediately notice the following points.

1. The condition f (x) ≥ 0 implies that the graph of y = f (x) lies on or above x-axis.
Z ∞
2. The condition f (x)dx = 1 graphically implies that the total area under the curve y = f (x) is
−∞
Z b
1. Therefore, P (a ≤ X ≤ b) = f (x)dx implies the area under the curve y = f (x) from x = a to
a
x = b as shown in Figure 3.1

3. P (a ≤ X ≤ b) = P (a < X ≤ b) = P (a < X < b) since P (X = a) = 0, P (X = b) = 0.

2
 f (x)

a b
x

Z b
Figure 3.1: The shaded golden region gives the probability P (a ≤ X ≤ b) = f (x)dx.
a

3.1.3 Cumulative Distribution Function (cdf )

A function F defined by
Z x
F (x) = P (X ≤ x) = f (y)dy
−∞

is called cumulative distribution function (cdf) of X. See Figure 3.2, where the shaded golden region
gives the value of P (X ≤ b) = F (b).

We notice that Z b Z a
(i) P (a ≤ X ≤ b) = f (y)dy − f (y)dy = F (b) − F (a).
−∞ −∞
(ii) F ′ (x) = f (x), provided the differentiation is permissible.
f (x)

a b
x

Figure 3.2: The shaded golden region gives the probability P (X ≤ b) = F (b).

3
3.1.4 Expectation
The expectation of a random variable X having density f is defined as
Z ∞
E(X) = xf (x)dx.
−∞

In general, the expectation of H(X), a function of X, is defined as

Z ∞
E(H(X)) = H(x)f (x)dx.
−∞

3.1.5 Moment Generating Function (mgf ), Moments and Variance

The moment generating function of X is defined as
Z ∞
mX (t) = E(eXt ) = ext f (x)dx.
−∞

The kth ordinary moment , mean and variance of X are respectively, given by
Z ∞  k 
k k d
E(X ) = x f (x)dx = [mX (t)] ,
−∞ dtk t=0
Z ∞
µ = E(X) = xf (x)dx,
−∞
Z ∞ Z ∞ 2
2 2 2 2
σ = E(X ) − E(X) = x f (x)dx − xf (x)dx .
−∞ −∞
Ex. Verify whether the function

12.5x − 1.25, 0.1 ≤ x ≤ 0.5
f (x) =
0 elsewhere

is density function of X. If so, find F (x), P (0.2 ≤ X ≤ 0.3), µ and σ 2 .

Sol. We find
Z ∞ Z 0.5 Z 0.5
f (x)dx = f (x)dx = (12.5x − 1.25)dx = 1.
−∞ 0.1 0.1

So f is a density function. Also, see the shaded golden triangular region under the plot of f (x) in Figure
3.3. The area of this right angled triangle is 12 (0.5 − 0.1)5 = 1, as expected.
Further,
 
 0,
Rx x < 0.1  0, x < 0.1
F (x) = (12.5y − 1.25)dy, 0.1 ≤ x ≤ 0.5 = 6.25x 2 − 1.25x + 0.625, 0.1 ≤ x ≤ 0.5
 0.1
1, x > 0.5 1, x > 0.5


4
 6

f (x)
3

0
0.1 0.5
x

Figure 3.3: The area of the shaded golden triangular region gives the total probability.

Z 0.3 Z 0.3
P (0.2 ≤ X ≤ 0.3) = f (x)dx = (12.5x − 1.25)dx = 0.1875, which is the area of the shaded
0.2 0.2
golden region as shown in Figure 3.4.

4
f (x)

1
0.1875

0
0.1 0.2 0.3 0.5
x

Figure 3.4: The shaded golden triangular region gives probability P (0.2 ≤ X ≤ 0.3) = 0.1875.

Z 0.5 Z 0.5
µ= xf (x)dx = x(12.5x − 1.25)dx = 0.3667.
0.1 0.1
Z 0.5 Z 0.5 2 Z 0.5 Z 0.5 2
σ2 = x2 f (x)dx− xf (x)dx = x2 (12.5x−1.25)dx− x(12.5x − 1.25)dx = 0.00883.
0.1 0.1 0.1 0.1

5
3.2 Uniform or Rectangular Distribution
A random variable X is said to have uniform distribution if its density function f (x) is constant for all
values of x, say,

k, a ≤ x ≤ b
f (x) =
0, elsewhere
Z ∞
Then the normalizing constant k is given by the density function condition f (x)dx = 1, which leads
−∞
1
to k = . Thus the continuous random variable X has the following uniform distribution:
b−a
 1
f (x) = b−a , a ≤ x ≤ b
0, elsewhere

In this case, the area under the curve is in the form of a rectangle as shown in Figure 3.5. That is
why the name rectangular is there.

1
b−a
f (x)

0
a b
x

Figure 3.5: The area of the shaded golden rectangular region gives the total probability 1.

You may easily derive the following for the uniform distribution.
Z b
1 b+a
µ = E(X) = xdx = ,
b−a a 2
Z b Z b 2
(b − a)2

2 2 2 1 2 1
σ = E(X ) − E(X) = x dx − xdx = .
b−a a b−a a 12
Z b
tX 1 ebt − eat
mX (t) = E(e ) = etx dx = ..
b−a a (b − a)t
0, x<a
 

 1 R  0, x<a
x x−a
F (x) = a dy, a ≤ x ≤ b
= , a≤x≤b
 b−a  b−a
1, x>b

1, x>b
Ex. 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. Assume that the length X of a conference has

6
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?

Sol. (a)
1

4, 0≤x≤4
f (x) =
0, elsewhere
R4 1
(b) P (X ≥ 3) = 3 4 dx = 14 .

3.3 Gamma Distribution

Consider a Poisson process where Y is the Poisson random variable, and λ is the mean number of Poisson
events per unit time. Suppose T is waiting time for the occurrence of the first Poisson event. If no Poisson
event occurs in the time interval [0, t], then T > t. It implies that

e−λt (λt)0
P (T > t) = P (Y = 0) = = e−λt .
0!
Thus, the cumulative distribution function for T is given by

F (t) = P (0 ≤ T ≤ t) = 1 − P (T > t) = 1 − e−λt .

Therefore, the density function of T reads

f (t) = F ′ (t) = λe−λt .

Now, suppose T is waiting time for the occurrence of two Poisson events. If one Poisson event occurs
in the time interval [0, t], then T > t. It implies that

e−λt (λt)0 e−λt (λt)1

P (T > t) = P (Y = 0) + P (Y = 1) = + = e−λt + λte−λt .
0! 1!
Then, the cdf of T is given by

F (t) = P (0 ≤ T ≤ t) = 1 − P (T > t] = 1 − e−λt − λte−λt .

Therefore, the density function of T reads

f (t) = F ′ (t) = λ2 te−λt .

