Applied Statistics and

Probability for
Engineers
Sixth Edition
Douglas C. Montgomery George C.

Runger
Chapter 4
Continuous Random Variables and Probability
Distributions
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 4
Continuous
Random
Variables and
Probability
CHAPTER OUTLINE
4-1 Continuous Random Variables
Distributions and Poisson Distributions
4-2 Probability Distributions and 4-8 Exponential Distribution
Probability 4-9 Erlang and Gamma
Density Functions Distributions
4-3 Cumulative Distribution 4-10 Weibull Distribution
Functions 4-11 Lognormal Distribution
4-4 Mean and Variance of a 4-12 Beta Distribution
Continuous
Random Variable
4-5 Continuous Uniform
Distribution
4-6 Normal
Chapter Distribution
4 Title and Outline 2

4-7 Normal Approximation toJohn

Copyright © 2014 the Wiley & Sons, Inc. All rights reserved.
 Learning Objectives for
Chapter 4
After careful study of this chapter, you should be able to do the
following:
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 continuous probability
distributions.
5. Select an appropriate continuous probability distribution to
calculate probabilities for specific applications.
6. Calculate probabilities, means and variances for 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 Binomial and Poisson distributions.

Chapter 4 Learning Objectives 3

Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Continuous Random
Variables
• A continuous random variable is one
which
takes values in an uncountable set.
• They are used to measure physical
characteristics such as height, weight,
time, volume, position, etc...
Examples
1. Let Y be the height of a person (a real
number).
2. Let X be the volume of juice in a can.
3. Let Y be the waiting time until the next
person
Sec 4-1 arrives
Continuos Radom Variables at the server. 4
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Probability Density Function

Sec 4-2 Probability Distributions & Probability Density

5
Functions
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Example 4-1: Electric
Current
Let the continuous random variable X denote
the current
measured in a thin copper wire in
milliamperes(mA).
Assume that the range of X is 4.9 ≤ x ≤ 5.1 and
f(x) = 5.
What is the probability that a current is less
than 5mA? 5 5
P  X  5    f ( x)dx   5 dx  0.5
4.9 4.9
Answer:
5.1
P  4.95  X  5.1   f ( x)dx  0.75
4.95
Figure 4-4 P(X
< 5)
Sec 4-2 Probability Distributions & Probability Density
illustrated.
6
Functions
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Cumulative Distribution
Functions

The cumulative distribution function is

defined for all real numbers.

Sec 4-3 Cumulative Distribution Functions 7

Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Example 4-3: Electric
Current
For the copper wire current measurement in
Exercise 4-1, the cumulative distribution
function consists of three expressions.

0 x < 4.9
F (x ) = 5x - 24.5 4.9 ≤ x ≤ 5.1
1 5.1 ≤ x

The plot of F(x) is shown in Figure 4-6. Figure 4-6 Cumulative distribution
function

Sec 4-3 Cumulative Distribution Functions 8

Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Probability Density Function from the
Cumulative Distribution Function

• The probability density function

(PDF) is the derivative of the
cumulative distribution function
(CDF).
• The cumulative distribution
function (CDF) is the integral of
the probability density function
(PDF). dF  x 
Given F  x  , f  x   as long as the derivative exists.
dx

Sec 4-3 Cumulative Distribution Functions 9

Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Exercise 4-5: Reaction Time
• The time until a chemical reaction is complete
(in milliseconds, ms) is approximated by this
cumulative distribution function:

F  x 
0

for x  0
1  e 0.01x for 0  x
• What is the Probability density function?

f  x 
dx
 
dx 
dF  x 
d  0
1  e 0.01 x 
0
0.01
• What proportion of reactions is complete
e 0.01 x 
for x  0
for 0  x
within 200 ms?

P  X  200   F  200   1  e 2  0.8647

Sec 4-3 Cumulative Distribution Functions 10
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Mean & Variance

Sec 4-4 Mean & Variance of a Continuous Random

11
Variable
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Example 4-6: Electric
Current
For the copper wire current measurement, the
PDF is f(x) = 0.05 for 0 ≤ x ≤ 20. Find the mean
and variance.

