Lecture 6.

CONTINUOUS PROBABILITY
▪ Continuous Random Variable
▪ Density Function
▪ Parameter
▪ Uniform Distribution
▪ Normal Distribution
▪ Cutoff point
▪ Exponential Distribution

▪ [1] Chapter 6. pp. 255 - 294

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 6.1. Continuous Random Variable
▪ Discrete RV: A random variable that may assume
either a finite number of values or an infinite
sequence of values
▪ Continuous RV: A random variable that may assume
any numerical value in an interval or collection of
intervals
▪ Available value is one interval: 𝑋 = (𝑥𝑚𝑖𝑛 , 𝑥𝑚𝑎𝑥 )
▪ Probability of getting one value: 𝑷 𝑿 = 𝒙𝟎 = 𝟎
▪ Consider Probability at one interval: 𝑷(𝒂 < 𝑿 < 𝒃)
▪ 𝑷(𝒂 < 𝑿) and 𝑷(𝑿 < 𝒃) can be rewrite as:
𝑃(𝑎 < 𝑋 < +∞) and 𝑃(−∞ < 𝑋 < 𝑏)

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 6.2. Density Function
▪ Discrete ▪ Continuous
X 𝒙𝟏 𝒙𝟐 … 𝒙𝒏 X (𝑥𝑚𝑖𝑛 , 𝑥𝑚𝑎𝑥 )
Prob. 𝑝1 𝑝2 … 𝑝𝑛 Density 𝑓(𝑥)

+∞
▪ σ𝑖 𝑝𝑖 = 1 ‫׬‬−∞ 𝑓 𝑥 𝑑𝑥 = 1
p f(x)

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 Density Function
▪ 𝑓 𝑥 ≥0
+∞
▪ ‫׬‬−∞ 𝑓 𝑥 𝑑𝑥 = 1
𝑏
▪ 𝑃 𝑎<𝑋<𝑏 = ‫𝑓 𝑎׬‬ 𝑥 𝑑𝑥
▪ Cutoff point level 𝛼 denoted by 𝑥𝛼 : 𝑃 𝑋 > 𝑥𝛼 = 𝛼

f(x)

a b

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 6.3. Parameters
▪ Expected Value:
𝒎𝒂𝒙
𝑬 𝑿 = 𝝁𝑿 = ‫𝒇𝒙 𝒏𝒊𝒎׬‬ 𝒙 𝒅𝒙
▪ Variance:
𝒎𝒂𝒙
𝑽 𝑿 = ‫𝒙 𝒏𝒊𝒎׬‬ − 𝝁𝑿 𝟐 𝒇 𝒙 𝒅𝒙
𝒎𝒂𝒙 𝟐
= ‫𝒇 𝒙 𝒏𝒊𝒎׬‬ 𝒙 𝒅𝒙 − 𝝁𝟐𝑿
▪ Standard Deviation
𝝈𝑿 = 𝑽(𝑿)
▪ Cutoff point level 𝛼, denoted by 𝑥𝛼 :
𝑷 𝑿 > 𝒙𝜶 = 𝜶
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 Example
Example 6.1. Waiting time 𝑋 (hour), with density
function
2𝑥 𝑥 ∈ [0,1]
▪ 𝑓 𝑥 =ቊ
0 𝑥 ∉ [0,1]
(a) Prob. of waiting more than a half of hour?
(b) Prob. of waiting from 20 to 40 minutes?
(c) The average value and variance of waiting time?
(d) Cutoff point level 10%?