Thus, in general, if T is the waiting time for α Poisson events, then the density function of T reads
1 1 α α−1 −λt
f (t) = λα tα−1 e−λt = λ t e ,
(α − 1)! Γ(α)
R∞
where Γ(α) = 0 e−x xα−1 dx is the gamma function.1 Such a distribution is called gamma distribution.
Formally, a continuous random variable X is said to have gamma distribution with parameters α > 0
and β > 0 if its density function is of the form:
( −x
cx α−1 e β , x > 0
f (x) =
0, x≤0
1 √
One should remember that Γ(1) = 1, Γ(α) = (α − 1)Γ(α − 1), Γ(1/2) = π and Γ(α) = (α − 1)! when α is an integer.

7
 Z ∞
Then the normalizing constant c is given by the density function condition f (x)dx = 1, which leads
−∞
1
to c = . Thus, the density function of the gamma random variable X reads
Γ(α)β α

1

−x

α
xα−1 e β , x > 0
f (x) = Γ(α)β
 0, x≤0

Graphs of several gamma distributions are shown in Figure 3.6.

1.0
α = 1, β =1
α = 1, β =2
0.8
α = 2, β =1
α = 4, β =1
0.6
f (x)

0.4

0.2

0.0
0 1 2 3 4 5 6
x

Figure 3.6: Graphs of several gamma distributions are shown for certain specified values of the parameters
α and β. The special gamma distribution for which α = 1 is called the exponential distribution.

The moment generating function of the gamma random variable can be derived as follows:
Z ∞ Z ∞
tX 1 −x
α−1 β tx 1 (t− 1 )x
mX (t) = E(e ) = α
x e e dx = α
xα−1 e β dx.
Γ(α)β 0 Γ(α)β 0

Substituting (t − β1 )x = y, and simplifying while using the definition of Gamma function, it is easy to find

1
mX (t) = (1 − βt)−α , where t< .
β
Mean, variance and cdf are given by
 
d
µ = E(X) = mX (t) = αβ,
dt t=0
" 2 #
d2
 
d
σ 2 = E(X 2 ) − E(X)2 = mX (t) − mX (t) = αβ 2 (α + 1) − (αβ)2 = αβ 2 ,
dt2 t=0 dt
t=0
Z x
1 −y
F (x) = α
y α−1 e β dy.
Γ(α)β 0
Note: Comparing the gamma distribution with it Poisson process appearance, we find β = 1/λ. There-
fore, β is the mean time between Poisson events since λ is the mean number occurrences of Poisson events
in unit time. In reliability theory, where equipment failure often conforms to this Poisson process, β is

8
called mean time between failures. Many equipment breakdowns do follow the Poisson process, and thus
the gamma distribution does apply. Other applications include survival times in biomedical experiments
and computer response time.
Ex. In a biomedical study with rats, a dose-response investigation is used to determine the effect of
the dose of a toxicant on their survival time. The toxicant is one that is frequently discharged into the
atmosphere from jet fuel. For a certain dose of the toxicant, the study determines that the survival time,
in weeks, has a gamma distribution with α = 5 and β = 10. What is the probability that a rat survives
no longer than 60 weeks?

Sol. Let the random variable X be the survival time (time to death). The required probability is
Z 60
1 1 α−1 −x/β
P (X ≤ 60) = 5 x e dx
β 0 Γ(5)
Z 6
1 4 −y
= y e dy = 0.715.
0 Γ(5)
Note: While the origin of the gamma distribution deals in time (or space) until the occurrence of α
Poisson events, there are many instances where a gamma distribution works very well even though there
is no clear Poisson structure. This is particularly true for survival time problems in both engineering and
biomedical applications.

3.3.1 Exponential Distribution

The special case of gamma distribution with α = 1 (see Figure 3.6) is called exponential distribution.
Therefore, density function of exponential distribution reads as

 1 e −xβ , x > 0, (β > 0),
f (x) = β
 0, x≤0

Its mgf, mean, variance and cdf read as

mX (t) = (1 − βt)−1 ,

µ = β,
σ2 = β 2,
1 x − βy
Z
−x
F (x) = e dy = 1 − e β .
β 0

The Memoryless Property of Exponential Distribution

The types of applications of the exponential distribution in reliability and component or machine lifetime
problems are influenced by the memoryless (or lack-of- memory) property of the exponential distribution.
For example, in the case of, say, an electronic component where lifetime has an exponential distribution,
the probability that the component lasts, say, t hours, that is, P (T ≥ t), is the same as the conditional
probability P (T ≥ t0 + t|T ≥ t0 ). For,
P ((T ≥ t0 + t) ∩ (T ≥ t0 ))
P (T ≥ t0 + t|T ≥ t0 ) = .
P (T ≥ t0 )
Notice that both the events (T ≥ t0 + t) and (T ≥ t0 ) can occur if and only if T ≥ t0 + t. Therefore,

P (T ≥ t0 + t) 1 − F (t0 + t) e−λ(t0 +t)

P (T ≥ t0 + t|T ≥ t0 ) = = = = e−λt .
P (T ≥ t0 ) 1 − F (t0 ) e−λt0

9
This shows that the distribution of the remaining lifetime is independent of current age. So if the
component “makes it” to t0 hours, the probability of lasting an additional t hours is the same as the
probability of lasting t hours. There is no “punishment” through wear that may have ensued for lasting
the first t0 hours. Thus, the exponential distribution is more appropriate when the memoryless property
is justified. But if the failure of the component is a result of gradual or slow wear (as in mechanical
wear), then the exponential does not apply and either the gamma or the Weibull distribution may be
more appropriate.
Ex. Based on extensive testing, it is determined that the time Y in years before a major repair is required
for a certain washing machine is characterized by the density function
1
f (y) = e−y/4 , y ≥ 0.
4
Note that Y is an exponential random variable with µ = 4 years. The machine is considered a bargain if
it is unlikely to require a major repair before the sixth year.
(a) What is the probability P (Y > 6)?
(b) What is the probability that a major repair is required in the first year?
Sol. (a) P (Y > 6) = 0.2231.
Thus, the probability that the washing machine will require major repair after year six is 0.223. Of course,
it will require repair before year six with probability 0.777. Thus, one might conclude the machine is not
really a bargain.

(b) The probability that a major repair is necessary in the first year is

P (Y < 1) = 1 − e−1/4 = 1 − 0.779 = 0.221.

