SQQS1043

PROBABILITY & STATISTICS

CHAPTER 3
SPECIAL CONTINUOUS DISTRIBUTION
Various continuous distributions

➢Uniform Distribution
➢Exponential Distribution
➢Gamma Distribution
➢Beta Distribution
➢Normal Distribution
➢Normal Approximation: Binomial and
Poisson.

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 Uniform Distribution
Def. 3.1: A random variable X has a uniform distribution and it is
referred to as a continuous uniform random variable if and only if its
probability density is given by
𝟏
𝐟𝐨𝐫 𝜶 < 𝒙 < 𝜷
𝒖 𝒙; 𝜶, 𝜷 = ቐ𝜷 − 𝜶
𝟎 𝐞𝐥𝐬𝐞𝐰𝐡𝐞𝐫𝐞

➢The parameter 𝛼 and 𝛽 of this probability density are real constants,

with 𝛼 ≤ 𝛽 and may be pictured as follows
u(x;𝛼, 𝛽)
1
𝛽−𝛼

𝛼 𝛽
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Uniform Distribution
Theorem 3.1
The mean and the variance of the uniform distribution are
given by
𝜶+𝜷 𝟐
𝟏
𝝁= and 𝝈 = 𝜷−𝜶 𝟐
𝟐 𝟏𝟐

Theorem3.2
The moment generating function of the uniform
distribution is given by
𝒆𝜷𝒕 − 𝒆𝜶𝒕
𝑴𝑿 𝒕 = , 𝒕≠𝟎
𝒕(𝜷 − 𝜶)
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Example 1
Suppose that if you arrive at a bus stop at 8:00am, the amount of time
that you will have to wait for the next bus (in minutes) is uniformly
distributed on [0,3].
a) Graph the distribution of X.
b) Find the probability that you will have to wait at least 1 minute for
the bus.
c) Find the probability that you will have to wait between 30 seconds
and 2 minutes.
d) Find the expected value and standard deviation of the amount of
time that you have to wait for the next bus.

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Example 1 (solution)

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Example 1 (solution)

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Example 2 (solution)

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The Gamma Family of PDFs

• There are three distributions under this Gamma family

namely:
• Exponential distribution
• Gamma distribution
• 𝜒 2 distributions
• The exponential and Gamma models are popular for lifetime
random variable i.e. random variable that record ‘time to
event’ measurement such as death time among patients,
lifetime of electrical components and etc.
• Other lifetime models include Lognormal, Weibull and Log-
gamma probability models.

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Exponential Distribution
• The exponential probability distribution has its origin in the Poisson
probability model.
• Recall: Poisson distribution used to compute the probability of a
specific number of events occurring in a particular interval of time or
space
• Instead of the number of events being the random variable, consider
the time or space interval as the random variable.
• Exponential distribution – provide a description of the length of time
between occurrences.
• Relation to Poisson: same process, different measures.
• Poisson says how many events in a fixed time
• Exponential says how long until the next event.

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Exponential Distribution
• Exponential distribution describes the time between events
in a Poisson process, that is, a process in which events occur
continuously and independently at a constant average rate.
• It is the continuous analogue of the geometric distribution.
• This distribution is commonly used to model waiting times
between occurrences of rare events, lifetimes of electrical or
mechanical devices.

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Exponential Distribution
Def.
➢ 3.2: A random variable X has an exponential distribution and it is
referred to as an exponential random variable if and only if its
probability density is given by
𝟏 −𝒙Τ𝜽
𝒈 𝒙; 𝜽 = ቐ 𝜽 𝒆 𝐟𝐨𝐫 𝒙 > 𝟎
𝟎 𝐞𝐥𝐬𝐞𝐰𝐡𝐞𝐫𝐞
where 𝜃 > 0 and 𝜃 = scale parameter

Corollary 3.1
The mean and the variance of the exponential distribution
are given by
𝝁 = 𝜽 and 𝝈𝟐 = 𝜽𝟐
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Exponential Distribution

Corollary 3.2
The moment generating function of the exponential
distribution is given by
𝟏 𝟏
𝑴𝑿 𝒕 = , 𝒕<
𝟏 − 𝜽𝒕 𝜽

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Example 2
Suppose that the amount of time (in months) that a light bulb
lasts before it burns out has an exponential with a mean of 4.
a) What is the probability that it lasts at least three months?
b) If it has already lasted two months, what is the probability
that it will last at least three more months?
c) On average, how many months will the light bulb last.

