Chapter 6

Probability Distributions
6.1 Introduction
In chapter five, you were introduced to the concept of probability and its applications. This
chapter discusses some important probability distributions. As usual, to understand the chapter
very well, we begin with the definition of important concepts in the chapter and proceed to the
details.
6.2 Random Variables
Definition: A function whose value is a real number determined by each element in the sample
space is called a random variable (rv.).
Random variables will be denoted by upper case letters and their observed numerical values by
lower case letters.
Example 6.1
In random experiment of tossing a coin twice the sample space is
S= {HH, HT, TH, TT}.
Define the rv. X as follows: X is the number of heads obtained in the two tosses.
Hence X  HH   2, X  HT   X TH   1 and X TT   0

S = Sample Space RX= possible values of X

s  X(s)

To every s  S there corresponds exactly one value X  s  . In the above example the numbers 0,
1, 2 are random observations determined by the outcome of the experiment.
Remark: The set of all possible distinct values that a random variable may take is called the
range space of the random variable.
For the r.v. X in the above example, the range space is R X  0,1, 2 .

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There are two types of random variables, discrete and continuous.
Definition (Discrete r.v)): A r.v is discrete, if it can assume at most a finite or a countably
infinite number of possible values. That is, its possible values may be listed as x1, x2, x3,…,xn,…
. In the finite case the list terminates and in the countably infinite case, the list continues
indefinitely.
Example 6.2
-The number of car accidents occurring at certain time
-The number of children in a house-hold
-The set 1, 2, 3,... of possible values of Y.

Definition: Continuous random variables are variables which assume values within an interval
and have uncountably infinite possible values.
Example 6.3: All possible heights, weights, temperature, distances or life periods.
6.3 Probability Distribution of Random Variables
6.3.1 Discrete Probability Distribution
Definition: Let X be a discrete r.v. Hence RX , the range space of X, consists of at most a
countably infinite number of values x1, x2, x3,… .With each possible outcome xi , we associate a
number p( xi )=P(X = xi ) called the probability of xi .

The numbers p( xi ), i=1,2,3,…, must satisfy the following conditions:

(a) p( xi )  0 for all i,


(b)  p( x )  1
i 1
i

Example 6.4
Find the probability distribution of the number of heads obtained in the two tosses of a coin.
Solution
Let X= the number of heads.Then we have RX = {0, 1, 2, 3}.
Since X takes the value of 0 only, if the outcome is (TT), the probability of which is 1/4. There
are two elements of S for which X = 1, that is for which only one head occurred, and therefore
P(X=1) = 2/4
Similarly, we find P(X=2) =1/4.

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Hence, the probability distribution of x is given in the table below.

xi 0 1 2

P(X = xi ) 1/4 2/4 ¼

(a) p( xi )  0 for i=1,2,3

3
(b)  p( x )  1
i 1
i

Example 6.5
Four balls are to be drawn at random without replacement from a box containing 8 red and 4
white balls. Let X denotes the number of red balls that will be drawn. Find the probability
distribution of X.
Solution
Here the range space of X is RX = 0,1, 2, 3, 4 and we need to determine the probability of each
element of RX .

We have

 4
 4
1
P(X=0) = P(4 white)=   
 12  495
4 
 

 8  4 
  
1 3 32
P(X=1) =P( 1 red and 3white)=    
12  495
4 
 

 8  4 
  
2 2 168
P(X=2) = P (2 red and 2 white)     
 12  495
4 
 

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 8  4
  
3 1 224
P(X=3) =P(3 red and 1 white)      
 12  495
4 
 

8 
 
4 70
P (X=4) = P(4red)=   
 12  495
4 
 
Thus, the probability distribution of X is displayed in the table below

xi 0 1 2 3 4

1 32 168 224 70
P ( X  xi )
495 495 495 495 495

5
Here p  xi   0 i  1, 2,...,5 and  px  1 i
i 1

6.3.2 Continuous Probability Distribution

We defined a r.v. whose range space elements cannot be listed individually as being continuous.
Here we shall restrict consideration to continuous random variables whose range spaces are
intervals.
Example6.6
i) The time T hrs showing on a clock RT  t : 0  t  12

ii) The operational life time x hrs, of an electric light bulb has range space R X   x : x  0

Since the elements of the range space of acontinuous r.vcannot be listed individually a method
different from that used for discrete random variables is necessary for describing how the one
unit of probability is to be distributed over the range space.
6.3.3 Probability density function
Definition: The function f  x  is a probability density function (pdf) for the continuous r.v.X,
defined over the set of real numbers R , if
1. f  x   o for all x  Rx

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 
2.  f  x  dx  1


b
3. P  a  X  b    f  x dx for any a, b with   a  b  
a

Example 6.7: Let the r.v.X have pdf

x2
f  x  , 1  x  2
3
=0, elsewhere

a) Show that  f  x  dx  1


b) Find P  0  X  1 .