3.3.2 Online calculator for probabilities

The following online calculator is very useful for obtaining probabilities in various probability distributions:
https://www.stat.berkeley.edu/ stark/Java/Html/ProbCalc.htm

3.3.3 Chi-Squared (χ2 ) Distribution

The special case of gamma distribution with β = 2 and α = ν/2, ν being some positive integer (called
as the degree of freedom), is named as Chi-Squared (χ2 ) distribution. The density function the χ2
random variable with ν degrees of freedom is given by
1 ν −χ2
f (χ2 ) = ν

ν (χ2 ) 2 −1 e 2 , x > 0.
Γ 2 2 2

Graphs of χ2 distributions for certain specified values of the parameter ν are shown in Figure 3.7.
The mgf, mean, variance and cdf are given by
1
mX (t) = (1 − 2t)−ν/2 , where t< ,
2
 
d
µ = E(X) = mX (t) = ν,
dt t=0
 2  " 2 #
2 2 2 d d
σ = E(X ) − E(X) = mX (t) − mX (t) = 2ν(ν/2 + 1) − ν 2 = 2ν,
dt2 t=0 dt
t=0
Z x
1 y
F (x) = ν/2
y ν/2−1 e− 2 dy.
Γ(ν/2)2 0

10
 0.5
ν =1
ν =2
0.4
ν =3
ν =4
0.3

f (χ2 )
0.2

0.1

0.0
0 1 2 3 4 5 6
χ2

Figure 3.7: Graphs of χ2 distributions are shown for certain specified values of the parameter ν.

The chi-squared distribution plays a vital role in statistical inference. It has considerable applications
in both methodology and theory. It is an important component of statistical hypothesis testing and
estimation. Topics dealing with sampling distributions, analysis of variance, and nonparametric statistics
involve extensive use of the chi-squared distribution. We will see these in the later chapters.

How to see values from the χ2 -distribution table

Table 3.22 gives values of χ2α for various values of α and ν. The areas, α, are the column headings; the
degrees of freedom, ν, are given in the first column; and the table entries are the χ2 values. For example,
the χ2 value with 7 degrees of freedom, leaving an area of 0.1 to the right, is χ20.1 = 12.017, as shown in
Figure 3.8.

0.12
ν=7

0.10

0.08
f (χ2 )

0.06

0.04

0.02
α = 0.1
0.00
0 6 12.017 18
χ2

Figure 3.8: The shaded golden region area is α = 0.1. It is the area under the χ2 curve with 7 degrees of
freedom for χ2 ≥ χ20.1 = 12.017.

Ex. Find P (8.383 ≤ χ2 ≤ 12.017) given the χ2 -distribution with 7 degrees of freedom

Sol. From the table 3.22, we see that χ20.3 = 8.383 and χ20.1 = 12.017. It follows that P (8.383 ≤ χ2 ≤
12.017) = P (χ20.3 ≤ χ2 ≤ χ20.1 ) = P (χ2 ≥ χ20.3 ) − P (χ2 ≥ χ20.1 ) = 0.3 − 0.1 = 0.2, as shown in Figure 3.9.

11
 0.12
ν=7

0.10

0.08

f (χ2 )
0.06

0.04
0.2
0.02

0.00
0 6 8.383 12.017 18
χ2

Figure 3.9: The shaded golden region area is P (8.383 ≤ χ2 ≤ 12.017) = P (χ20.3 ≤ χ2 ≤ χ20.1 ) = P (χ2 ≥
χ20.3 ) − P (χ2 ≥ χ20.1 ) = 0.3 − 0.1 = 0.2.

3.4 Normal Distribution (Gaussian distribution)

Remarkably, when n, np and nq are large, then it can be shown that the binomial distribution is well
approximated by a distribution of the form:

1 x − np
!2
 
n x n−x 1 − √
f (x) = p q ∼p e 2 npq ,
x 2π(npq)

known as the normal distribution.

Formally, a continuous random variable X is said to follow Normal distribution with parameters µ
and σ if its density function is given by

1 x−µ
!2

1 −
f (x) = √ e 2 σ , −∞ < x < ∞, −∞ < µ < ∞, σ > 0.
σ 2π

For the normal random variable X, we can verify the following:

Z ∞
1 2 2
f (x)dx = 1, mX (t) = eµt+ 2 σ t , Mean = µ, Variance = σ 2 .
−∞

We have
Z ∞ −1 x − µ
!2
Z ∞
1
f (x)dx = √ e 2 σ dx
−∞ Z σ 2π −∞
∞ 2
1 y
= √ e− 2σ2 dy, where y = x − µ
σ 2π Z−∞
∞ y2
2
= √ e− 2σ2 dy
σ 2π Z0 √
∞
2 −r − 21 2 y2
= √ e r σdr, where 2σ 2 = r
σ 2π Z ∞0 2
1 1
= √ e−r r− 2 dr
π 0
1
= √ Γ(1/2)
π

12
 √1
σ 2π

f (x)

0
µ − 3σ µ − 2σ µ−σ µ µ+σ µ + 2σ µ + 3σ
x

Figure 3.10: The area of the shaded golden region under the normal probability curve gives the total
probability 1. The normal probability curve is symmetrical about the vertical red line x = µ. Therefore,
P (X ≤ µ] = 0.5 = P (X ≥ µ). Also, the maximum value of f (x) occurs at x = µ, and is given by
1
f (µ) = √ .
σ 2π

1 √
=√ π
π
= 1.

Proof of mgf: We have mX (t) = E(etx )

Z ∞ − 1 x − µ +tx
!2

1 2
σ
= √ e dx
σ 2π Z−∞
∞
1
e− 2σ2 [(x−µ) −2σ tx] dx
1 2 2
= √
σ 2π Z−∞
∞
1
e− 2σ2 [x +µ −2µx−2σ tx] dx
1 2 2 2
= √
σ 2π Z−∞
∞
1
e− 2σ2 [x −2(µ+σ t)x+µ ] dx
1 2 2 2
= √
σ 2π Z−∞
∞
1
e− 2σ2 [(x−(µ+σ t)) −2µσ t−σ t ] dx
1 2 2 2 4 2
= √
σ 2π −∞ Z ∞
1 2
e− 2σ2 [x−(µ+σ t)] dx
1 2
µt+ 12 σ 2 t2
= √ e
σ 2π Z−∞∞ y2
1 µt+ 12 σ 2 t2
= √ e e− 2σ2 dy, where y = x − (µ + σ 2 t)
σ 2π Z−∞∞ y2
2 µt+ 12 σ 2 t2
= √ e e− 2σ2 dy
σ 2π Z0 ∞ √
2 µt+ 12 σ 2 t2 −r − 21 2 y2
= √ e e r σdr, where 2σ 2 = r
σ 2π Z ∞0 2
1 1 2 2 1
= √ eµt+ 2 σ t e−r r− 2 dr
π 0
1 µt+ 1 σ2 t2
=√ e 2 Γ(1/2)
π
1 1 2 2√
= √ eµt+ 2 σ t π
π

13
 1 2 2
= eµt+ 2 σ t
It follows that
 
d h 1 2 2
i
Mean = E(X) = mX (t) = eµt+ 2 σ t (µ + σ 2 t) =µ.
dt t=0 t=0

 2  " 2 #
d d
Variance = E(X 2 ) − E(X)2 = mX (t) − mX (t) = µ 2 + σ 2 − µ2 = σ 2 .
dt2 t=0 dt
t=0
Thus, the two parameters µ and σ in the density function of normal random variable X are its mean
and standard deviation, respectively.