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Example 2 (solution)

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Example 2 (solution)

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Example 2 (solution)

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Gamma Distribution
• This distribution is used to model total waiting time of a
procedure that consists of 𝛼 independent stages, each stage
with a waiting time having an exponential distribution.
• For example, in life testing, the waiting time until death is
a random variable that is frequently modeled with a
gamma distribution.
• When 𝛼 is an integer, the gamma random variable can be
represented as the sum of 𝛼 independent and identically
distributed (iid) exponential random variables.
• It follows that 𝑔(𝑥; 1, 𝜃) ≡ 𝑔(𝑥; 𝜃)

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Relationship between Gamma & Exponential
Distributions
1
• In the (approximate) Poisson process with mean 𝜆 = we ,
𝜃
have seen that the waiting time until the first change has an
exponential distribution.
• The waiting time until the 𝜶th change in a Poisson process,
1
has a gamma distribution with parameter 𝛼 and 𝛽 = .
𝜆

• *change=success

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Gamma Distribution
Def. 3.3: A random variable X has a gamma distribution and it is
➢
referred to as a gamma random variable if and only if its probability
density is given by
𝟏 𝜶−𝟏 𝒆−𝒙Τ𝜷
𝒙 𝐟𝐨𝐫 𝒙 > 𝟎
𝒈 𝒙; 𝜶, 𝜷 = ቐ 𝜷𝜶 𝚪(𝜶)
𝟎 𝐞𝐥𝐬𝐞𝐰𝐡𝐞𝐫𝐞
where α > 0, 𝛽 > 0 and Γ 𝛼 = 𝛼 − 1 !,
𝛼 = shape parameter and 𝛽 = scale parameter

Theorem 3.3
The mean and the variance of the gamma distribution are
given by
𝝁 = 𝜶𝜷 and 𝝈𝟐 = 𝜶𝜷𝟐
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Gamma Distribution

Theorem 3.4
The moment generating function of the gamma distribution
is given by
𝟏 𝟏
𝑴𝑿 𝒕 = 𝜶
, 𝒕<
(𝟏 − 𝜷𝒕) 𝜷

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Example 3
A company has a large number of regular users logging onto
its website. On average, in every one hour, 4 users will fail to
connect to the company’s website. What is the probability
that the FOURTH (4th) user who fail to connect to the website
occur in less than 40 minutes?

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Example 3 (solution)

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Class Activity 1
1. The length of time a randomly chosen 9-year old child
spends playing video games per day is approximately
exponentially distributed with a mean equal to 2 hours.
a) Find the probability that a randomly chosen 9-year old
will play video games at most 3 hours.
b) 70% of 9-year old children will play video games per
day for at most how long?

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Class Activity 2
2. Two continuous random variable X and Y are uniformly distributed
over the interval [-4,6] and [a,4a] respectively.
a) Use integration to show that 𝐸 𝑌 2 = 7𝑎2
b) Find 𝑉𝑎𝑟(𝑌) in terms of 𝑎.
8 8
c) Given that 𝑃 𝑋 < =𝑃 𝑌< , find the value of 𝑎
3 3

3. Suppose that a random variable Y has a probability density function

given by
𝑘𝑦 8 −𝑦/2
𝑒 ;𝑦 > 0
𝑓 𝑦 =ቊ
0 ; 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒
Where k is the constant.
a) Find the value of k that makes 𝑓(𝑦) a density function
b) What is the mean and the variance of Y

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Beta Distribution
• The uniform density 𝑓 𝑥 = 1 for 0 < 𝑥 < 1 and f(x) = 0
elsewhere is a special case of the beta distribution.
• The beta distribution generally is used to model the
behaviour of random variables whose values are restricted
to intervals of finite length.
• It is also often used as a model for proportions, such as the
proportion of time that a machine is in a state of being
repaired.

