Continuous Distributions

For a continuous random variable X, a probability density

function is a function such that
 𝑓(𝑥) ≥ 0
∞
 ‫׬‬−∞ 𝑓 𝑥 𝑑𝑥 = 1
𝑏
 𝑃 𝑎≤𝑋≤𝑏 = ‫𝑓 𝑎׬‬ 𝑥 𝑑𝑥 = area under 𝑓 𝑥 from 𝑎
to 𝑏 for any 𝑎 and 𝑏
 𝑃 𝑎 ≤ 𝑋 ≤ 𝑏 = P a < X ≤ 𝑏 = 𝑃 𝑎 ≤ 𝑋 < 𝑏 = 𝑃(𝑎 <
𝑋 < 𝑏)
for any 𝑎 and 𝑏. O. MHLANGA
Continuous Distribution
Ex. 1) The probability density function of the time to failure
−𝑥
𝑒 1000
of an electronic component in a copier (in hours) is 𝑓 𝑥 = , 𝑓𝑜𝑟 𝑥 > 0
1000
Determine the probability that
(a) A component lasts more than 3000 hours before failure.
(b) A component fails in the interval from 1000 to 2000 hours.
(c) A component fails before 1000 hours.
(d) Determine the number of hours at which 10% of all components
have failed.

O. MHLANGA
Solution to Ex.1)
𝑥
1 ∞ −1000
a) 𝑃 𝑋 > 3000 = ‫׬‬ 𝑒 𝑑𝑥 = 𝑒 −3 ≈ 0.0498
1000 3000
b) 𝑃 1000 ≤ 𝑋 ≤ 2000 =
1 2000 − 𝑥
‫׬‬ 𝑒 1000 𝑑𝑥 = 𝑒 −1 − 𝑒 −2 ≈ 0.2325
1000 1000
1 1000 −𝑥
c) 𝑃 0 < 𝑋 < 1000 = ‫׬‬ 𝑒 1000 𝑑𝑥 = 1 − 𝑒 −1 ≈ 0.6321
1000 0
1 𝑥 − 𝑢 −𝑥
d) 𝑃 𝑋 ≤ 𝑥 = 0.1 →
1000
‫׬‬0
𝑒 1000 𝑑𝑢 = 0.1 → 1 − 𝑒 1000 = 0.1
−𝑥
→ = 0.9 → 𝑥 = 106
1000

O. MHLANGA
Continuous Distribution
The cumulative distribution function of a continuous random variable
𝑋 is
𝑥
𝐹 𝑥 =𝑃 𝑋≤𝑥 = ‫׬‬−∞ 𝑓 𝑢 𝑑𝑢 for −∞ < 𝑥 < ∞.
Let 𝑋 be a continuous rv with pdf f(𝑥) and cdf F(𝑥). Then for any
number 𝑎,
𝑃 𝑋 > 𝑎 = 1 − 𝐹(𝑎)
and for any two numbers 𝑎 and 𝑏 with , 𝑎 < 𝑏,
𝑃 𝑎 ≤ 𝑋 ≤ 𝑏 = 𝐹 𝑎 − 𝐹(𝑏)

O. MHLANGA
Continuous Distribution
Ex. 2) Determine the cumulative distribution function for the
distribution in (Ex. 1). Use the cumulative distribution function to
determine the probability that a component lasts more than 3000
hours before failure.
Solution:
𝑃 𝑋 > 3000 = 1 − 𝑃 𝑋 ≤ 3000 = 1 − 𝐹 3000 = 𝑒 −3

O. MHLANGA
Continuous Distribution
Suppose X is a continuous random variable with probability density
function f(x).
The mean or expected value of X, denoted as or E(X), is
∞
𝜇 = 𝐸 𝑋 = න 𝑥𝑓 𝑥 𝑑𝑥
−∞
The variance of X, denoted as V(X) or 𝜎 2 is
∞ ∞
𝜎 2 = 𝑉 𝑋 = න (𝑥 − 𝜇)2 𝑓 𝑥 𝑑𝑥 = න 𝑥 2 𝑓 𝑥 𝑑𝑥 − 𝜇2
−∞ −∞
The standard deviation of X is 𝜎 = 𝜎 2 .