It deserves mention that the normal distribution is the most important continuous probability dis-
tribution in the entire field of statistics. It is also known as the Gaussian distribution. In fact, the
normal distribution was first described by De Moivre in 1733 as the limiting case of Binomial distribution
when number of trials is infinite. This discovery did not get much attention. Around fifty years later,
Laplace and Gauss rediscovered normal distribution while dealing with astronomical data. They found
that the errors in astronomical measurements are well described by normal distribution. It approximately
describes many phenomena that occur in nature, industry, and research. For example, physical measure-
ments in areas such as meteorological experiments, rainfall studies, and measurements of manufactured
parts are often more than adequately explained with a normal distribution. In addition, errors in sci-
entific measurements are extremely well approximated by a normal distribution.The normal distribution
finds enormous application as a limiting distribution. For instance, under certain conditions, the normal
distribution provides a good continuous approximation to the binomial and hypergeometric distributions.

Note: If X is a normal random variable with mean µ and variance σ 2 , then we write X ∼ N (µ, σ 2 ).

3.4.1 Standard Normal Distribution

Let Z = X−µσ . Then E(Z) = 0 and Var(Z) = 1. We call Z as the standard normal variate and we write
Z ∼ N (0, 1). Its density function reads as
z2
1 −
ϕ(z) = √ e 2 , −∞ < z < ∞.
2π
The corresponding cumulative distribution function is given by

z z
z2
1
Z Z
−
Φ(z) = ϕ(z)dz = √ e 2 dz.
−∞ 2π −∞

The normal probability curve is symmetric about the line X = µ (see Figure 3.10) or Z = 0 (see
Figure 3.11). Therefore, we have

P (X < 0) = P (X > 0) = 0.5, P (−a < Z < 0) = P (0 < Z < a).

The probabilities of the standard normal variable Z in the probability table of normal distribution
are given in terms of cumulative distribution function Φ(z) = F (z) = P (Z ≤ z) (See the Normal Table
3.21). So we have

P (a < Z < b) = P (Z < b) − P (Z < a) = F (b) − F (a).

From the normal table, it can be found that

P (|X −µ| < σ) = P (µ−σ < X < µ+σ) = P (−1 < Z < 1) = F (1)−F (−1) = 0.8413−0.1587 = 0.6826.

14
 √1
2π

φ(z)

0
−3 −2 −1 0 1 2 3
z

Figure 3.11: The area of the shaded golden region under the standard normal probability curve gives
the total probability 1. The normal probability curve is symmetrical about the vertical red line z = 0.
Therefore, P (Z ≤ 0) = 0.5 = P (Z ≥ 0). Also, the maximum value of ϕ(z) occurs at z = 0, and is given
1
by ϕ(0) = √ .
2π
φ(z)

68.26%

−3 −2 −1 0 1 2 3
z

Figure 3.12: The area of the shaded golden region under the standard normal probability curve gives the
probability corresponing to the 1σ confidence interval (µ − σ, µ + σ). So P (µ − σ < X < µ + σ) = P (−1 <
Z < 1) = 0.6826.

This shows that there is approximately 68% probability that the normal variable X lies in the interval
(µ − σ, µ + σ), as shown in Figure 3.12. We call this interval as the 1σ confidence interval of X.
Similarly, the probabilities of X in 2σ and 3σ confidence intervals are respectively, are given by

P (|X − µ| < 2σ) = P (µ − 2σ < X < µ + 2σ) = P (−2 < Z < 2) = 0.9544,

P (|X − µ| < 3σ) = P (µ − 3σ < X < µ + 3σ) = P (−3 < Z < 3) = 0.9973.
For geometrical clarity, see the left and right panels in Figure 3.13.

15
 φ(z)

φ(z)
95.44% 99.73%

−3 −2 −1 0 1 2 3 −3 −2 −1 0 1 2 3
z z

Figure 3.13: Left panel: The area of the shaded golden region under the standard normal probability
curve gives P (µ − 2σ < X < µ + 2σ) = P (−2 < Z < 2) = 0.9544. Right panel: The area of the shaded
golden region under the standard normal probability curve gives P (µ − 3σ < X < µ + 3σ) = P (−3 <
Z < 3) = 0.9973.

3.4.2 Seeing the values from normal distribution table

As mentioned earlier, the Normal Table 3.21 provides values of cdf F (z) of the standard normal variable
Z. This table provides values of F (z) from z = −3.49 to z = 3.49 with F (−3.49) = 0.0002 and F (3.49) =
0.9998. Thus it covers almost 100% region under the normal probability curve. The normal table reads
like the following table.

z 0.00 0.01 0.02 ... 0.09

−3.4 0.0003 0.0003 0.0003 ... 0.0002

−3.3 0.0005 0.0005 0.0005 ... 0.0003
... ... ... ... ... ...
0 0.5000 0.5040 0.5080 ... 0.5359
... ... ... ... ... ...
3.3 0.9995 0.9995 0.9995 ... 0.9997
3.4 0.9997 0.9997 0.9997 ... 0.9998

Here the first column shows the z values upto first decimal place: −3.4, −3.3,..., 3.3, 3.4 and the
second column shows the corresponding F (z) values. The third column shows the values of F (z) cor-
responding to the z values: −3.41, −3.31, ..., 3.31, 3.41, so on and so forth. For instance, F (3.42) = 0.9997.

Note. In the following examples, we will refer to the Normal Table 3.21 whenever the values of F (z) are
needed.

Ex. A random variable X is normally distributed with mean 9 and standard deviation 3. Find P (X ≥ 15),
P (X ≤ 15) and P (0 ≤ X ≤ 9).

16
 X−9
Sol. We have Z = 3 . ∴ P (X ≥ 15) = P (Z ≥ 2) = 1 − F (2) = 1 − 0.9772 = 0.0228.

P (X ≤ 15) = 1 − 0.0228 = 0.9772

P (0 ≤ X ≤ 9) = P (−3 ≤ Z ≤ 0) = F (0) − F (−3) = 0.5 − 0.0013 = 0.4987.

Ex. Given a normal distribution with µ = 40 and σ = 6, find the value of x that has
(a) 45% of the area to the left and
(b) 14% of the area to the right.

Sol. (a) We require a z value that leaves an area of 0.45 to the left. From the Normal Table 3.21, we find
P (Z < −0.13) = 0.45, so the desired z value is −0.13. Hence,

x = σz + µ = (6)(−0.13) + 40 = 39.22.