Solution
 2 x2
a)  f  x   dx
 1 3

x3 2
 | 1
9
8 1
 
9 9
1

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 1 x2
b) P  0  x  1   dx
0 3
x3 1
 |0
9
1

9

Example 6.8: The continuous rv.X is distributed with probability density function defined by
f  x   cx 16  x2  , 0  x  4

Evaluate i) c
ii) P (1  X  2)

iii) P ( X  3)

iv) P ( X  2 /1  X  3)

Solution
(i) to determine c we use the fact that
4
 f  x  dx  1 .
0

4
Thus, c  16 x  x3  dx  1
0
4
 x4 
or c 8 x 2    1
 4 0
 64c  1
1
c
64
2
ii) P 1  X  2    f  x  dx
1

1 2

64 1
16 x  x 3  dx

81

256

1 4 49
iii) P  X  3 
64 3
16 x  x3  dx 
256

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 P  X  2  1  X  3
iv) P  X  2 /1  X  3 
P 1  X  3

P 1  X  2

P 1  X  3

But
81
P 1  X  2   and
256
1 3 44
P 1  X  3  
64 1
16 x  x3  dx 
64
81
81
Hence P 1  X  2 /1  X  3   256 
44 176
64
6.3.4 Cumulative Distribution Function
Definition: Let X be a random variable, discrete or continuous. We define F to be the
cumulative distribution function of the rv.X (abbreviated as c.d.f) where F  x   P  X  x  .

Theorem 7 .1: If X is a discrete rv,

F  x    p  x j  , where the sum is taken over all indices j satisfying x j  x.

j

If X takes on only a finite number of values x1 , x2 , x3 ,... xn then the c.d.f is given by

0 ,    x  x1
 p( x ) , x  x  x
 1 1 2

 p ( x1 )  p ( x 2 ) , x 2  x  x 3

F ( x )  



 p ( x )  p ( x )  ...  p ( x ) , x  x  
 1 2 n n

Example 6.9:
a) Find the distribution function for the r.v.X representing the number of heads in the two tosses
of a fair coin.
b) Obtain its graph

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Solution:

0,   x  0
1
 4 , 0  x 1
a) The c.d.f is F  x   
3 4 , 1 x  2

1, 2 x

The word “cumulative” suggests the role of this function. It sums or accumulates the
probabilities found by means of the density.
b) The graph of F  x  is shown below.

F(x)

1
1/4
3/4

1/2 1/2

1/4
1/4
x
0
2
The following things about the above distribution function (c.d.f), which are true in general,
should be noted.

1. The magnitudes of the jumps at 0, 1, and 2 are 1 , 1 , and 1 which are precisely the
4 2 4
ordinates for the graph of F  x  . This fact enables one to obtain the probability function from
the distribution function.
2. Because of the appearance of the graph of the above figure it is often called a stair case
function or step function. The value of the function at an integer is obtained from the higher

step, thus the value at 1 is 3 and not 1 . This is expressed mathematically stating that the
4 4
distribution function is continuous from the right at 0, 1, and 2.
3. As we proceed from left to right (i.e. going up stairs) the distribution function either remains

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the same or increases, taking on values from 0 to 1. Because of this it is said to be a
monotonically increasing function.
Let X be a discrete r.v. with possible values x1,x2,…, and suppose that it is possible to label these
values so that x1,x2,x3,…
Let F be the c.d.f of X. Then

p  x j   P  X  x j   F  x j   F  x j 1 

Example 6.10: Suppose that the rv.X assumes the three values. 0, 1, and 2 with probabilities
1 , 1 and 1 , respectively.
3 6 2

0 if x  0
1
 if o  x  1

F  x  3
1 if 1  x  2
2
1 if x  2


Definition: The cumulative distribution function F  x  of a continuous rv.X with density

function f  x  is given by
x
F  x   P  X  x    f  t  dt.

x
F  x   P  X  x   P    X  x    f  t  dt


As an immediate consequence of the above definition, one can write the two results:
i) P  a  X  b   P  a  X  b   F b   F  a 

dF  x 
and ii) f  x   if the derivative exists.
dx
Note that if X is continuous with range space R X   x : a  x  b and pdf f, then its c.d.f., F, is
such that
F  x   0 for x  a
x
F  x    f  t  dt for a  x  b
a

F  x   1or x  b.