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 Example
1
▪ (a) 𝑃 𝑋 > 0.5 = ‫׬‬0.5 2𝑥. 𝑑𝑥 f(x)

1 2 2/3
▪ (b) 𝑃 <𝑋< = ‫׬‬1/3 2𝑥. 𝑑𝑥
3 3
0.5

1
▪ (c) 𝐸 𝑋 = ‫׬‬0 𝑥. 2𝑥. 𝑑𝑥 f(x)
1 2 2
𝑉 𝑋 = ‫׬‬0 𝑥 . 2𝑥. 𝑑𝑥 − 𝐸 𝑋
▪ (d) Cutoff point at level 10%
𝑃 𝑋 > 𝑥0.1 = 0.1 → 𝑥0.1 = 0.948 1/3 2/3

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 6.4. Uniform Distribution
▪ 𝑋~𝑈(𝑎, 𝑏) if
1
𝑥 ∈ [𝑎, 𝑏]
▪ 𝑓 𝑥 = ቐ𝑏−𝑎
0 𝑥 ∉ [𝑎, 𝑏]
2
a c d b
𝑎+𝑏 𝑏−𝑎
▪ 𝐸 𝑋 = ;𝑉 𝑋 =
2 12
𝑑−𝑐
▪ 𝑃 𝑐<𝑋<𝑑 =
𝑏−𝑎
Ex. Temperature is Uniform Distribution in the interval of
(20, 30)oC. What is the probability that temperature is
between 23 and 28 degree?

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 6.5. Normal Distribution
▪ 𝐵 𝑛, 𝑝 = 0.5 :𝑛 = 10; 20; 100 → Converging to Normal
0.25 0.25
0.2 0.2
0.15 0.15
0.1 0.1
0.05 0.05
0 0
1 2 3 4 5 6 7 8 9 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19

0.025 0.025

0.02 0.02

0.015 0.015

0.01 0.01

0.005 0.005

0 0
1 6 111621263136414651566166717681869196 0 20 40 60 80 100

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 Normal Distribution
𝑥−𝜇 2
1 −
▪ Density Function: 𝑓 𝑥 = 𝑒 2𝜎2
𝜎 2𝜋
▪ Denoted: 𝑋~𝑁(𝜇, 𝜎 2 )
▪ 𝐸 𝑋 =𝜇
▪ 𝑉 𝑋 = 𝜎2
▪ 𝜎 𝑋 =𝜎
1
σ 2π

f(x)
μ μ’
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 Normal Distribution
▪ Carl Friedrich Gauss
(1777-1855) in 1809

▪ 𝑋1 ~𝑁 3,12 0.6

0.5

▪ 𝑋2 ~𝑁 6,12 0.4

0.3
▪ 𝑋3 ~𝑁(8,0.52 ) 0.2

0.1

0
0 1 2 3 4 5 6 7 8 9 10

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 Standardized Normal Variable
0.5
2
▪ 𝑋~𝑁 𝜇, 𝜎 0.4
𝑋−𝜇
▪ 𝑍= 0.3

𝜎 0.2

▪ 𝑍~𝑁(0,1) 0.1

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

Table 1
▪ 𝑃 𝑍 < 1 = 0.8413
▪ 𝑃 𝑍 < 1.25 =
▪ 𝑃 𝑍>2 =
▪ 𝑃 −1 < 𝑍 < 1.3 = -1
-4

-3

-2

0.5

1.5

2.5

3.5
0

4
-3.5

-2.5

-1.5

-0.5

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 Probability formula
▪ 𝑋~𝑁 𝜇, 𝜎 2
𝑋−𝜇 𝑏−𝜇 𝑏−𝜇
𝑃 𝑋<𝑏 =𝑃 < =𝑃 𝑍<
𝜎 𝜎 𝜎

Ex. 𝑋~𝑁 100,16

▪ 𝑃 𝑋 < 104 =
▪ 𝑃 𝑋 > 92 =
▪ 𝑃 94 < 𝑋 < 102 =
▪ Probability that X deviates from the mean is not more
than a standard deviation =
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 Example
Example 6.2. Return ($mil) of project A has normally
distributed with mean is 8 and variance is 9. What is the
probability of:
(a) Return is higher than 10
(b) Loss money
(c) Return lies between 5 and 12
▪ Return of project B has normally distributed with
mean is 10 and variance is 25. A and B are
independent. What is the probability that:
(d) Both projects have positive return
(e) Total return of A and B is greater than 20

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 2-sigma & 3-sigma Rules
▪ 𝑃 𝜇 − 𝜎 < 𝑋 < 𝜇 + 𝜎 = 68.26%
▪ 𝑃 𝜇 − 2𝜎 < 𝑋 < 𝜇 + 2𝜎 = 95.44%
▪ 𝑃 𝜇 − 3𝜎 < 𝑋 < 𝜇 + 3𝜎 = 99.75%

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 𝑛-sigmas Rule: Application
▪ Six – sigma methodology: improve your
business/managing processes (like how to fix variation
and increase efficiency).

