P age |1

Chapter Four
Continuous Random Variables & Probability Distributions
Chapter Goals:
After completing this chapter, you should be able to
 Determine probbilities from probability functions.
 Determine probbilities from cumulative distribution functions, and the reverse.
 Calculate the mean and the variance for continuous random variables.
 Understand the assumptions for some common continuous probability ditributions.
 Calculate the probabilities, determine means and variances for some common continuous
probability distributions
 Standardize normal random variable.
 Approximate probabiliteies for some binomial and Poisson ditributions

4.1- 4.4: Continuous Random Variable:

A random variabler 𝑋 is continuous if it takes any value in an interval (Uncountable number of
possible values)
Examples: 1. height and length
2. time required to complete a job
3. temperature.

𝑓(𝑥) is the probability density function if

1. 𝑓(𝑥) ≥ 0 𝑓𝑜𝑟 𝑎𝑙𝑙 𝑣𝑎𝑙𝑢𝑒𝑠 𝑜𝑓 𝑥
∞
2. ∫−∞ 𝑓(𝑥) 𝑑𝑥 = 1

In general:
1. Every continuous random variable X has a curve associated with it.
2. This curve formally known as a probability density function (PDF), and it can be used to
obtain the probability associated with the random variable.
3. The cumulative distribution function (CDF) for a random variable X is given by

𝑥
𝐹(𝑥) = 𝑃(𝑋 ≤ 𝑥) = ∫ 𝑓(𝑢) 𝑑𝑢, − ∞ < 𝑥 < +∞
−∞

It is the area under the PDF over the interval −∞ 𝑡𝑜 𝑥

Consider any two points a and b, where a less than b. Assume X is continuous random variable,
then
1. the probability that X between a and b is equal to the aria
under the curve
𝑃(𝑎 ≤ 𝑋 ≤ 𝑏) = 𝑡ℎ𝑒 𝑎𝑟𝑒𝑎 𝑢𝑛𝑑𝑒𝑟 𝑡ℎ𝑒 𝑐𝑢𝑟𝑣𝑒 𝑏𝑒𝑡𝑤𝑒𝑒𝑛 𝑎 𝑎𝑛𝑑 𝑏
𝑏
= ∫ 𝑓(𝑥) 𝑑𝑥 = 𝐹(𝑏) − 𝐹(𝑎)
𝑎
2. 𝑃(𝑋 = 𝑐) = 0
∞
3. The expexted value : 𝜇𝑥 = 𝐸(𝑋) = ∫−∞ 𝑥𝑓(𝑥) 𝑑𝑥
∞ ∞ 2
4. The variance :𝜎𝑥2 = 𝐸(𝑋 2 ) − 𝐸(𝑋)2 = 𝐸(𝑥 2 ) − 𝜇 2 = ∫−∞ 𝑥 2 𝑓(𝑥) 𝑑𝑥 − (∫−∞ 𝑥𝑓(𝑥) 𝑑𝑥)
 P age |2

Example:
Suppose a random variable 𝑋 has a probability density function given by

𝑓(𝑥) = 𝑘𝑥(1 − 𝑥), 0≤𝑥≤1

1. Find the value of 𝑘 that makes this a probability density function (PDF)
2. Find 𝑃(0.4 ≤ 𝑥 ≤ 1)
3. Find 𝑃(𝑥 ≤ 0.4| 𝑥 ≤ 0.8)
4. Find the median.
5. Find the expected value and the variance of the random variable X.
6. For the random variable 𝑌 = 200𝑋 − 60, find the expected value and the variance
7. Find the cumulative distribution function (CDF) for a random variable.
 P age |3

Example:
Specification call for the thickness of aluminum sheets that are to be made into cans be between 8
and 11 thousandths on an inch. Let 𝑓(𝑥) be the probability density function of 𝑋
𝑐 𝑥 6 ≤ 𝑥 ≤ 12
𝑓(𝑥) = {
0 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

1. Find the value of c so that 𝑓(𝑥) is a probability density function.

2. What proportion of sheets will meet the specification?
3. Find the median thickness.
4. If aluminum sheets are selected randomly one by one, what is the probability that the 1st
sheet that doesn’t meet the specification is the 4th?
5. In a sample of size 10 sheets selected randomly, find probability that 2 sheets doesn’t meet
the specification.
 P age |4

Example:
The distribution function of the random variable X, the time (in months) from the diagnosis age
until death for one population of AIDS patients, is as follows:

1.3
𝐹 (𝑥 ) = 1 − 𝑒 −0.3𝑥 , 𝑥 > 0
1. Find the probability that a randomly selected person from this population survives at least
12 months.
2. Find the probability density function of X.
 P age |5

4.5: The Uniform Distribution:

The uniform distribution is a probability distribution that has equal probabilities for all possible
outcomes of the random variable
The Continuous Uniform Distribution
 1
 if a  x  b
f ( x)   b  a

 0 otherwise
where
f(x) = value of the density function at any x value
a = lower limit of the interval
b = upper limit of the interval
The mean and the standard deviation for the Uniform distribution:
ab
Expected value (mean): E  x    
2
b  a 
2

Standard deviation:  
12

Example:
A package delivery service divides their packages into weight classes. Suppose that packages in
the 14 to 20 pound class are uniformly distributed, meaning that all weights within that class are
equally likely to occur.