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 Beta Distribution
➢ 3.4: A random variable X has a beta distribution and it is
Def.
referred to as a beta random variable if and only if its
probability density is given by
𝚪(𝜶 + 𝜷) 𝜶−𝟏
𝒙 (𝟏 − 𝒙)𝜷−𝟏 𝐟𝐨𝐫 𝟎 < 𝒙 < 𝟏
𝒇 𝒙; 𝜶, 𝜷 = ൞ 𝚪 𝜶 . 𝚪(𝜷)
𝟎 𝐞𝐥𝐬𝐞𝐰𝐡𝐞𝐫𝐞
where α > 0 and 𝛽 > 0,
𝛼 and 𝛽 = shape parameter

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The Shape of The Beta pdf

• The beta pdf is very flexible. That is, by changing

the values of 𝛼 and β, we can come up with many different
pdf shapes.
• For examples:
1
• When 𝛼 =β, the pdf is symmetric about the line 𝑦 =
2
• When 𝛼 < β, the pdf is skewed right (i.e., smaller
values of y are more likely).
• When 𝛼 > β, the pdf is skewed left (i.e., larger values
of y are more likely).
• When 𝛼 = β =1, the beta pdf reduces to the U(0; 1) pdf

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The Shape of The Beta pdf

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Beta Distribution
➢
Theorem 3.5
The mean and the variance of the beta distribution are
given by
𝜶 𝟐
𝜶𝜷
𝝁= and 𝝈 =
𝜶+𝜷 𝜶 + 𝜷 𝟐 (𝜶 + 𝜷 + 𝟏)

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Example 4
A gasoline wholesale distributor has bulk storage tanks that
hold fixed supplies and are filled every Monday. Of interest to
the wholesaler is the proportion of this supply that is sold
during the week. Over many weeks of observation, it was
found that this proportion could be modeled by a beta
distribution with 𝛼 = 4 and 𝛽 = 2. Find the probability that
the wholesaler will sell at least 90% of her stock in a given
week.

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Example 4 (solution)

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Normal Distribution
• The normal distribution is the most important and most
commonly used among all of probability distributions.
• A large number of phenomena in the real world are normally
distributed either exactly or approximately.
• The normal distribution or the normal curve is a bell-shaped
(symmetric) curve.
• Its mean is denoted by 𝜇 while its standard deviation is
denoted by 𝜎.

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Normal Distribution
• The normal distribution is often referred to as the Gaussian
distribution.
• Properties of Normal Distribution
• It is bell-shaped and symmetrical in appearance
• Its measures of central tendency (mean, median, mode)
are all identical
• Its probability density function is determined by its mean
and standard variance
• Its associated variable has a theoretically infinite range
(−∞ < 𝑥 < ∞)

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 Normal Distribution
• A plotted normal distribution gives a bell-shaped curve which
can be illustrated like:

• The total area • The curve is • The two tails of

under the curve is symmetric about the the curve extend
1 mean indefinitely which
means that the
curve never
touches x-axis.

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 Normal Distribution
➢
Def. 3.5: A random variable X has a normal distribution and
it is referred to as a normal random variable if and only if its
probability density is given by
𝟏 𝟏 𝒙−𝝁 𝟐
−
𝑵 𝒙; 𝝁, 𝝈𝟐 = 𝒆 𝟐 𝝈 𝐟𝐨𝐫 − ∞ < 𝒙 < ∞
𝝈 𝟐𝝅
where σ > 0,
𝜇 = mean and σ = standard deviation

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Normal Distribution

Theorem 3.6
The moment generating function of the normal distribution
is given by
𝟏
𝝁𝒕+ 𝝈𝟐 𝒕𝟐
𝑴𝑿 𝒕 = 𝒆 𝟐

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Standard Normal Distribution

Def. 3.6: The normal distribution with 𝜇 = 0 and 𝜎 = 1 is

referred to as the standard normal distribution.

• The units for the standard normal distribution curve are

denoted by z and called the z values or z scores.
• The z value or z score is actually the number of standard
deviation that a particular x value is away from the mean.
• The area under a standard normal distribution curve is used
to solve practical application problems such as
• Finding the probability of adult woman whose height is
between 5 feet 4 inches and 5 feet 7 inches.

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Standard Normal Distribution

• There are two ways to calculate the probability of a normal

random variable
• Through pdf of normal distribution
• Through the standard normal distribution table

The areas under the

standard normal curve
𝑷(𝟎 < 𝒁 < 𝒛)

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Example 5
Find the probabilities that a random variable having the standard
normal distribution will take on a value
a) Less than 1.72
b) Less than –0.88
c) Between 1.30 and 1.75
d) Between –0.25 and 0.45

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Example 5 (Solution)

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Standard Normal Distribution
Theorem 3.7
If X has a normal distribution with the mean 𝜇 and the
standard deviation 𝜎, then
𝑿−𝝁
𝒁=
𝝈
has the standard normal distribution.
• Any random variable having a normal distribution, simply
perform the change of scale

𝒙−𝝁
𝒛=
𝝈
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Example 6
Suppose that the amount of cosmic radiation to which a
person is exposed when flying by jet across the United States
is a random variable having a normal distribution with a mean
of 4.35 mrem and a standard deviation of 0.59 mrem.
What is the probability that a person will be exposed to more
than 5.20 mrem of cosmic radiation on such a flight?