(b) This time we require a z value that leaves 0.14 of the area to the right and hence an area of 0.86 to
the left. Again, from Normal Table, we find P (Z < 1.08) = 0.86, so the desired z value is 1.08 and

x = σz + µ = (6)(1.08) + 40 = 46.48.

Ex. In a normal distribution, 12% of the items are under 30 and 85% are under 60. Find the mean and
standard deviation of the distribution.

Sol. Let µ be mean and σ be standard deviation of the distribution. Given that P (X < 30) = 0.12 and
P (X < 60) = 0.85. Let z1 and z2 be values of the standard normal variable Z corresponding to X = 30
and X = 60 respectively so that P (Z < z1 ) = 0.12 and P (Z < z2 ) = 0.85. From the Normal Table 3.21,
we find z1 ≈ −1.17 and z2 ≈ 1.04 since F (−1.17) = 0.121 and F (1.04) = 0.8508.
Finally, solving the equations, 30−µ
σ = −1.17 and 60−µ
σ = 1.04, we find µ = 45.93 and σ = 13.56.

Ex. If X is a normal random variable with mean 3 and variance 2, find the expected value of e2X .

Sol. The mgf of the normal random variable X with mean µ = 3 and variance σ 2 = 2, is
1 2 t2 2
E(etX ) = mX (t) = eµt+ 2 σ = e3t+2t .

Choosing t = 2, we get

E(e2X ) = mX (2) = e14 .

3.5 Density of a dependent random variable

Let X be a continuous random variable with density fX . Let Y be some random variable dependent on
X via the relation Y = g(X), where g is strictly monotonic and differentiable. Then it can be proved
that the density fY of Y is given by

dg −1 (y)
fY (y) = fX (g −1 (y)) .
dy

Proof. Assuming that Y = g(X) is decreasing function of X, we have

FY (y) = P (Y ≤ y] = P (g(X) ≤ y)
= P (g −1 (g(X)) ≥ g −1 (y)) (∵ g is decreasing function, so is g −1 .)

17
= P (X ≥ g −1 (y))
= 1 − P (X ≤ g −1 (y))
= 1 − FX (g −1 (y)).

Since derivative of cdf gives density function, so derivative of both sides with respect to y gives
−1 dg −1 (y)
fY (y) = −fX (g −1 (y)) dg dy(y) = fX (g −1 (y)) dy ,
dg −1 (y) dg −1 (y)
where dy = − dy , g −1 being a decreasing function.
Likewise, if Y = g(X) is an increasing function of X, we find
FY (y) = P (Y ≤ y) = P (g(X) ≤ y)
= P (g −1 (g(X)) ≤ g −1 (y)) (∵ g is increasing function, so is g −1 .)
= P (X ≤ g −1 (y))

∴ FY (y) = FX (g −1 (y)).

It leads to
−1
fY (y) = fX (g −1 (y)) dg dy(y) .

Ex. (Lognormal Distribution) If a random variable X follows normal distribution, then the distribution
of the random variable Y = eX is called lognormal distribution. Determine cdf, pdf, mean and variance
of Y . Also, find P (a ≤ Y ≤ b)

Sol. Here Y = eX is increasing function of X. So the cdf of Y is given by

FY (y) = FX (ln y).

It implies that
1
FY′ (y) = FX′ (ln y). .
y
1
=⇒ fY (y) = fX (ln y). .
y
Therefore the density function of the lognormal random variable Y = eX reads
1

1 ln y−µ 2
 √ e− 2 ( σ ) , y > 0
fY (y) = yσ 2π
0, y≤0


where µ and σ are mean and variance of the normal random variable X. The mean and variance of the
lognormal random variable Y can be shown to be
1 2
E(Y ) = eµ+ 2 σ ,
2 2
V (Y ) = e2µ+σ (eσ − 1).
We can determine the probability of lognormal random variable Y using the normal distribution table
of X since

P (a ≤ Y ≤ b) = P (a ≤ eX ≤ b) = P (ln a ≤ X ≤ ln b).

Thus, the probability of Y in the interval [a, b] is given by the probability of the normal random variable
X in the interval [ln a, ln b].

18
3.6 Chebyshev’s Inequality
If X is normal random variable with mean µ and variance σ 2 , then P (|X − µ| < kσ) = P (|Z| < k) =
F (k) − F (−k). However, if X is any random variable, then the rule of thumb for the required probability
is given by the Chebyshev’s inequality as stated below.

If X is a random variable with mean µ and variance σ 2 , then

1
P (|X − µ| < kσ) ≥ 1 − 2 .
k
Proof. By definition of variance, we have
Z ∞
(x − µ)2 f (x)dx = σ 2
−∞
Z µ−kσ Z µ+kσ Z ∞
2 2
=⇒ (x − µ) f (x)dx + (x − µ) f (x)dx + (x − µ)2 f (x)dx = σ 2
Z−∞
µ−kσ Zµ−kσ
∞
µ+kσ
Z µ+kσ
2 2 2
=⇒ (x − µ) f (x)dx + (x − µ) f (x)dx ≤ σ (∵ (x − µ)2 f (x)dx ≥ 0)
Z−∞
µ−kσ Z ∞ µ+kσ µ−kσ
2 2 2 2 2
=⇒ k σ f (x)dx + k σ f (x)dx ≤ σ (∵ (x − µ) ≥ k 2 σ 2 for x ≤ µ − kσ or x ≥ µ + kσ)
2

Z−∞
µ−kσ Z ∞ µ+kσ
1
=⇒ f (x)dx + f (x)dx ≤ 2
−∞ µ+kσ k
Z µ−kσ Z ∞
1
=⇒ 1 − f (x)dx − f (x)dx ≥ 1 − 2
k
Z ∞ −∞ Z µ−kσ µ+kσ Z ∞ Z ∞
1
=⇒ f (x)dx − f (x)dx − f (x)dx ≥ 1 − 2 (∵ f (x)dx = 1)
−∞ −∞ µ+kσ k −∞
Z µ+kσ
1
=⇒ f (x)dx ≥ 1 − 2 .
µ−kσ k
1
=⇒ P (µ − kσ < X < µ + kσ) ≥ 1 − 2 .
k
1
=⇒ P (|X − µ| < kσ) ≥ 1 − 2 .
k
Note that the Chebyshev’s inequality does not yield the exact probability of X to lie in the interval
(µ − kσ, µ + kσ) rather it gives the minimum probability for the same. However, in case of normal random
variable, the probability obtained is exact. For example, consider the 2σ interval (µ − 2σ, µ + 2σ) for X.
Then, Chebyshev’s inequality gives P (|X − µ| < 2σ) ≥ 1 − 14 = 0.75. In case, X is normal variable, we
get the exact probability P (|X − µ| < 2σ) = 0.9544. However, the advantage of Chebyshev’s inequality is
that it applies to any random variable of known mean and variance. Also note that the above proof may
be done for discrete random variable as well. So the Chebyshev’s inequality is true for discrete random
variable as well.