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Example 6.11: Find the c.d.f of the distribution whose p.d . f is given by

1
f  x   , 0  x  1,
5
1 3
f  x  x ,1  x  3.
25
Solution:
Since the range space in this example is R X   x : 0  x  3 , it follows that F, the c.d.f., will be
such that F  x   0 for x  0, and F  x   1 for x  3.
x
For a value x in the interval [0, 3], we have F  x    f  t  dt
0

From the specification of f  x  we must give separate consideration to the values of x in (0, 1)
and value of x in (1, 3).
For 0  x  1
x 1 1
F  x   dt  x
0 5 5
For 1  x  3,
1  x  1
4
11 x 1
3
F  x    dt   t dt  
0 5 1 25 5 100
4
x  19

100
81 19
As a check, we note that F  3    1.
100 100
Hence the c.d.f in this case is given by
F  x   0 for x  0,
1
F  x  x for 0  x  1,
5

F  x 
 x 4  19 
for 1  x  3,
100
F  x   1 for x  3.

Example 6.12: The distribution function for a random variable X is

1  e 2 x x0
f  x  
0 x0

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Find: (a) the density function, (b) the probability that X  2 and (c) the probability that
3  X  4.
Solution:
d
a) f  x   F  x
dx
 2e 2 x x0

0 x0

b) P  X  2    f  u du
2

  2e 2 u du
2

 e 2u |2
 e 4

Another method:
By definition, P  X  2   F  2   1  e 4

Hence, P  X  2   1  P  X  2 

  1  e 4 
 e 4

c ) P  3  X  4   P  X  4   P  X   3 

 F  4   F  3 
 1  e 8    0 
 1  e 8

Another method:
4
P  3  X  4    f  t  dt
3
0 4
  f  t  dt   2e 2t dt
3 0
0 4
  odt   2e2 t dt
3 0
2 t 4
 e 0|
8
 1 e

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6.4 Expectation of a Random Variable
Definition: Let X be a rv. The expected value of X or the mean value of X or the mathematical
expectation of X denoted by E  X  , is defined by, E ( X )   x P  X  x  if X is discrete
x

where P  X  x  is the probability distribution.


E  X    x f  x dx if X is continuous


where f  x  is the pdf of X.

Example 6.13: Find the expected number of heads that will be obtained when a fair coin is
tossed twice.
Solution
Let X denotes the number of heads in the two tosses. The distribution of X is given in the table
below.

xi 0 1 2

P  X  xi  1 2 1
4 4 4

3
Hence E  X    xi p  xi 
i 1

1 2 1
0 x 1x  2x
4 4 4
1

Example 6.14: Let the rv.X be defined as follows. Suppose that X is the time (in minutes) during
which electrical equipment is used at maximum load in a certain specified time period. Suppose
that X is a continuous rv. with the following pdf:
1
f  x  2
x, 0  x  1500
1500 
1
 2  x  3000  ,1500  x  3000,
1500 
 0, else where

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MESERET TADDESSE EJETA
 
Thus E  X    x f  x  dx


1  1500 x2 dx  1500 x  x  3000  dx 


1500 
2  0 0 

 1500 min utes

6.4.1 Some properties of Expectation of a Random Variable

Let X and y be random variables and let c be any real number,
1. E  c   c
 
Proof: E  c    cf  x  dx  c  f  x  dx
 

c

2. E  cX   cE  X 
 
Proof: E  cX    cx f  x  dx  c  xf  x  dx  cE  X 
 

3. E  X  Y   E  X   E Y 
4. E  X  Y   E  X   E Y 
5. E  XY   E  X  E Y  , if X and Y are independent.
 
Proof: E  XY     xy f  x, y  dx dy
 

 
  xy g  x  h  y  dx dy
 
 
  xg  x  dx  yh  y  dy
 

 E  X  E Y 

6. If a and b are constants, then E  aX  b   aE  X   b

Proof: By definition of expected value,


E  aX  b     ax  b  f  x  dx

 
 a f  x  dx  b  f  x  dx
 

 aE  X   b

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6.5 Variance of a Random Variable
Definition: Let X be arv. We define the variance of X denoted by V  X  or  X2 as follows:
2
V ( X )  E  X  E  X  , E  X   