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Example 6 (Solution)

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Class Activity 2
1. A random variable has a normal distribution with 𝜎 = 10.
If the probability that the random variable will take on a
value less than 82.5 is 0.8212, what is the probability that
it will take on a value greater than 58.3?
2. If the annual proportion of new restaurants that fail in a
given city may be looked upon as a random variable
having a beta distribution with 𝛼 = 1 and 𝛽 = 4, find
a) The mean of this distribution, that is, the annual
proportion of new restaurants that can be expected to
fail in the given city.
b) The probability that at least 25 percent of all new
restaurants will fail in the given city in any one year.

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Normal Approximation to the Binomial
Distribution
• The normal distribution is a good approximation to discrete
distribution when it is bell shaped.
• Thus normal distribution can be used to approximate
binomial and Poisson distributions.
• The normal distribution provides a close approximation to
the binomial distribution with mean 𝜇 = 𝑛𝑝 and variance
𝜎 2 = 𝑛𝑝(1 − 𝑝) when n, the number of trials, is very large
and 𝑝, the probability of a success on an individual trial, is
close to 0.5.

𝑋~𝑏 𝑥; 𝑛, 𝑝 𝑋~𝑁(𝑥; 𝑛𝑝, 𝑛𝑝 1 − 𝑝 )

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Normal Approximation to the Binomial
Distribution
Rule of Thumb
Use the normal approximation the binomial distribution
when 𝒏𝒑 ≥ 𝟓 and 𝒏(𝟏 − 𝒑) ≥ 𝟓.
But there is a slight inconvenience here because normal
distribution is continuous while binomial and Poisson are
discrete distributions.
Thus, a continuity correction factor of ±0.5 must be
applied when a continuous distribution is used to estimate
discrete distributions.

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 Normal Approximation to the Discrete Distributions
(Continuity Correction Factor)
Discrete
Normal
(Binomial / Poisson)
𝑃(𝑋 = 𝑎) 𝑃(𝑎 − 0.5 < 𝑋 < 𝑎 + 0.5)

𝑃(𝑋 ≥ 𝑎) 𝑃(𝑋 > 𝑎 − 0.5)

𝑃(𝑋 > 𝑎) 𝑃(𝑋 > 𝑎 + 0.5)

𝑃(𝑋 ≤ 𝑎) 𝑃(𝑋 < 𝑎 + 0.5)

𝑃(𝑋 < 𝑎) 𝑃(𝑋 < 𝑎 − 0.5)

Let’s understand why

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Example 7
A magazine reported that 6% of Malaysian drivers read the
newspaper while driving. If 300 drivers are selected at
random, find the probability that exactly 25 say they read the
newspaper while driving.

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Example 7 (Solution)

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 Normal Approximation to the Poisson
Distribution
• As mentioned earlier, normal distribution can be used to estimate
Poisson distribution but of course with continuity correction
factor (±0.5) since normal random variable is continuous while
Poisson random variable is discrete.
• If X is a Poisson random variable with parameter 𝜆, then X can be
approximated by a normal distribution with mean 𝜇 = 𝜆 and
variance 𝜎 2 = 𝜆 when 𝜆 is large.

• Note: Most textbooks implied that with 𝝀 > 𝟏𝟎, normal

distribution is a good approximation.

𝑋~𝑝 𝑥; 𝜆 𝑋~𝑁(𝑥; 𝜆, 𝜆)

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Example 8
On average 20 customers bought petrol at a new 24-hour gas
station in every 30 minutes. What is the probability that there
are at least 60 customers in the next 2 hours?

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Example 8 (Solution)

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Class Activity 3
1. A running shoe manufacturer estimates from previous
inspections that 3.2% of shoes made are defective. If an
inspector randomly selects 500 shoes, estimate the
probability that between 8 and 15 of these are defective.
2. A “cendol” seller in Changlun knows that on average, 140
people bought his “cendol” daily (he sells from 11am to
6pm). Find the
a) Probability that at least 15 people bought his “cendol”
in one hour.
b) Probability that at most 28 people bought his “cendol”
from 4pm to 6pm.
c) Mean and variance for the number of people who
bought his “cendol” in three hours.

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