Ex. A random variable X with unknown probability distribution has mean 8 and S.D. 3. Use Cheby-
shev’s inequality to find a lower bound of P (−7 < X < 23).

Sol. Here µ = 8 and σ = 3. So by Chebyshev’s inequality, we have

1
P (8 − 3k < X < 8 + 3k) ≥ 1 − 2 .
k
In order to get lower bound of P (−7 < X < 23), we choose k = 5. We get
1
P (−7 < X < 23) ≥ 1 − = 0.96.
25

19
3.7 Approximation of Binomial distribution by Normal distribution
If X is a Binomial random variable with parameters n and p, then X approximately follows a normal
distribution with mean np and variance np(1 − p) provided n is large. Here the word “large” is quite
vague. In strict mathematical sense, large n means n → ∞. However, for most of the practical purposes,
the approximation is acceptable if the values of n and p are such that np ≥ 10 and np(1 − p) ≥ 10.
It turns out that the normal distribution with µ = np and σ 2 = np(1 − p) 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 0.5.

Figure 3.14: Histogram of the binomial distribution with n = 4, p = 0.5 where X takes the values
0, 1, 2, 3, 4 with probabilities 1/16, 4/16, 6/16, 4/16 and 1/16, respectively. The blue curve is the normal
probability curve with µ = np = (4)(0.5) = 2 and σ 2 = npq = (4)(0.5)(0.5) = 1.

Ex. To illustrate the normal approximation to the binomial distribution, in Fig. 3.14, we first draw the
histogram for a binomial distribution with n = 4 and p = 0.5 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 = (4)(0.5) = 2 and σ 2 = npq = (4)(0.5)(0.5) = 1.

Now suppose we wish to calculate P (1 ≤ X ≤ 3). From the binomial distribution, we have
4 6 4 14
P (1 ≤ X ≤ 3) = P (X = 1) + P (X = 2) + P (X = 3) = + + = = 0.875.
16 16 16 16
4 6 4
Note that geometrically in the histogram, 16 + 16 + 16 is the sum of the areas of the vertical bars each of
width unity with centers at 1, 2, 3. We see that it can be approximated by the area under the blue curve
from X = 0.5 to X = 3.5. So using the normal distribution approximation, we have

P (0.5 ≤ X ≤ 3.5) = P (−1.5 ≤ Z ≤ 1.5) = F (1.5) − F (−1.5) = 0.9332 − 0.0668 = 0.8664,

which is a good approximation to the binomial probability 0.875. Note that while approximating the
probability using the normal distribution, we make half-unit correction on both sides of the given range

20
of X.

Ex. The probability that a patient recovers from a rare blood disease is 0.4. If 100 people are known to
have contracted this disease, what is the probability that fewer than 30 survive?
√ p
Sol. Here µ = np = (100)(0.4) = 40, σ = npq = (100)(0.4)(0.6) = 4.899. We need the area to the
left of x = 29.5. The corresponding z value is z = (29.5 − 40)/4.899 = 2.14. Therefore, the required
probability is P (X < 30) ≈ P (Z < −2.14) = 0.0162.

Note. In the above example, the binomial random variable X < 30 implies that X takes the values 0, 1,
2,...., 29. So in the normal approximation, we should have chosen P (−0.5 ≤ X ≤ 29.5). But notice that
P (−0.5 ≤ X ≤ 29.5) ≈ P (X < 30) since P (−8.27 ≤ Z ≤ 2.14) ≈ P (Z < 2.14).
Ex. A multiple-choice quiz has 200 questions, each with 4 possible answers of which only 1 is correct.
What is the probability that sheer guesswork yields from 25 to 30 correct answers for the 80 of the 200
problems about which the student has no knowledge?
√ p
Sol. Here µ = np = (80)(0.25) = 20, σ = npq = (80)(0.25)(0.75) = 3.873. We need the area
between x1 = 24.5 and x2 = 30.5. The corresponding z values are z1 = (24.5 − 20)/3.873 = 1.16 and
z2 = (30.5 − 20)/3.873 = 2.71. Therefore, the required probability is P (25 ≤ X ≤ 30) ≈ P (1.16 < Z <
2.71) = P (Z < 2.71) − P (Z < 1.16) = 0.9966 − 0.8770 = 0.1196.

3.8 Approximation of Poisson distribution by Normal distribution

Let X be a Poisson random variable with parameter λs. Then for large λs, X is approximately normal
with mean λs and variance λs. It follows that the Poisson probabilities can be approximated by normal
distribution N (λs, λs), by using the 0.5 unit correction on both sides of the given range of X as we did
in the binomial case.

21
3.9 Student t-Distribution
If Z is a standard normal variable and χ2ν is anpindependent chi-squared random variable with ν degrees
of freedom, then the random variable Tν = Z/ χ2ν /ν is said to follow the Student t-distribution2 with ν
degrees of freedom.
The density function of a Tν random variable reads as
−(ν+1)/2
t2

Γ[(ν + 1)/2]
f (t) = √ 1+ , −∞ < t < ∞.
Γ(ν/2) πν ν
Since f (−t) = f (t), the graph of this density function is symmetric about the line t = 0 (see Figure 3.15).
ν
Further, its mean is µt = 0 and variance is σt2 = ν−2 , (ν > 2). So σt2 tends to 1 as ν tends to ∞. Thus the
t-distribution tends to the standard normal distribution as the number of degrees of freedom ν increases.

0.40
ν =1
0.35
ν =2
0.30 ν =3
ν =4
0.25
f (t)

0.20

0.15

0.10

0.05

0.00
−6 −4 −2 0 2 4 6
t

Figure 3.15: The Student t-distributions are plotted for some specific degrees of freedom. We see that
the t-distribution is symmetric about the vertical line t = 0.

The t-distribution is used extensively in problems that deal with inference about the population mean
or in problems that involve comparative samples (i.e., in cases where one is trying to determine if means
from two samples are significantly different).

How to see values from the t-distribution table

Table 3.23 gives values of tα for various values of α and ν. The areas, α, are the column headings; the
degrees of freedom, ν, are given in the first column; and the table entries are the t values. Therefore it is
customary to let tα represent the t-value above which we find an area equal to α.

For example, the t-value with 10 degrees of freedom leaving an area of 0.1 to the right is t0.1 = 1.372.,
as shown in Figure 3.16.

Ex. Find P (0.26 ≤ t ≤ 1.812) given the t-distribution with 7 degrees of freedom

2
The probability distribution of T was first published in 1908 in a paper written by W. S. Gosset. At the time, Gosset was
employed by an Irish brewery that prohibited publication of research by members of its staff. To circumvent this restriction,
he published his work secretly under the name “Student”. Consequently, the distribution of T is usually called the Student
t-distribution or simply the t-distribution.