The positive square root of V  X  is called the standard deviation of X and is denoted by  X . The
evaluation of V  X  may be simplified with the aid of the following result
2
Theorem 6.2: V  X   E X 2   E  X    
 EX 2
2
Proof: Expanding E  X  E  X   and using the previously established properties for
expectation, we obtain:
2
V  X   E  X   X  


 E X 2  2 XE  X    E  X  
2

2
 E  X 2   2 E ( X ) E  X    E  X    Re call that E ( X ) is a cons tan t 
2
 E  X 2    E  X  

2
V ar  X   E  X  X  

n

 
  x j  x f  x j  if X is discrete where f x j   is the probability function.
j 1

2
V ar  X   E  X    
 



 x  x  f  x  dx if X is continuous.

Example 6.15: In a random experiment of tossing a coin twice, find V  X  if X is the number
of head.

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MESERET TADDESSE EJETA
Solution: The probability distribution of X is displayed in the table below.

xi 0 1 2

P  X  xi  1 2 1
4 4 4

2
E  X   1,  E  X    1
2
E X 2
   x 2 p  x   02 1
x 0
 4  1 x 2 4  2 x 14
2 2

2
 1  3
4 2
2
V  X   E  X 2
   E  X 
 3 1
2
1
2

2
OR :V  X   E  X  E (X  
2 2
  x x
x 0
  p x 
2 2 2
  0  1 . 1  1  1 x 2   2  1 x 1
4 4 4
1 1
 
4 4
1

2

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MESERET TADDESSE EJETA
Example 6.16: Determine the variance of the distribution whose pdf, f is given by

f  x  x  1 , 0  x  1
2
 0, otherwise

Solution : E  X    xf  x  dx

1

0

  x x 1
2
dx 
1 1x x3 x2
  x 2dx   dx  |10  |10
0 0 2 3 4
7

12

2 49
 E  X   
144
1 1

E  X 2    x 2 f  x  dx   x 3  x
0 0
2

2 dx
1
 x 4 x3 
  
 4 6 0
5

12
2 5 49
V  X   E  X 2    E  X    
12 144
11

144

6.5.1 Some properties of the Variance of a Random Variable

If a, b and c are constants and X and Y are independent, then
1. V  X  c   V  X 

Proof:
2
V  X  c   E  X  c   E  X  c  
2
 E  X  c   E  X   c 
2
 E  X  E  X  
V  X 

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MESERET TADDESSE EJETA
 2. V  cX   c 2V  X 
2 2
Proof : V  cX   E  cX    E  cX  
2
 c2 E  X 2   c2  E  X 
2
 c2  E  X 2    E  X  
 
2
 c V X 

3.V ( X  Y )  V ( X )  V (Y )
2 2
Pr oof : V  X  Y   E  X  Y    E  X  Y  
2 2
 E  X 2  2 XY  Y 2    E  X   2 E  X  E Y   E  y  
 
2 2
 E  X 2    E  X    E Y 2    E Y  
 V  X   V Y 

4.V  aX  b   a 2V  X 
2 2
Pr oof : V  aX  b   E  aX  b 
2 2
 E  a 2 X 2  2abX  b 2   a 2  E  X    2abE  X    E  b  
2 2
 a 2 E  X 2   2abE  X   E b 2   a 2  E  X    2abE  X    E  b  
2
 a 2  E  X 2   E  X  
 a 2V  X 

6.6 Important Discrete Probability Distributions

6.6.1 The Binomial Distribution
Definition(Bernoulli trials): Repeated independent trials with two possible outcomes a’ success’
with probability p and a ‘failure’ with probability of q or 1-p are Bernoulli trials.
Experiments of these types are known as binomial experiments. Here success refers to the
occurrence of a particular event (e.g. “an item is defective”), and failure refers to the non-
occurrence of the event. An experiment of tossing a coin is one example of binomial experiment.
Definition: Consider an experiment in which p is the probability that an event will occur in a
single trial (called probability of success) and 1-p is the probability that the event will not occur
(called probability of failure).We make the following assumptions called binomial properties:
1. The number of trials (n) is fixed.
2. p is the same for each trial (remains constant from trial to trial).