20 2 20
0.05 x
E  X    x  f  x  dx   10
0
2 0

3 20
20
0.05  x  10 
V X    x  10  f  x  dx 
2
 33.33
0
3
0

Sec 4-4 Mean & Variance of a Continuous Random

12
Variable
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Mean of a Function of a Continuous Random
Variable
If X is a continuous random variable with a probability density function f  x  ,


E  h  x    h  x  f  x  dx (4-5)


Example 4-7:
Let X be the current measured in mA. The PDF is
f(x) = 0.05 for 0 ≤ x ≤ 20. What is the expected
value of power when the resistance is 100 ohms?
Use the result that power in watts P = 10−6RI2,
where I is the current in milliamperes and R is the
resistance in ohms. Now, h(X) = 10−6100X2.
20 3 20
x
E  h  x    10  x dx  0.0001
4 2
 0.2667 watts
0
3 0

Sec 4-4 Mean & Variance of a Continuous Random

13
Variable
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Continuous Uniform
Distribution
• This is the simplest continuous
distribution and analogous to its
discrete counterpart.
• A continuous random variable X
with probability density function
f(x) = 1 / (b-a) for a ≤ x ≤ b

Figure 4-8 Continuous uniform Probability Density Function

Sec 4-5 Continuous Uniform Distribution 14
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Mean & Variance
• Mean & variance are:

  E X  
 a  b
2
and
 b  a
2

 V  X 
2

12

Sec 4-5 Continuous Uniform Distribution 15

Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Example 4-9: Uniform
Current
The random variable X has a continuous uniform
distribution on
[4.9, 5.1]. The probability density function of X is f(x)
= 5, 4.9 ≤ x
≤ 5.1. What is the probability that a measurement of
current is
between 4.95 & 5.0 mA?
The mean and variance formulas can be applied
with a = 4.9 and b = 5.1. Therefore,
 0.2 
2

  E  X   5 mA and V  X   =0.0033 mA 2
12

Figure 4-9

Sec 4-5 Continuous Uniform Distribution 16

Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
Cumulative distribution function of Uniform
distribution
x
1 xa
F  x   du 
a 
b  a ba
The Cumulative distribution function is
0 xa
F  x    x  a   b  a  a  x  b
1 bx

Figure 4-6 Cumulative distribution function

Sec 4-5 Continuous Uniform Distribution 17
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Normal Distribution

Sec 4-6 Normal Distribution 18

Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Empirical Rule
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 4-12 Probabilities associated with a normal

distribution

Sec 4-6 Normal Distribution 19

Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Standard Normal Random Variable

A normal random variable with

μ = 0 and σ2 = 1
is called a standard normal random
variable
and is denoted as Z. The cumulative
distribution function of a standard normal
random variable is denoted as:
Φ(z) = P(Z ≤ z)
Values are found in Appendix Table III and
by using Excel and Minitab.

Sec 4-6 Normal Distribution 20

Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Example 4-11: Standard Normal Distribution
Assume Z is a standard normal random variable.
Find P(Z ≤ 1.50). Answer: 0.93319

Figure 4-13 Standard normal Probability density function

Find P(Z ≤ 1.53). Answer: 0.93699

Find P(Z ≤ 0.02). Answer: 0.50398

NOTE : The column headings refer to the hundredths digit of the value of z in P(Z ≤
z).
For example, P(Z ≤ 1.53) is found by reading down the z column to the row 1.5 and
then selecting the probability from the column labeled 0.03 to be 0.93699.

Sec 4-6 Normal Distribution 21

Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Standardizing a Normal Random Variable

Suppose X is a normal random variable with mean  and variance  2 ,

the random variable

Z
 X  

is a normal random variable with E ( Z )  0 and V ( Z ) 1.

The probability is obtained by using Appendix Table III with z 

 x  
.


Sec 4-6 Normal Distribution 22

Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
Example 4-14: Normally Distributed Current-1
Suppose that the current measurements in a strip of wire are
assumed
to follow a normal distribution with μ = 10 and σ = 2 mA, what is
the
probability that the current measurement is between 9 and 11
mA?

 9  10 x  10 11  10 
P 9  X
Answer:  11  P    
 2 2 2 
 P  0.5  z  0.5 
 P  z  0.5   P  z  0.5 
 0.69146  0.30854  0.38292

Using Excel
0.38292 = NORMDIST(11,10,2,TRUE) - NORMDIST(9,10,2,TRUE)

Sec 4-6 Normal Distribution 23

Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
Example 4-14: Normally Distributed Current-2

Determine the value for which the probability

that a current
measurement is below 0.98.