▪ 𝐷𝑃𝑀𝑂 = 1,000,000 × (1 − Φ 𝑙𝑒𝑣𝑒𝑙 − 1.5 )

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 Cutoff point
▪ Cutoff point level 𝛼, or “critical value”
▪ Denoted: 𝑧𝛼
𝑃 𝑍 > 𝑧𝛼 = 𝛼

▪ 𝑃 𝑍 > 1.96 = 0.025  𝑧0.025 = 1.96

▪ 𝑃 𝑍 > 1. 64 = 0.0505  𝑧0.0505 = 1.64
▪ 𝑃 𝑍 > 1. 65 = 0.0495  𝑧0.0495 = 1.65
▪ Keys: 𝒛𝟎.𝟎𝟐𝟓 = 𝟏. 𝟗𝟔; 𝒛𝟎.𝟎𝟓 = 𝟏. 𝟔𝟒𝟓

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 6.6. Binomial vs Normal
▪ Binomial: 𝑋~𝐵(𝑛, 𝑝) with 𝑛 ≥ 100
▪  approximate: 𝑁(𝜇, 𝜎 2 )
▪ With: 𝜇 = 𝑛𝑝; 𝜎 2 = 𝑛𝑝(1 − 𝑝)

Example 6.3. Probability that visitor buy good in the

shopping mall is 0.3. In 400 visitors, what is the
probability
▪ (a) There are at least 100 buyers
▪ (b) Number of buyers is from 90 to 150

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 6.7. Cutoff Point
▪ Normal Distribution: 𝒛𝜶
▪ Student Distribution: 𝒕 𝒅𝒇 𝜶
▪ df: Degree of freedom
▪ Table 2 (p.976)
▪ 𝑡 9 0.05 = 1.833; 𝑡 20 0.025 = 2.086
▪ 𝑡 𝑑𝑓>100 𝛼 ≈ 𝑧𝛼
▪ Chi-square Distribution: 𝝌𝟐𝒅𝒇 𝜶
▪ Table 3 (p.979)
▪ 𝜒 210 0.95 = 3.94 ; 𝜒 215 0.05 = 24.996

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 6.8. Exponential distribution
𝑥
1 −𝜇
▪ Density function: 𝑓 𝑥 = 𝑒 for 𝑥 ≥ 0
𝜇
𝑥
− 𝜇0
▪ Cumulative Probabilities: 𝑃 𝑥 ≤ 𝑥0 = 1 − 𝑒
▪ Parameters:
𝐸 𝑋 = 𝜇 and 𝑉 𝑋 = 𝜇2
▪ Relation with Poisson Distribution:
• Poisson dist. describes the number of occurrences
per interval of time
• Exponential dist. describes the length of interval
between occurrences.

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 6.8. Exponential distribution
▪ Loading time – 𝑥 (min.) for a truck at the Schips loading
dock has an exponential distribution (mean of 15)
1 −𝑥
▪ Probability density function for 𝑥: 𝑓 𝑥 = 𝑒 15
15

▪ Prob. that loading a truck will take 6 min. or less is

6
−
𝑃 𝑥 ≤6 =1−𝑒 15 = 0.3297
▪ Prob. that loading a truck will take 18 min. or less is
18
−15
𝑃 𝑥 ≤ 18 = 1 − 𝑒 = 0.6988

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 Key Concepts
▪ Continuous variable
▪ Density function
▪ Normal distribution
▪ Exponential distribution

Exercise
[1] Chapter 6:
▪ (270) 3, 5
▪ (281) 11, 12, 17, 19, 23, 24, 31
▪ (292) 41, 44, 49

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