1. Find the probability that a package weights between 15 and 16.5 pounds.
2. Find the probability that a package weights less than 15 pounds.
3. Find the probability that a package weights at least 18 pounds.
4. Find the probability that a package weights exactly 15 pounds.
5. Find the minimum weight for the heaviest 20% of the packages.
6. Find the mean and the variance and the cumulative distribution for the random varialbe X
 P age |6

4.8: The Exponential Distribution:

Used to measure the time that elapses between two occurrences of an event (the time between arrivals)
Examples:
 Time between trucks arriving at an unloading dock
 Time between transactions at an ATM Machine
 Time between phone calls to the main operator
The Exponential Distribution:
A continuous random variable that equals the distance between successive counts of a Poisson process
with mean 𝜆 > 0 is an exponential random variable with parameter 𝜆. The probability density function
given by:
𝑓(𝑥) = 𝜆𝑒 −𝜆𝑥 , 𝑥 ≥ 0
1
Where 1. mean 𝜇 =
𝜆
1 1
2. variance : 𝜎 2 = , and the standard deviation 𝜎 = 𝜆
𝜆2
Notes:
1. cumulative distribution function (CDF) for a random variable is given by
𝐹(𝑥) = 1 − 𝑒 −𝜆𝑥 , 𝑥 > 0
2. The probability that an arrival time is equal to or less than some specified time a is
𝑃(𝑋 ≤ 𝑎) = 𝐹(𝑎) = 1 − 𝑒 −𝜆𝑎
3. The probability that an arrival time between two specified time a is
(𝑎 ≤ 𝑋 ≤ 𝑏) = 𝐹(𝑏) − 𝐹(𝑎) = 𝑒 −𝜆𝑎 − 𝑒 −𝜆𝑏
4. The probability that an arrival time is grater than some specified time a is
𝑃(𝑋 ≥ 𝑏) = 1 − 𝐹(𝑏) = 𝑒 −𝜆𝑏
5. Note that if the number of occurrences per time period is Poisson with mean , then the time between
1
occurrences is exponential with mean time 𝜆

Shape of the exponential distribution

For any exponential destribution, with density function f  x  ,
f  0    , and as x increase, f  x  approaches to zero

Lack of Memory Property

First notice that from the exponential distribution cdf equation we have 𝑃(𝑋 > 𝑥) = 𝑒 −𝜆𝑥 .

An important (and not always desirable) characteristic of the exponential distribution is the so called lack
of memory property.

For 𝑥, 𝑠 > 0, consider the conditional probability 𝑃(𝑋 > 𝑥 + 𝑠 | 𝑋 > 𝑠) of the additional magnitude of an
exponentially distributed random variable given we already know it is greater than s.
Well
𝑃(𝑋 > 𝑥 + 𝑠 ⋂ 𝑋 > 𝑠) 𝑒 −𝜆(𝑥+𝑠)
𝑃(𝑋 > 𝑥 + 𝑠 | 𝑋 > 𝑠) = = = 𝑒 −𝜆𝑥
𝑃(𝑋 > 𝑠) 𝑒 −𝜆𝑠

again an exponential distribution with parameter 𝜆.

So if we think of the exponential variable as the time to an event, then knowledge that we have waited time
s for the event tells us nothing about how much longer we will have to wait - the process has no memory.
 P age |7

Example:
Life length of a particular type of battery follows exponential distribution with mean 200 hours. Find the
probability that the
1. life length of a particular battery of this type is less than 200 hours.
2. life length of a particular battery of this type is less than 200 hours or more than 400 hours.
3. life length of a particular battery of this type is more than 400 hours, given that it lives more that
300 hours.
 P age |8

Example:
Customers arrive at the claims counter at the rate of 15 per hour. What is the probability that the arrival
time between consecutive customers is less than five minutes?
 Time between arrivals is exponentially distributed with mean time between arrivals of 4 minutes
(15 per 60 minutes, on average)
 1/ = 4.0, so  = .25
 P(x < 5) = 1 - e-a = 1 – e-(.25)(5) = .7135

Example
The probability density function of the time failure of an electronic component in a copier in
hours is
𝑓(𝑥) = 0.001𝑒 −0.001𝑥 , 𝑥 ≥ 0

1. Find the probability that a component lasts more than 3000 hours before failure.
2. Find the expected failure time.
3. Determine the number of hours at which 10% of all components have failed
 P age |9

4.10 Weibull Distribution:

The Weibull distibution is a continuous distribution that is used in variety of situations.
A common application of the Weibull distribution is
- to model the lifetimes of components such as bearings, ceramics, capacitors, and dielectrics.
- to model the time until failure of many different physical systems.