Answer: P  X  x   P  X  10  x  10 
 2 2 
 x  10 
 PZ    0.98
 2 
z  2.05 is the closest value.
z  2  2.05   10  14.1 mA.

Using Excel
14.107 = NORMINV(0.98,10,2)

Sec 4-6 Normal Distribution 24

Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Normal Approximations
• The binomial and Poisson distributions
become more bell-shaped and symmetric as
their mean value increase.
• For manual calculations, the normal
approximation is practical – exact
probabilities of the binomial and Poisson, with
large means, require technology (Minitab,
Excel).
• The normal distribution is a good
approximation for:
– Binomial if np > 5 and n(1-p) > 5.
– Poisson if λ > 5.
Sec 4-7 Normal Approximation to the Binomial & Poisson
25
Distributions
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
Normal Approximation to the Binomial
Distribution

Sec 4-7 Normal Approximation to the Binomial & Poisson

26
Distributions
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
Example 4-18: Applying the Approximation
In a digital communication channel, assume that the number of
bits received in
error can be modeled by a binomial random variable. The
probability that a bit
is received in error is 10-5. If 16 million bits are transmitted,
X  150
P what  
 P X  150.5
is the 
probability that 150 or fewer errors occur?
 
X  160 150.5  160
 P  
 
 160 1  105
 160  1  10  
5 

 9.5 
 PZ    P  Z  0.75104   0.2263
 12.6491 
Using Excel
0.2263 = NORMDIST(150.5, 160, SQRT(160*(1-0.00001)), TRUE)
-0.7% = (0.2263-0.228)/0.228 = percent error in the approximation
Sec 4-7 Normal Approximation to the Binomial & Poisson
27
Distributions
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Normal Approximation to Hypergeometric

Recall that the hypergeometric

distribution is
similar to the binomial such that p = K /
N and
when sample sizes are small relative to
population
hypergeometric ≈ binomial ≈ normal
size. Thus the normal
distribution
can be used
distribution
to
distribution
approximate n / N < 0.1 np < 5
the hypergeometric distribution. n (1-p ) < 5
Figure 4-21 Conditions for approximating hypergeometric and
binomial probabilities

Sec 4-7 Normal Approximation to the Binomial & Poisson

28
Distributions
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
Normal Approximation to the Poisson

If X is a Poisson random variable with E  X    and

V  X   ,
X 
Z (4-13)

is approximately a standard normal random variable.
The same continuity correction used for the binomial
distribution can also be applied. The approximation is
good for   5

Sec 4-7 Normal Approximation to the Binomial & Poisson

29
Distributions
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Example 4-20: Normal Approximation to
Poisson
Assume that the number of asbestos particles in a square meter of
dust
on a surface follows a Poisson distribution with a mean of 1000. If a
square meter of dust is analyzed, what is the probability that 950 or
fewer particles are found?

950
e 10001000 x
P  X  950    ... too hard manually!
x 0 x!
The probability can be approximated as
P  X  950   P  X  950.5 
 950.5  1000 
 PZ  
 1000 
 P  Z  1.57   0.058
Using Excel
0.0578 = POISSON(950,1000,TRUE)
0.0588 = NORMDIST(950.5, 1000, SQRT(1000), TRUE)
1.6% = (0.0588 - 0.0578) / 0.0578 = percent error
Sec 4-7 Normal Approximation to the Binomial & Poisson
30
Distributions
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Exponential Distribution
Definition
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:

f(x) = λe-λx for 0 ≤ x < 

Sec 4-8 Exponential Distribution 31
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
Exponential distribution - Mean & Variance

If the random variable X has an exponential

distribution with parameter  ,
1 1
  E X   and   V  X   2
2
(4-15)
 

Note:
• Poisson distribution : Mean and variance are
same.
• Exponential distribution : Mean and standard
deviation
are
Sec 4-8 same.
Exponential Distribution 32
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Example 4-21: Computer
Usage-1
In a large corporate computer network, user log-ons to the
system can be
modeled as a Poisson process with a mean of 25 log-ons per
hour. What is
the probability that there are no log-ons in the next 6
minutes (0.1 hour)?