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MESERET TADDESSE EJETA
 3. The trials are all independent.
Under these assumptions, the probability that the event will occur x times in n trials, where
 n  x  is given by:
nx
P  X  x   n C x p x 1  p  , x  0,1, 2,..., n

This discrete probability distribution is called the binomial distribution.

Example6.17: Toss a coin four times. What is the probability of getting
a) exactly 2 heads?
b) exactly 4 heads?
c) at most 3 heads?
Solutions: Define the rv.X as
X is the number of heads obtained.
Then, p = probability of getting a head in a single toss of a coin = 0.5
n=the number of times the experiment is done =4
Hence, the probability distribution of X is
x 4 x
P  X  x  4 Cx  0.5 1  0.5 , x  0,1, 2,3, 4.

a) Exactly 2 heads means x=2

Hence the required probability is
2 4 2
P  X  2   4 C2  0.5  1  0.5 
 6 x  0.25  x  0.25 
 0.375

b) Exactly 4 heads means x=4.

4 4
P  X  4   4 C4  0.5 1  0.5
4
4 C4  0.5   0.5  0
 1x  0.0625  x 1
 0.0625

c) At most 3 heads means x  3.

Hence, the required probability is

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MESERET TADDESSE EJETA
P  X  3  P  X  0   P  X  1  P  X  2    X  3
0 4 0 1 4 1
 4 Co  0.5 1  0.5   4 C1  0.5 1  0.5 
2 4 2 3 4
 4 C2  0.5  1  0.5  4 C3  0.5  1  0.5 
 0.0625  0.2500  0.3750  0.2500
 0.9375
Or P  X  3  1  P  X  4  , P  X  3  P  X  4   1
 1  0.0625
 0.9375

Example 6.18: A product is supposed to contain 5% defective items. What is the probability that
a sample of 8 items will contain less than 2 defective items?
Solution: Define the rv. X as
X is the number of defective items in a sample of 8 items.
5
Then p   1 ,n  8
100 20

Hence, the probability distribution of X is

x 8 x
P  X  x  8 C x 1  20 19 20  , x  0,1, 2,...,8

Then the required probability is

P  X  2   P  X  0   P  X  1
0 8 1 7

 8 C0 1
120  19
20   8 C1 1  20  19
20 
7
 19   19 8 
    
 20   20 20 
7

 19
20   20 
27

Example 6.19: The probability that a bulb produced by a factory will fuse after 100 days of use
is 0.05. Find the probability that out of 5 such bulbs,
a) none b) not more than one
c) more than one d) at least one fuses after 100 days of use.
5
Solutions: Let X = number of fuse bulbs out of 5 bulbs. Then p   1 ,n  5
100 20

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MESERET TADDESSE EJETA
 5
0
 19 
5
a) P  X  0 5 Co 1  20  19
20 
 
 20 
b) P(not morethan one)  P  X  1  P  X  0   P  X  1
5 4
 19   19 
   5 1
 20  20  
 20 
 
 6  19 
   
 5  20 

c) P(morethan one)  P  X  1
 1  P  X  1
4
 6  19 
 1    
 5  20 

d ) P (at least one)  P  X  1

 1  P  X  1
 1  P  x  0
5
 19 
 1  
 20 

Note: For the binomial distribution

Mean= expected value    np and

Standard deviation    npq

Example 6.20: A study showed that 10% of items produced by a factory have some defect.
Customer buys 5 of them for consumption.
Find: a) The chance that atmost 4 them have no any defect.
b) The expected number and standard deviation of the number of defective items bought.
Solutions: Let X= number of items having no defect. Then X is a binomial rv.
Thus X=x, x = 0, 1, 2,…, 5.
 X ~ B ( n, p ), n  5 , p  P ( no defect )  0.9

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MESERET TADDESSE EJETA
a) P  X  4   1  P  X  4 
 1  P  X  5
5 0
 1 5 C5  0.9   0.1
 0.40951
b) Mean    np  5 x0.1  0.5
  npq  5 x 0.1x 0.9  0.67

Example6.21: Determine the binomial distribution whose mean is 4 and standard deviation is
3.