O. MHLANGA
Continuous Distribution: Continuous Random
Variable
A continuous random variable X with probability density function
1
𝑓 𝑥 = , 𝑎 ≤ 𝑥 ≤ 𝑏 is a continuous uniform random variable.
𝑏−𝑎

𝑎+𝑏 2 (𝑏−𝑎)2
𝜇=𝐸 𝑋 = and 𝜎 = 𝑉 𝑋 =
2 12
O. MHLANGA
Continuous Distribution: Continuous Random
Variable
Ex. 3) The net weight in pounds of a packaged chemical herbicide is
uniform for 49.75 < 𝑥 < 50.25 pounds. Determine the mean and
variance of the weight of packages.
Solution:
50.25 + 49.75 (50.25 − 49.75) 2 1
𝜇= 2
= 50, 𝜎 = = .
2 12 48

O. MHLANGA
Continuous Distribution
H/W. 4) Integration by parts is required. The probability density
function for the diameter of a drilled hole in millimeters is
10𝑒 −𝑥(𝑥−5) 𝑓𝑜𝑟 𝑥 > 5𝑚𝑚. Although the target diameter is 5
millimeters, vibrations, tool wear, and other nuisances produce
diameters larger than 5 millimeters.
a) Determine the mean and variance of the diameter of the holes.
(b) Determine the probability that a diameter exceeds 5.1 millimeters.

O. MHLANGA
Continuous Distribution: Normal Distribution
A random variable X with probability density function
2
1 −
(𝑥−𝜇)
𝑓 𝑥 = 𝑒 2𝜎2 , −∞ < 𝑥 < ∞
𝜎 2𝜋
is a normal random variable with parameters 𝜇, where −∞ < 𝜇 < ∞,
and 𝜎 > 0. Also 𝐸 𝑋 = 𝜇 and 𝑉 𝑋 = 𝜎 2 and the notation 𝑁(𝜇, 𝜎 2 )
is used to denote the distribution.

O. MHLANGA
Continuous Distribution: Normal Distribution
Attributes of the normal distribution:
• It is symmetric about the mean i.e 𝑃 𝑋 < 𝜇 = 𝑃 𝑋 > 𝜇 = 0.5 (*)
• The mean =the mode = median. This follows from (*) since 50% of the
observations are below the mean and 50% are above it (definition of
median). The height of the curve indicates the relative frequency of
the observations at each point. The peak indicates the most frequent
value which by definition is the mode.
• 68.27% of the observations fall between the mean minus 1 standard
deviation and the mean + 1 standard deviation i.e

O. MHLANGA
Continuous Distribution: Normal Distribution
• 𝑃 𝜇 − 𝜎 < 𝑋 < 𝜇 + 𝜎 = 0.6827
• 𝑃 𝜇 − 2𝜎 < 𝑋 < 𝜇 + 2𝜎 = 0.9545
• 𝑃 𝜇 − 3𝜎 < 𝑋 < 𝜇 + 3𝜎 = 0.9973
• Unfortunately, there is no closed-form expression for the integral of a
normal probability density function, and probabilities based on the
normal distribution are typically found numerically or from a table

O. MHLANGA
Continuous Distribution: Normal Distribution
• If X~𝑁(𝜇, 𝜎 2 ) random variable, we define the transformation 𝑍 =
𝑋−𝜇
𝜎
• which will be normally distributed with zero mean and variance of 1
as the standard normal, denoted 𝑍~𝑁(0,1)
• EX. 5) 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.

O. MHLANGA
Solution to Ex. 5
2.3−3
• 𝑃 𝑋 < 2.3 = 𝑃 𝑍 < = 𝑃 𝑍 < −1.4
0.5
= 𝑃 𝑍 < −1.4
= 𝑃(𝑍 > 1.4)
= 1 − 𝑃(𝑍 < 1.4)
= 1 − 0.9192 = 0.0808

O. MHLANGA
Ex. 6) An electrical firm manufactures light bulbs that have a life, before
burn-out, that is normally distributed 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.
Solution:
778−800 834−800
𝑃 778 < 𝑋 < 834 = 𝑃 <𝑍<
40 40
= 𝑃 −055 < 𝑍 < 0.85 = 0.8023 − 0.2912
= 0.5111