22
 0.40
ν = 10
0.35

0.30

0.25

f (t)
0.20

0.15

0.10

0.05
α = 0.1
0.00
-4 -1.372 0 1.372 4
t

Figure 3.16: The shaded golden region area is α = 0.1. It is the area under the t-distribution curve with
10 degrees of freedom for t ≥ t0.1 = 1.372.

Sol. From the table 3.23, we see that t0.4 = 0.26 and t0.05 = 1.812. It follows that P (0.26 ≤ t ≤ 1.812] =
P (t0.4 ≤ t ≤ t0.05 ) = P (t ≥ t0.4 ) − P (t ≥ t0.4 ] = 0.4 − 0.05 = 0.35, as shown in Figure 3.17.

0.40
ν = 10
0.35

0.30

0.25
f (t)

0.20

0.15

0.10
0.35
0.05

0.00
-4 -1.812 0.26 1.812 4
t

Figure 3.17: The shaded golden region area is P (0.26 ≤ t ≤ 1.812) = P (t0.4 ≤ t ≤ t0.05 ) = P (t ≥
t0.4 ) − P (t ≥ t0.4 ) = 0.4 − 0.05 = 0.35.

23
3.9.1 Symmetry of the t-distribution
Since the t-distribution is symmetric about the mean zero, we have t1−α = −tα ; that is, the t-value
leaving an area of 1 − α to the right and therefore an area of α to the left is equal to the negative t-value
that leaves an area of α in the right tail of the distribution. For example, t0.95 = −t0.05 . In particular,
t0.95 = −t0.05 = −1.812 for 10 degrees of freedom as shown in Figure 3.18.

0.40
ν = 10
0.35

0.30

0.25
f (t)

0.20

0.15

0.10

0.05
0.05 0.05
0.00
-4 −1.812 0 1.812 4
t0.95 t0.05
t

Figure 3.18: t0.95 = −t0.05 = −1.812 for 10 degrees of freedom.

24
3.10 F -distribution
Let χ21 and χ22 be two independent random variables having chi-squared distributions with ν1 and ν2
degrees of freedom, respectively. Then the distribution of the random variable
χ21 /ν1
F =
χ22 /ν2
is given by the density function:
Γ[(ν1 + ν2 )/2](ν1 /ν2 )ν1 /2 f (ν1 /2)−1
h(f ) = , f > 0,
Γ(ν1 /2)Γ(ν2 /2) (1 + ν1 f /ν2 )(ν1 +ν2 )/2
and h(f ) = 0 for f ≤ 0.

This is known as the F -distribution with ν1 and ν2 degrees of freedom.

1.0
ν1 = 2, ν2 = 11
ν1 = 6, ν2 = 10
0.8
ν1 = 10, ν2 = 3

0.6
h(f )

0.4

0.2

0.0
0 1 2 3 4 5 6
f

Figure 3.19: The F -distributions are plotted for some specific degrees of freedom.

The F -distribution is used in two-sample situations to draw inferences about the population vari-
ances. However, the F -distribution can also be applied to many other types of problems involving sample
variances. In fact, the F -distribution is called the variance ratio distribution.

Some properties of F -distribution

(i) The mean of F -distribution is
ν2
µf = (ν2 > 2).
ν2 − 2
It is independent of ν1 .
(ii) The variance of the F -distribution is
2ν22 (ν1 + ν2 − 2)
σf2 = , (ν2 > 4).
ν1 (ν2 − 2)2 (ν2 − 4)
(iii) The t-distribution and F -distribution are related. If a statistic t follows t-distribution with ν
degrees of freedom, then t2 follows F -distribution with (1, ν) degrees of freedom.
(iv) For large values of the degrees of freedom
 ν1 and ν2 , the F -distribution tends to the normal
1 1
distribtion with mean 1 and variance 2 ν1 + ν2 .

25
How to see values from the F -distribution table
Let fα be the f -value above which we find an area equal to α just as in case of t-distribution. Table 3.24
gives values of fα only for α = 0.05 for various combinations of the degrees of freedom ν1 and ν2 . Hence,
the f -value with 6 and 10 degrees of freedom, leaving an area of 0.05 to the right, is f0.05 = 3.22, as shown
in Figure 3.20.

0.7 ν1 = 6, ν2 = 10

0.6

0.5

0.4
h(f )

0.3

0.2

0.1
α = 0.05
0.0
0 1 2 3.22 4 5 6
f

Figure 3.20: The shaded golden region area is α = 0.1. It is the area under the F -distribution curve with
6 and 10 degrees of freedom for f ≥ f0.05 = 3.22.

Likewise, Table 3.25 gives values of fα only for α = 0.01 for various combinations of the degrees of
freedom ν1 and ν2 .
By means of the following theorem, the F -distribution Tables can also be used to find values of f0.95
and f0.99 .
1
f1−α (ν1 , ν2 ) = .
fα (ν1 , ν2 )

Thus, the f -value with 6 and 10 degrees of freedom, leaving an area of 0.95 to the right, can be calculated
as
1 1
f0.95 (6, 10) = = = 0.246.
f0.05 (10, 6) 4.06

26
3.11 Misc. Practice Problems
1. Show that mean of the random variable X with the density function given by
f (x) = x2 , 0 ≤ x ≤ 2, is 4/3. Find P (0 ≤ X ≤ 43 ).
Sol. The mean of X is given by
Z 2 2
x 4
µ= dx = .
0 2 3
  Z 4/3
4 x 4
P 0≤X≤ = dx = ≈ 0.44.
3 0 2 9
2. Consider a random variable X with the density function given by
( c
, x≥0
f (x) = 1 + x2
0 x<0
where c is a constant. ShowZ that E(X) does not exist.
∞
Sol. Using the condition f (x)dx = 1, we find c = 2/π.
−∞
Z ∞
2 ∞ x
Z
Now xf (x)dx = dx = ∞. So E(X) does not exist.
−∞ π 0 1 + x2
3. It is known, from previous data, that the length of time in months between customer complaints
about a certain product is a gamma distribution with α = 2 and β = 4. Changes were made to
tighten quality control requirements. Following these changes, 20 months passed before the first
complaint. Does it appear as if the quality control tightening was effective?
Sol. We find P (X ≥ 20) = 1 − P (X < 20) = 1 − 0.96 = 0.04. Thus, it is reasonable to conclude
that the quality control work was effective.
4. Suppose that telephone calls arriving at a particular switchboard follow a Poisson process with an
average of 5 calls coming per minute. What is the probability that up to a minute will elapse by
the time 2 calls have come in to the switchboard?
Sol. Here the Poisson process applies, with time until 2 Poisson events following a gamma distribu-
tion with β = 1/5 and α = 2. Denote by T the time in minutes that transpires before 2 calls come.
The required probability is given by
Z 1
1 −t/β
P (T ≤ 1) = 2
te dt
0 β
Z 1
= 25 te−5t dt = 1 − e−5 (1 + 5) = 0.96.
0

5. Suppose that a system contains a certain type of component whose time, in years, to failure is given
by T . The random variable T is modeled nicely by the exponential distribution with mean time to
failure β = 5. If 5 of these components are installed in different systems, what is the probability
that at least 2 are still functioning at the end of 8 years?
Sol. The probability that a given component is still functioning after 8 years is given by
1 ∞ −t/5
Z
P (T > 8) = e dt ≈ 0.2.
5 8

Let X represent the number of components functioning after 8 years. Then using the binomial
distribution with n = 5 and p = 0.2, we have
P (X ≥ 2) = 1 − P (X = 0) − P (X = 1) = 0.2627.