Solution: For the binomial distribution, mean=4 and s tan dard deviation  npq  3.

or np  4..... 1 and npq  3....  2 

3
Dividing (2) by (1), q 
4

3 1
Therefore, p  1  q  1  
4 4

1
Then from (1), n x  4, or n  16
4

Hence the required probability function of binomial distribution is

x 16  x
n x n x 16 1 3
f  x   Cx p q  Cx     ,
4 4
x  0,1, 2,3....,16

6.6.2 The Poisson Distribution

We say X is a Poisson random variable if it counts the number of occurrences of an event in a
given time interval or in a specified region, or space.
Some examples of Poisson random variables are as follows.
1. The demand of an item per day.
2. The number of emissions from a radioactive source in a given time period.
3. The number of incoming calls to a telephone switches board during a specified time
period.
4. The number of holes in a square meter of a carpet, etc.
Definition: Let X be a Poisson random variable. The probability of exactly X occurrences of an
event in some specified unit of time or space t is given by

21
MESERET TADDESSE EJETA
 x
e t  t 
P  X  x \ t   , x  0,1, 2,... and   0
x!
Where  is the average number of occurrences per interval of time or space or region and E=
2.71828… is an irrational number. This discrete probability distribution is known as the Poisson
distribution.
Example 6.22: Suppose on the average 2 customers enter a store every 5 minutes.
a) What is the probability that exactly 2 customers will enter the store in a 10 minute
period?
b) What is the likelihood of 3 or fewer customers entering the store in half an hour?
Solution: Define the random variable X as X is the number of customers that enter the store per
minute.

Then   2  0.4 every minute.

5
a) Since t  10 minutes t   0.4 10   4 . Hence, using Poisson distribution, the probability of
exactly 2 customers entering the store in 10 minutes period is:
2
e4  4
P  X  2 | t  4    0.1465
2!
Therefore, there is a 14.65% chance of having 2 customers in a 10 minute period.
b) Here t= 0.5 hr=30 minutes, t   0.4  30   12 . The required probability is:

P  X  3 |  t  12   P  X  0 |  t  12   P  X  1|  t  12   P  X  2 | t  12   P  X  3 | t  12 
 0.0023
Therefore, there is almost no chance (0.23%) that three or fewer customers will enter in half an
hour.
Example 6.23: The average number of radioactive particles passing through a counter during 1
millisecond probability that six particles enter the counter in a given millisecond?
Solution: Here x  6,   4, t  1

e 4 4 6
Then p  x  6 | t  4    0.104195634
6!
Example 6.24: A secretary makes on the average 0.6 errors per page. What is the probability
that she makes
a) no error per half page?
b) 3 errors per page?
c) at least one error per 2 pages?

22
MESERET TADDESSE EJETA
Solution: Let X = number of errors per page.
Then   0.6
1 1
a) Here t  , t   0.6     0.3
2 2
0
e0.3  0.3
Then P  X  0 | t  0.3   0.07408
0!
0
e0.6  0.6 
b) P  X  3 | t  0.6    0.019757218
3!
c) In this cast t  2,  t  0.6 x 2  1.2
Thus
P  X  1|  t  1.2   1  P  X  1
 1  P  X  0
0
e 1.2 1.2 
 1
0!
 1  0.301194211
 0.6988

6.6.3 Poisson Approximation to Binomial

In a binomial distribution if p is very close to zero and n is very large, the binomial probabilities
can be approximated by the Poisson distribution with t  np . The approximation will be good
if p  0.05, np  5 and nq  5.

Example 6.25: Suppose that in a large population of cows the proportion of cows that have a
certain diseases is 0.01. Find the probability that in a random sample of 500 cows at least 10 will
have the disease.
Solution:Let X = number of cows having the diseases then X B  n, p  , n  500, p  0.01

np  500 x 0.1  5  t is small. Hence X p t 

x
e  t  t 
Thus, P  X  x   , x  0,1, 2,...,500.
x!

23
MESERET TADDESSE EJETA
  1  P  X  0   P  X  1  ...  P  X  9 
e5 50 e 5 5 e 5 59
 1   ... 
0! 1! 9!
9
 5 
 1  e5 1  5  ...  
 9! 
 1   0.0067 x137.69 
 0.077

6.7 Continuous Probability Distributions

The probability distribution of a continuous random variable is specified by probability density
function, f  x  .

Let X be a continuous random variable defined over an interval (a, b). Then the function f  x 
is called the probability density function if it satisfies the following properties.
1. f x   0

2.  f  x  dx  1 (i.e. the total area under the curve f  x  and above the x -axis is equal to 1).


f x 

A=1
a b x
Note: The probability that the continuous rv.X lies in the interval [c, d] is given by
d
P  c  X  d    f  x dx
c

Where f  x  is the pdf of the rv.X.