P  XX 0.1
Let    25the
denote time
e 25 x dx  0.1
 e 25in hours
 0.082 from the start of the interval
until the0.1first
The cumulative distribution function also can
log-on.
be used to obtain the same result as follows
P  X  0.1  1  F  0.1  0.082

Figure 4-23 Desired

Using Excel probability
0.0821 = 1 - EXPONDIST(0.1,25,TRUE)
Sec 4-8 Exponential Distribution 33
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Example 4-21: Computer
Usage-2
Continuing, what is the probability that the time
until the next log-on is between 2 and 3 minutes
(0.033 & 0.05 hours)?
0.05
P  0.033  X  0.05    25e 25 x dx
0.033
0.05
 e 25 x  0.152
0.033

An alternative solution is
P  0.033  X  0.05   F  0.05   F  0.033   0.152

Using Excel
0.148 = EXPONDIST(3/60, 25, TRUE) - EXPONDIST(2/60, 25, TRUE)
(difference due to round-off error)

Sec 4-8 Exponential Distribution 34

Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Example 4-21: Computer
Usage-3
• Continuing, what is the interval of time such
that the probability that no log-on occurs
during the interval is 0.90?
P  X  x   e 25 x  0.90,  25 x  ln  0.90 
0.10536
x  0.00421 hour  0.25 minute
25
• What is the mean and standard deviation of
the time until the next log-in?
1 1
   0.04 hour  2.4 minutes
 25
1 1
   0.04 hour  2.4 minutes
 25
Sec 4-8 Exponential Distribution 35
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Lack of Memory Property
An interesting property of an exponential random
variable
concerns conditional probabilities.

For an exponential random variable X,

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

Figure 4-24 Lack of memory property of an exponential

distribution.
Sec 4-8 Exponential Distribution 36
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Example 4-22: Lack of Memory Property

Let X denote the time between detections of a particle with a Geiger

counter. Assume X has an exponential distribution with E(X) = 1.4
minutes. What is the probability that a particle is detected in the
next
30 seconds?
Using Excel
P  X  0.5   F  0.5   1  e 0.5 1.4  0.30
0.300 = EXPONDIST(0.5, 1/1.4, TRUE)

No particle has been detected in the last 3 minutes. Will the

probability
increase since it is “due”?

P  3  X  3.5  F  3.5   F  3 0.035

P  X  3.5 X  3     0.30
P  X  3 1  F  3 0.117
No, the probability that a particle will be detected depends only on
the
interval of time, not its detection history.

Sec 4-8 Exponential Distribution 37

Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Erlang & Gamma
Distributions
• The Erlang distribution is a generalization
of the exponential distribution.
• The exponential distribution models the
interval to the 1st event, while the Erlang
distribution models the interval to the rth
event, i.e., a sum of exponentials.
• If r is not required to be an integer, then
the distribution is called gamma.
• The exponential, as well as its Erlang and
gamma generalizations, is based on the
Poisson process.

Sec 4-9 Erlang & Gamma Distributions 38

Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Example 4-23: Processor
Failure
The failures of CPUs of large computer systems are often
modeled as
a Poisson process. Assume that units that fail are
repaired immediately
and the mean number of failures per hour is 0.0001. Let
X denote the
time until 4 failures occur. What is the probability that X
exceed 40,000
hours?
 X  the
PLet   P  N  3 variable N denote the number of failures
40,000random
in 40,000
The assumption that the failures follow a Poisson process implies that N has a Poisson distribution with
 N   40,000
Ehours. The 0.0001   4 failures
time untilper440,000
failures
hours occur exceeds 40,000
hours 3 if and only
e 4 4 k
Pif Nthe  k !  0.433
 3 number
k 0
of failures in 40,000 hours is ≤ 3.
Using Excel
0.433 = POISSON(3, 4, TRUE)

Sec 4-9 Erlang & Gamma Distributions 39

Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Erlang Distribution
Generalizing from the prior
exercise:
 x
k
r 1  x
e
P  X  x    1 F  x
k 0 k!
Now differentiating F  x  :
 r x r 1e  x
f  x  for x  0 and r  1, 2,...
 r  1 !