The Weibull distibution is good general purpose distribution , it may be used to represent a variety of
distributions.
- Used mostly because of its ability of fit data rather than its theoretical justification.
- Very common tool in reliability prediction.

The parameters in the distribution provide a great deal of flexibility to model systems in which
 The number of failure increases with time (bearing wear)
 Decreases with time (some semiconductors)
 Remains constant with time (failures caused by external skocks to the system)

The probability density function for Weibull

distribution is given by

𝛽 𝑥 𝛽−1 −(𝑥)𝛽
𝑓(𝑥) = ( ) 𝑒 𝛿 𝑥>0
𝛿 𝛿

Where 𝛿 > 0 is the scale parameter

𝛽 > 0 is the shape parameter

Note:
- When 𝛽 = 1, the Weibull distribution is
identical to the exponential distribution.
- The cumulative distribution function of the
random variable

𝑥 𝛽
−( )
𝐹(𝑥) = 1 −𝑒 𝛿

- The expected value and the variance for the Weibull distribution:
1
1. the mean : 𝜇 = 𝛿 Γ (1 + )
𝛽
2
2 1
2. the variance: : 𝜎 2 = 𝛿 2 Γ (1 + 𝛽) − 𝛿 2 (Γ (1 + 𝛽))

Definition:
𝑟
1. Γ(𝑟) = ∫0 𝑥 𝑟−1 𝑒 −𝑥 𝑑𝑥 𝑟 > 0
2. If 𝑟 integer, then Γ(𝑟) = (𝑟 − 1)!
3. For any 𝑟, Γ(𝑟 + 1) = 𝑟 Γ(𝑟)
1
4. Γ (2) = √𝜋
5. Γ(1) = 0! = 1
 P a g e | 10

Example:
The time to failure (in hours) of a bearing in a mechanical shaft is modeled as a Weibull random variable
with β = ½ and δ = 5,000 hours.

1. What is the mean time until failure?

2. What is the probability that a bearing will last at least 6,000 hours?
1 1
𝐸(𝑋) = 𝜇 = 𝛿 Γ (1 + ) = (5000) Γ (1 + ) = (5000) Γ(3) = (5000) (2!) = 10000 ℎ𝑜𝑢𝑟𝑠
𝛽 0.5
1
6000 2
)
𝑃(𝑋 > 6000) = 1 − 𝐹(6000) = 𝑒 −(5000 = 0.334

Example:
2
The shear stringth in pounds of a spot weld is a Weibull distribution with 𝛽 = 3 and δ = 400 pounds
Find the following:
1. 𝑃(𝑋 > 410) =
2. 𝑃(𝑋 > 410| 𝑋 > 390) =
3. The mean and the variance
4. The 95th percentile
2
410 3
)
𝑃(𝑋 > 410) = 1 − 𝐹(410) = 𝑒 −(400
2
410 3
)
𝑃(𝑋 > 410 ∩ 𝑋 > 390) 𝑃(𝑋 > 410) 𝑒 −(400
𝑃(𝑋 > 410| 𝑋 > 390) = = = 2 = 0.96
𝑃( 𝑋 > 390) 𝑃( 𝑋 > 390) 390 3
−(400)
𝑒
1 1 5 3
𝐸(𝑋) = 𝜇 = 𝛿 Γ (1 + ) = (400) Γ (1 + ) = (400) Γ ( ) = (400) ( √𝜋)
𝛽 2 2 4
3
2
2 2
2 1 2 1 5
𝜎 2 = 𝛿 2 Γ (1 + ) − 𝛿 2 (Γ (1 + )) = 4002 Γ (1 + ) − 4002 (Γ (1 + )) = 4002 Γ(4) − 4002 (Γ ( ))
𝛽 𝛽 2 2 2
3 3
2
2 (3!) 2
3
= 400 − 400 ( √𝜋) = 357142.85
4
2 2
𝑎
)3 𝑎 3
𝑃(𝑋 < 𝑎) = 0.95 = 𝐹(𝑎) = 1 − 𝑒 −(400 → − ln 0.05 = ( ) → 𝑎 = 2074.02
400
 P a g e | 11