27
 6. A certain type of storage battery lasts, on average, 3.0 years with a standard deviation of 0.5 year.
Assuming that battery life is normally distributed, find the probability that a given battery will last
less than 2.3 years.
Sol. P (X < 2.3) = P (Z < −1.4) = 0.0808.

7. An electrical firm manufactures light bulbs that have a life, before burn-out, that is normally dis-
tributed with mean equal to 800 hours and a standard deviation of 40 hours. Find the probability
that a bulb burns between 778 and 834 hours.
Sol. P (778 < X < 834) = P (−0.55 < Z < 0.85) = P (Z < 0.85) − P (Z < −0.55) = 0.8023 −
0.2912 = 0.5111.

8. In an industrial process, the diameter of a ball bearing is an important measurement. The buyer
sets specifications for the diameter to be 3.0± 0.01 cm. The implication is that no part falling
outside these specifications will be accepted. It is known that in the process the diameter of a ball
bearing has a normal distribution with mean µ = 3 and standard deviation σ = 0.005. On average,
how many manufactured ball bearings will be scrapped?
Sol. P (X < 2.99) + P (X > 3.01) = P (Z < −2) + P (Z > 2) = 2(0.0228) = 0.0456.
As a result, it is anticipated that, on average, 4.56% of manufactured ball bearings will be scrapped.

9. Gauges are used to reject all components for which a certain dimension is not within the specification
1.5 ± d. It is known that this measurement is normally distributed with mean 1.5 and standard
deviation 0.2. Determine the value d such that the specifications cover 95% of the measurements.
Sol. From the Normal Table 3.21, we notice that P (Z < −1.96) = 0.025. So by symmetry of
normal distribution, it follows that
P (−1.96 < Z < 1.96) = 0.95. Therefore

(1.5 + d) − 1.5
1.96 = .
0.2
So we get, d = (0.2)(1.96) = 0.392.

10. Number of students visiting a zoo on weekend is a random variable with mean 18 and S.D. 2.5.
Use Chebyshev’s inequality to estimate the minimum probability that between 8 to 28 students will
visit the zoo on a given weekend?
Sol. Let X be the number of students visiting the zoo on weekend. Then mean and S.D. of X are
µ = 18 and σ = 2.5, respectively. So by Chebyshev’s inequality, we have
1
P (18 − 2.5k < X < 18 + 2.5k)) ≥ 1 − .
k2
Choosing k = 4, we get
1
P (8 < X < 28) ≥ 1 − = 0.9375.
16
So the required minimal probability is 0.9375.

11. If X is geometric random variable with density f (x) = 21x , (x = 1, 2, 3, ...), find P (|X − 2| < 2).
Also, use Chebyshev’s inequality to estimate P (|X − 2| < 2).
Sol. We have

P (|X − 2| < 2) = P (−2 < X − 2 < 2) = P (0 < X < 4)

28
 1 1 1 7
= P (X = 1) + P (X = 2) + P (X = 3) = + 2 + 3 = = 0.875
2 2 2 8
1
q
q
√
Now X is geometric random variable with mean µ = p = 2 and S.D. σ = p2
= 2. So by
Chebyshev’s inequality, we have
√ √ 1
P (2 − 2k < X < 2 + 2k) ≥ 1 − 2 .
k
√
Choosing k = 2, we get
1
P (0 < X < 4) ≥ 1 − = 0.5.
2
12. How many times should we toss a fair coin so that at least 0.99 probability is ensured that the
proportion of heads occurs between 0.45 and 0.55? Sol. Let n be number of tosses, and X be
the number of heads. Then the proportion of heads is X/n. So we need to determine n such that
P (0.45 < X/n < 0.55) ≥ 0.99.
√
Here X follows binomial distribution with p = 0.5, mean µ = np = 0.5n and S.D. σ = npq =
√
0.5 n. So by Chebyshev’s inequality, we have
√ √ 1
P (0.5n − k(0.5) n < X < 0.5n + k(0.5) n) ≥ 1 − 2 .
k
√
Choosing k = 0.1 n, we get
100
P (0.45n < X < 0.55n) ≥ 1 − .
n
100
=⇒ P (0.45 < X/n < 0.55) ≥ 1 − .
n
100
So the required condition P (0.45 < X/n < 0.55) ≥ 0.99 is satisfied if 1 − n ≥ 0.99, that is, if
n ≥ 10000.
13. If X is Gamma random variable with α = 0.05 and β = 100, find an upper bound on P ((X − 4)(X −
6) ≥ 999).
Sol. We have
P ((X − 4)(X − 6) ≥ 999)
= P ((X − 5 + 1)(X − 5 − 1) ≥ 999)
= P ((X − 5)2 − 1 ≥ 999)
= P ((X − 5)2 ≥ 1000)
= 1 − P ((X − 2
√5) < 1000) √
= 1 − P (−10 10√ < (X − 5) < 10 √10)
= 1 − P (5 − 10 10 < X < 5 + 10 10).

Given that X is Gamma random pvariablepwith α = 0.05 and

√ β = 100. So its mean is µ = αβ =
0.05(100) = 5, and S.D. is σ = αβ 2 = 0.05(100)2 = 10 5. So by Chebyshev’s inequality, we
have
√ √ 1
P (5 − 10 5k < X < 5 + 10 5k) ≥ 1 − 2 .
k
√
Choosing k = 2, we get
√ √ 1
P (5 − 10 10 < X < 5 + 10 10) ≥ 1 − = 0.5.
2
It follows that
√ √
P ((X − 4)(X − 6) ≥ 999) = 1 − P (5 − 10 10 < X < 5 + 10 10) ≤ 1 − 0.5 = 0.5.

29
Figure 3.21: The
30 Normal Table
Figure 3.22: The χ2 Table
31
Figure 3.23: The t-distribution Table

32
Figure 3.24: The F -distribution Table

33
Figure 3.25: The F -distribution Table

34