Sec 4-9 Erlang & Gamma Distributions 40

Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Gamma Function
The gamma function is the
generalization of the
factorial function

for r > 0, not just non-
negative
  r    x r 1e  x dx, for r  0 (4-17)
integers. 0
Properties of the gamma function
  r    r  1   r  1 recursive property
  r    r  1 ! factorial function
  1  0!  1
  1 2    1 2  1.77 useful if manual
Sec 4-9 Erlang & Gamma Distributions 41
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Gamma Distribution
The random variable X with probability
density function:

r 1   x
 x e r
f  x  , for x  0 (4-18)
 r
is a gamma random variable with
parameters
λ > 0 and r > 0. If r is an integer, then X
has
an Erlang distribution.

Sec 4-9 Erlang & Gamma Distributions 42

Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Mean & Variance of the
Gamma
If X is a gamma random variable
with
parameters λ and r,

μ = E(X) = r / λ
and
σ2 = V(X) = r / λ2

Sec 4-9 Erlang & Gamma Distributions 43

Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
Example 4-24: Gamma Application-1
The time to prepare a micro-array slide for high-output
genomics is a Poisson
process with a mean of 2 hours per slide. What is the
probability that 10 slides
require more than 25 hours?

Let X denote the time to prepare 10 slides. Because of the

assumption of a
Poisson process, X has a gamma distribution with λ = ½, r = 10,
and the
requested probability is P(X > 25).

Using the Poisson distribution, let the random variable N denote

P  X  25   P  N  9 
the number of
slides E  made
N   25 in   12.5
1 210 hours. slidesThe hours until 10 slides Using
in 25time are
Excel
made
0.2014 = POISSON(9, 12.5, TRUE)
exceeds9 25 hours
e12.5  12.5  if
k

P  Nonly
and  9 ifthe numberk!
 of
0.2014
slides made in 25 hours is ≤ 9.
k 0

Sec 4-9 Erlang & Gamma Distributions 44

Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Example 4-24: Gamma Application-2
ing the gamma distribution, the same result is obtained.

P  X  25   1  P  X  25 
25
0.510 x9 e 0.5 x
 1  dx
  10 
Using Excel
0
0.2014 = 1 - GAMMADIST(25,10,2,TRUE)
 1  0.7986
 0.2014

What is the mean and standard deviation of the time to prepare

10 slides?
r 10
E X     20 hours
 0.5
r 10
V X     40 hours
 2 0.25
SD  X   V ( X )  40  6.32 hours
Sec 4-9 Erlang & Gamma Distributions 45
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
Example 4-24: Gamma Application-3
The slides will be completed by what
length of time with 95% probability? That
is: P(X ≤ x) = 0.95
Distribution Plot
Gamma, Shape=10, Scale=2, Thresh=0
0.07
0.95

0.06

0.05

0.04
Density

0.03

0.02

0.01

0.00
0 31.4
X

Minitab: Graph > Probability Using Excel

Distribution Plot > View Probability 31.41 = GAMMAINV(0.95, 10, 2)

Sec 4-9 Erlang & Gamma Distributions 46

Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Weibull Distribution
The random variable X with probability density function
 1
x 
f  x    e
 x  
, for x  0 (4-20)
  
is a Weibull random variable with
scale parameter   0 and shape parameter   0.
The cumulative distribution function is:

F  x  1 e
 x  
(4-21)
The mean and variance is given by
 1
  E  X      1   and
 
2
  2  2   1 
  V  X      1       1   
2 2
(4-21a)
       
Sec 4-10 Weibull Distribution 47
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Example 4-25: Bearing Wear
• The time to failure (in hours) of a bearing in a
mechanical shaft is modeled as a Weibull
random variable with β = ½ and δ = 5,000 hours.
• What is the mean time until failure?

E  X   5000    1  1 2   5000    1.5  Using Excel

 5000  0.5   4, 431.1 hours 4,431.1 = 5000 * EXP(GAMMALN(1.5))

• What is the probability that a bearing will last

at least 6,000 hours?
0.5
 6000 
  Using Excel
P  X  6, 000   1  F  6, 000   e  5000 
0.334 = 1 - WEIBULL(6000, 1/2, 5000, TRUE)
1.0954
Only 33.4% of 0.334
 e all bearings last at least 6000
hours.

