Introduction to

Probability and Statistics

Sayantan Banerjee
IPS Sessions 8 - 9
Some continuous distributions

1. Uniform distribution
2. Exponential distribution
3. Normal distribution
We shall be talking about the first two above in these two sessions

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Uniform distribution

A random variable X is said to follow an Uniform distribution over

the interval (a, b) if the pdf of X is given by

1
 , a ≤ x ≤ b,
f (x) = b − a
0, otherwise


Notation: X ∼ U (a, b).

Example: Waiting time for a shuttle bus which roughly moves in
cycles. If a user comes to a stop at a random time and waits till
the bus arrives, the waiting time will be uniformly distributed
between a minimum of zero and maximum equal to the cycle time.

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Uniform distribution: Results
Suppose X ∼ U (a, b). Then,
x2 − x1
P (x1 ≤ X ≤ x2 ) = , a ≤ x1 < x2 ≤ b.
b−a
The cdf is given by


 0, x<a
x − a

F (x) = , a≤x≤b


 b−a
1, x>b

Expectation and Variance

E(X) = (a + b)/2.

V ar(X) = (b − a)2 /12.

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Exponential distribution

• Suppose an event occurs with an average frequency of λ

occurences per hour.
• Also suppose that this frequency is constant in the sense that
the event will occur during any small duration t is λt.
• Further suppose that we arrive at the scene at any given time
and wait till the event occurs.
• This waiting time will then follow an exponential
distribution.

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Exponential distribution: Examples

• Time between two successive breakdowns of a machine.

• Life of a product that fails by accident rather than natural
wear and tear, e.g. mobile phones.
• The time gap between two successive arrivals to a waiting line
(interarrival time).

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Exponential distribution

X is said to follow an exponential distribution with rate parameter

λ if the pdf is given by

f (x) = λe−λx , x > 0, λ > 0.

Notation: X ∼ Exp(λ).

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Exponential distribution

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Exponential distribution: Propoerties

CDF
F (x) = 1 − e−λx , x > 0.
Expectation and Variance
1
E(X) = ,
λ
1
V ar(X) = .
λ2

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 “You know what the Mexicans say about the Pacific? They say it has no
memory. That’s where I want to live the rest of my life. A warm place
with no memory."

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Memoryless property

• Exponential distribution has the ‘memoryless’ property.

• In technical terms, this means that

P (X > s | X > t) = P (X > s − t).

• This means, if the waiting time for occurence of some event is

more than t, the probability that the waiting time will be more
than s will not depend on the fact that it is already more than
t, but will depend only on the difference in the time (s − t).

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Exponential and Poisson: a close relationship

Define,
Nt : the number of arrivals during time period t, and
Xt : the time it takes for one additional arrival to arrive assuming
that someone arrived at time t.
Let us assume that number of arrivals follow a Poisson distribution
with mean λ per time unit.

By definition, the following conditions are equivalent:

(Xt > x) ≡ (Nt = Nt+x )

The event on the left captures the event that no one has arrived in
the time interval [t, t + x], which implies that our count of the
number of arrivals at time t + x is identical to the count at time t,
which is the event on the right.
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Exponential and Poisson: a close relationship

We have,
P (Xt ≤ x) = 1 − P (Xt > x).
Using the equivalence of the two events that we described above,
we can re-write the above as:

P (Xt ≤ x) = 1 − P (Nt+x − Nt = 0).

But,
P (Nt+x − Nt = 0) = P (Nx = 0).

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Exponential and Poisson: a close relationship

Using the Poisson pmf the above (where λ is the average number
of arrivals per time unit and x a quantity of time units), simplifies
to:

P (Nx = 0) = (λx)0 e−λx /0! = e−λx .

Substituting in our original eqn, we have:

P (Xt ≤ x) = 1 − e−λx .

The above is the cdf of an exponential pdf. Hence, exponential pdf

can be used to model waiting times between any two successive
Poisson arrivals while Poisson models the probability of number of
arrivals.

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Exponential and Poisson: a close relationship

• The mean of the exponential distribution, 1/λ is hence

referred to as ‘Mean Time Between Arrivals’, or MTBF in
short.
• Quick summary:
1. Arrivals are following a Poisson process with mean λ.
2. The time gap between arrivals follow an exponential
1
distribution with mean .
λ

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