1
 , 1 x  3
Example 6.26: Given f  x    2
0, other wise

a) Check if f  x  is a pdf.

24
MESERET TADDESSE EJETA
 b) If it is a pdf, find the probability that X lies
i) between1.5 and 2. ii) above 1.5. iii) below 2.5.
Solution: a) i) f  x   0, for x  1, 3 

ii)  f  x dx  1


3 3 1
  f  x dx   dx
1 1 2
1 3
  x 1
2
3 1
 
2 2
1

Therefore, f  x  is a density function.

2
b) i) P 1.5  X  2    f  x dx
1.5

x 2
 |1.5
2
1.5
 1
2
 1  .75
 0.25
3
b) (ii ) P  x  1.5    f  x  dx
1.5

x 3
 |1.5
2
3 1.5
 
2 2
 0.75
2.5
(iii ) P  X  2.5    f  x dx
1

x 2.5
 |1
2
2.5 1
 
2 2
 0.75

25
MESERET TADDESSE EJETA
6.7.1Expected value and standard deviation for a continuous random
variable
Let f  x  be the probability density function of a continuous rv. X .

The expected value or mean of X denoted by E ( X ) or  is given by


E  X      x f  x  dx


2
 
The variance of X denoted by Var  X  or  X2 is given by V ar  X    X2  E X 2   E  X  

Where E  X 2    x 2 f  x  dx and the standard deviation is


S .D  X    X  var  X 

Example 6.27: Find the mean  E  X   ,  X2 and  X for the function

 2x , 0  x  1
f x   
0, elsewhere

Solution: i) E  X      xf  x  dx


1
  x  2x  dx
0

2
 x 3 |10
3
2

3
2
 
ii) Var  X   E X 2   E  X  

But E  X 2    x 2 f  x  dx


1
  x 2  2 x  dx
0

x4 1
 |0
2
1

2

26
MESERET TADDESSE EJETA
 1 2 2
Therefore,Var  X  
2

3  
1 4
 
2 9
1

18
1 1
S .D  X    X   3
18 2

6.7.2 The Normal Distribution

This is a continuous distribution. A continuous random variable X is said to have a normal
distribution with mean  and standard deviation  if it has the following probability density
function:
2
1  x 
1  
f  x  e2  
,   x  
 2
    
 0
Where e  2.71828…
  3.1416
  population mean
  population standard deviation
Therefore, the normal distribution is specified by two parameters  and  .

i.e. X N  , 2 

The normal distribution is a bell-shaped distribution of the figure below.

x


27
MESERET TADDESSE EJETA
Note: 1. f  x   0

2.  f  x  dx  1


Properties of the Normal Curve

1. The area to the right x   is equal to the area to the left of x   (It is symmetrical about the
mean).
2. The total area under the normal curve and above the x -axis is equal to 1.

i.e.  f  x  dx  1.


To find the areas, i.e., the probabilities, we can refer to statistical tables constructed for this
purpose. But to do so, first we need to standardize the normal random variable X as:
X 
Z ,

where  = mean of the rv. X,   standard deviation of the rv. X

X 
Theorem 6.3: If X N   ,  2  , then Z N  0,1 where Z 

Proof: i) To show mean of Z is equal to 0:

Z  
E Z   E   
  
X 
Z  E E 
   
1 
 EX 
 
 
 
 
0

 Mean of Z= 0

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ii) To show Var (Z) =1

X 
V ar  Z   V ar 
  
X 
 V ar    V ar  
   
V ar  X 
 0
2
2
 2

1
V ar  Z   1

Definition: A normal distribution with mean 0 and standard deviation 1 is called standard
normal distribution or Z- distribution.

Then any X N   ,  2  can be changed to a standard normal by the transformation

X 
Z .

The standard normal distribution is displayed below.

f  z  standard normal curve

-3 -2 -1 0 1 2 3 4 z

Definition: The probability density function of the standard normal random variable Z, with
1  z2 2
mean 0 and variance 1 is: f  z   e ,   z  
2

Note: 1. f  x   0, for all z .


2.  f  z  dz

1

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 How to read a standard normal table
Reading a standard normal table is possible if it is in the form P  o  Z  a  or P  0  Z  a  =
the area under the normal curve between 0 and a where a is a positive number  3.9 .