Sec 4-10 Weibull Distribution 48

Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Lognormal Distribution
Let W denote a normal random variable with mean
θ and
variance ω2, then X = exp(W) is a lognormal random
variable with probability density function
 (ln  x   )2 
 
1
f  x   2 2 
e 0x
x 2
The mean and variance of X are

E X   e   2 2
and


V  X   e 2  e  1
2 2

Sec 4-11 Lognormal Distribution 49

Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Example 4-26: Semiconductor Laser-1
The lifetime of a semiconductor laser has a lognormal
distribution with θ = 10 and ω = 1.5 hours.
What is the probability that the lifetime exceeds 10,000
hours?
P  X  10, 000   1  P exp  W   10, 000 
 1  P W  ln  10, 000  
 ln  10, 000   10 
 1   
 1.5 
 1    0.5264 
 1  0.30
 0.701
1 - NORMDIST(LN(10000), 10, 1.5, TRUE) = 0.701
Sec 4-11 Lognormal Distribution 50
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Example 4-26: Semiconductor Laser-2
• What lifetime is exceeded by 99% of lasers?
P  X  x   P  exp  W   x   P W  ln  x   -2.3263 = NORMSINV(0.99)
 ln  x   10  6.5105 = -2.3263 * 1.5 + 10 = ln(x)
 1     0.99 672.15 = EXP(6.5105)
 1.5 
(difference due to round-off error)
From Appendix Table III, 1    z   0.99 when z  2.33
ln  x   10
Hence  2.33 and x  exp  6.505   668.48 hours
1.5

• What is the mean and variance of the

lifetime?
E X   e
2 2
   2
 e101.5 2

 exp  11.125   67,846.29

 
V  X   e2  e  1  e2101.5 e1.5  1
2 2 2

 2


 exp  22.25    exp  2.25   1  39, 070, 059,886.6
SD  X   197, 661.5

Sec 4-11 Lognormal Distribution 51

Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Beta Distribution
The random variable X with
probability density function

   
f  x = x 1  1  x 
 1
, for x in [0, 1]
    

is a beta random variable with

parameters α > 0 and β > 0.

Sec 4-12 Beta Distribution 52

Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Example 4-27: Beta
Computation-1
Consider the completion time of a large commercial real estate
development. The proportion of the maximum allowed time to
complete a task is a beta random variable with α = 2.5 and β = 1.
What is the probability that the proportion of the maximum time
exceeds 0.7?

Let X denote the proportion.

1
   
P  X  0.7   0.7            dx
 1  1
x 1  x

  3.5  1

  2.5     1 
0.7
x1.5 dx

2.5  1.5   0.5   x 2.5

1

 
1.5  0.5   2.5 0.7
Using Excel
 1   0.7 
2.5
 0.59 0.590 = 1 - BETADIST(0.7,2.5,1,0,1)

Sec 4-12 Beta Distribution 53

Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Mean & Variance of the Beta Distribution

If X has a beta distribution with parameters α

and β, 
  E X  
 

 2 V  X  
          1
2

Example 4-28: In the above example, α = 2.5

and β = 1. What are the mean and variance of
this distribution?
2.5 2.5
   0.71
2.5  1 3.5
2.5  1 2.5
2    0.045
 2.5  1  2.5  1  1
2
3.5  4.5 
2

Sec 4-12 Beta Distribution 54

Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
 Mode of the Beta Distribution
If α >1 and β > 1, then the beta distribution is mound-shaped and has
an interior peak, called the mode of the distribution. Otherwise, the
mode occurs at an endpoint.
General formula:
 1
Mode  , for [0, 1]
  2
For the above Example 4.28 the mode is
 1 2.5  1
Mode  =
    2 2.5  1  2
1.5

1.5
1
case alpha beta mode
Example 4-28 2.25 1 1.00 = (2.5-1) / (2.5+1.0-2)

Sec 4-12 Beta Distribution 55

Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
Important Terms & Concepts of Chapter 4

Beta distribution Mean of a function of a

Chi-squared distribution continuous random
Continuity correction variable

Continuous uniform Normal approximation to

distribution binomial & Poisson
probabilities
Cumulative probability
distribution for a Normal distribution
continuous random Probability density function
variable Probability distribution of a
Erlang distribution continuous random
Exponential distribution variable

Gamma distribution Standard deviation of a

continuous random
Lack of memory property of
variable
a continuous random
Chapter 4 Summary Standardizing
variable Copyright © 2014 John Wiley &
56
Sons, Inc. All rights reserved.