O. MHLANGA
Normal Approximation to the Binomial
Distribution
𝑋−𝑛𝜃
If X is a binomial random variable, 𝑍 = is approximately a
𝑛𝜃(1−𝜃)
standard normal random variable where
μ = 𝑛𝜃 𝑎𝑛𝑑 𝜎 2 = 𝑛𝜃(1 − 𝜃). The approximation is good for
𝑛𝜃 > 5 𝑎𝑛𝑑 𝑛 1 − 𝜃 > 5
• Ex. 7) Suppose that 25% of all students at a large public university
receive financial aid. Let X be the number of students in a random
sample of size 50 who receive financial aid, (i) find the probability that
at most 10 students receive aid. (ii) Find the probability that between
5 and 15 (inclusive) of the selected students receive aid

O. MHLANGA
Solution to Ex. 7
• 𝜃 = 0.25, 𝑛𝜃 = 50 0.25 = 12.5 > 5, 𝑛 1 − 𝜃 = 50 0.75 =
37.5 > 5, 𝑎𝑛𝑑 𝜎 = 3.06. The approximation can safely be applied.
10.5−12.5
i) 𝑃 𝑋 ≤ 10 =𝑃 𝑍≤
3.06
= ∅ −0.65 = 0.2578
4.5−12.5 15.5−12.5
ii) 𝑃 5 ≤ 𝑋 ≤ 15 = 𝑃
3.06
≤ 𝑍≤
3.06
15.5 − 12.5 4.5 − 12.5
=∅ −∅
3.06 3.06
= 0.8320

O. MHLANGA
Normal Approximation to the Poisson
Distribution
If X is a Poisson random variable with 𝐸 𝑋 = 𝜃, 𝑉 𝑋 = 𝜃,
𝑋−𝜃
𝑍=
𝜃
is approximately a standard normal random variable. The
approximation is good for 𝜃 > 5.
Ex.8) Assume that the number of asbestos particles in a squared meter
of dust on a surface follows a Poisson distribution with a mean of 1000.
If a squared meter of dust is analyzed, what is the probability that less
than 950 particles are found?

O. MHLANGA
Solution to Ex. 8)
𝑒 −1000 𝑥 1000
950
σ𝑥=0
• 𝑃 𝑋 ≤ 950 =
𝑥!
The computational difficulty is clear. The probability can be
approximated as
950 − 1000
𝑃 𝑋 ≤ 950 = 𝑃 𝑍 ≤ = 𝑃 𝑍 ≤ −1.58 = 0.057
1000

O. MHLANGA
Exponential Distribution
The random variable X that equals the distance between successive
counts of a Poisson process with mean 𝜃 > 0 is an exponential
random variable with parameter 𝜃
• The probability density function of X is
𝑓 𝑥 = 𝜃𝑒 −𝜃𝑥 for 0 ≤ 𝑥 < ∞.
1 1
•𝜇=𝐸 𝑋 = 𝑎𝑛𝑑 𝜎2 =𝑉 𝑋 = 2 .
𝜃 𝜃
• events occur independently.
• The rate at which events occur is constant.
• Two events cannot occur at exactly the same instant.

O. MHLANGA
Exponential Distribution
Ex.9)The lifetimes in years for a particular brand of cathode ray tube
are exponentially distributed with a mean of 5 years. What percent of
the tubes have lifetimes between 5 and 8 years?
Solution:
𝐸 𝑋 = 5, 𝜃 = 0.2
𝑃 5 < 𝑋 < 8 = 𝑃 𝑋 < 8 − 𝑃(𝑋 < 5)
8 5
= න 0.2𝑒 −0.2𝑥 𝑑𝑥 − න 0.2𝑒 −0.2𝑥 𝑑𝑥
0 0
= 1 − 𝑒 −1.6 − 1 − 𝑒 −1 = 0.166

O. MHLANGA
chi-square distribution
• Let 𝑍1 , 𝑍2 , … . . , 𝑍𝑛 be independent standard normal random
variables. Then 𝑈 = σ𝑛𝑖=1 𝑍𝑖2 is a chi-square with n degrees of
freedom.
• The chi-square distribution will be used to :
i) Test independence of two categorical variables
ii) Test goodness of fit of observed data to hypothetical distributions

O. MHLANGA
Student's-t distribution
• If the variable X has a chi-square (𝑋𝑟2 ) distribution and another
independent variable Z has the standard normal distribution of the
𝑍
form N(0,1) then the function: 𝑇 = is said to have a t-distribution
𝑋
𝑟
with parameter “degrees of freedom” 𝑟.

O. MHLANGA