Cases
1. P  o  Z  a  - readable form

Example 6.28: P  o  Z  2.83 

To find the area bounded by z  0 and z  2.8 look up the value opposite 2.8 and under 0.03 in
standard normal distribution table.

From the table, the area is 0.4977.

2. P   a  Z  0   P  0  Z  a  because of symmetry.

Example 6.29: P  1.76  Z  0   P  o  Z  1.76   0.4608

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3. P  a  Z  b   P  0  Z  b   P  0  Z  a 

Example 7.30 : P (1.42  Z  2.58)  P (0  Z  2.58  P (0  Z  1.42

 0.4951  0.4222
 0.0729

4. P   a  Z   b   P  b  Z  0   P   a  Z  0   P  0  Z  b   P  0  Z  a 

Example 7.31 : P (2.43  Z  1.58)  P (2.43  Z  0)  P (1.58  Z  0)

 P (0  Z  2.43)  P (0  Z  1.58)
 0.4925  0.4425
 0.05

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5. P   a  Z  b   P   a  Z  0   P  0  Z  b   P  0  Z  a   P  0  Z  b 

Example 7.32 : P ( 1.30  Z  1.39)  P (0  Z  1.39)  P (0  Z  1.30)

 0.4177  0.4032
 0.8209

6. P  Z  a   0.5  P  0  Z  a 

Example 7.33 : P ( Z  1.23)  0.5  P (0  Z  1.23)

 0.5  0.3907
 0.8907

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 7. P  Z   a   0.5  P   a  Z  0   0.5  P  0  Z  a 

Example 7..34 : P ( Z  1.91)  0.5  P ( 1.91  Z  0)

 0.5  P (0  Z  1.91)
 0.5  0.4719  0.0281

8. P  Z  a   0.5  P  0  Z  a 

Example 7.35 : P( Z  0.45)  0.5  P(0  Z  0.45)

 0.5  0.1736  0.3264

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MESERET TADDESSE EJETA
9. P  Z   a   0.5  P   a  Z  0   0.5  P  0  Z  a 

Example 7.36 : P ( Z  0.6)  0.5  P (0.6  Z  0)

 0.5  P (0  Z  0.6)
 0.5  0.2257  0.7257

Examples 6.36: The daily output (X) of a product line is normally distributed with a mean of
163 units and a standard deviation of 3.5 units. Find the probability that the daily output will be :
a) 160 units or less
b) more than156 units.
Solution: Given   163 and   3.5

x   160  163
a) x  160  z  
 3.5
 0.86
Thus, P  X  160   P  Z  0.86 
 0.5  P  0.86  Z  0 
 0.5  0.3051  0.1949

Therefore, the chance of producing 160 units or less per day is 19.49 percent.
x   156  163
b) x  156  z    2.00
 3.5

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 Thus, P  X  156   P  Z  2.00 
 P  2  Z  0   0.5
 0.5  0.3051  0.1949
 0.4772  0.5
 0.9772

Therefore, it is highly likely (a 97.72% chance that) the daily out put will be more than 156
units.
Examples 6.37: The life time of a particular part produced for a machine by a company has a
normal probability distribution with mean of 1000 hrs, and standard deviation of 100 hrs.
a) What proportion of the parts produced by this company last not more than 800 hrs?
b) 20% of the parts which lasted the longest must have a life time above how many hrs?
Solution: Let X be the life time of a particular part of a machine

Then X N   ,  2  ,   1000hrs,   100hrs

 800  1000 
a) P  X  800   P  Z  
 100 
 P  Z  2 
 0.5  P  2  Z  0 
 0.5  P  0  Z  2 
 0.5  04772
 0.0228
Therefore, the proportion of the parts produced by the company that lasts not more than 800 hrs
is 2.28%.

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 b) P  X  x   20%  0.2

 x 
Thus, P  X  x   P  Z   0.2
  
 x  1000 
 PZ    0.2
 1000 

x  1000
0
100

 x  1000   x  1000 
PZ    0.5  P  0  Z    0.2
 100   100 
 x  1000 
Then P  0  Z    0.5  0.2  0.3
 100 

x  1000
But  0.84 (from a table)
100
Hence x  0.84x100+1000=1084 hrs. Therefore, 20% of the parts which lasted the longest must
have a life length of above 1084 hrs

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