4.6: The Normal Distribution:

The Normal distribution is a bell shaped with the following properties:
 Unimodal, that is, the normal dotribution peaks at a single value
 Symmetrical,
 Mean, Median and Mode are equal
 Location is determined by the mean, μ
 Spread is determined by the standard deviation, σ
 The random variable has an infinite theoretical range: , 

A random variable X with probability density function

−(𝑥−𝜇)2
1
𝑓(𝑥) = √2𝜋𝜎2 𝑒 2𝜎2 , − ∞ < 𝑥 < +∞
Is the normal random variable woth parameters 𝜇 𝑎𝑛𝑑 𝜎, where −∞ < 𝜇 < +∞ 𝑎𝑛𝑑 𝜎 > 0
Also 𝐸(𝑥) = 𝜇 𝑎𝑛𝑑 𝑉𝑎𝑟(𝑥) = 𝜎 2
And the notation 𝑁(𝜇 , 𝜎 2 ) is used to denote the distribution

Note: By varying the parameters μ and σ, we obtain different

normal distributions

The Normal Distribution Shape

Finding Normal Probabilities

 Probability is measured by the area under the curve.
 The total area under the curve is 1.0, and the curve is
symmetric, so half is above the mean, half is below

Empirical Rules
What can we say about the distribution of values around the
mean? There are some general rules:
1. μ ± 1σ encloses about 68% of x’s
2. μ ± 2σ covers about 95% of x’s
3. μ ± 3σ covers about 99.7% of x’s

Importance of the Rule

 If a value is about 2 or more standard deviations away from the mean in a normal
distribution, then it is far from the mean.
 The chance that a value that far or farther away from the mean is highly unlikely, given
that particular mean and standard deviation
 P a g e | 12

The Standard Noral Distribution

If X is random variable with Also 𝐸(𝑥) = 𝜇 𝑎𝑛𝑑 𝑉𝑎𝑟(𝑥) = 𝜎 2 ,
the random variable
𝑋−𝜇
𝑍=
𝜎

is a normal random variable with 𝐸(𝑥) = 0 𝑎𝑛𝑑 𝑉𝑎𝑟(𝑥) = 1. That is Z is a standard normal
random variable

Example:
Let Z has a standard Normal distribution, Find the following:
1. 𝑃(𝑍 < 1.26) =
2. 𝑃(𝑍 > −0.86) =
3. 𝑃(−.125 < 𝑍 < 0.3) =
4. Find a such that the P  Z  a   0.95
5. Find a such that the P  Z  a   0.1
6. Find a such that the P  Z  a   0.9
7. Find a such that the P  Z  a   0.8
8. Find Z 0.1 
9. Find Z 0.05 
 P a g e | 13

Translation to the Standard Normal Distribution

 Any normal distribution (with any mean and standard deviation combination) can be
transformed into the standard normal distribution (z)
 Need to transform x units into z units
 Translate from x to the standard normal (the “z” distribution) by subtracting the mean
of x and dividing by its standard deviation:
x μ
z
σ
Example:
The scores for the students in stat 319 distributed normally with mean 72 and standard
deviation 12. if a student randomly selected :
1. Find the probabilty that the student get score more than 85.
2. Find the probabilty that the student get score more than 65 but less than 80.
3. If the instructer will give the highest 10% A+, find the minimum score to get A+
4. If a sample of size 10 students randomly selected, find the probability that 3 of
them will get score more than 85.
5. There were 7 students with scores higher than 91, how many students took the
course?
 P a g e | 14

Example:
The average life of a certain type of compressor is 10 years with standard deviation of 1 year. The
manufacturer replaces free all compressors that fail while under guarantee. Assume the lives of
the compressors follows a Normal distribution.
1. If a compressor selected randomly, find the probability that it has survived more than 11
years.
2. If they are willing to replace only 3% of all the compressors sold, how long a guarantee
should they offer?
 P a g e | 15

Example:
The weekly amount spent for maintenance and repairs in a certain company has approximately a
normal distribution with a mena of $400 and a standard deviation of $20. If $450 is budgeted to
cover repairs for next week,

1. What is the probability that the actual costs will exceed the budgeted amount?
2. How much should be budgeted weekly for maintenance and repairs so that the budgeted
amount will be exceeded with probability only 0.1?
 P a g e | 16

4.7: Normal Approximation to the Binomial & Poisson Distributions:

The binomial distribution is a discrete distribution, but the normal is continuous. To use the
normal to approximate the binomial, accuracy is improved if you use a correction for continuity
adjustment

Assume that X is discrete in a binomial distribution, so P(X = 4) can be approximated with a

continuous normal distribution by finding
P(3.5 < X < 4.5)

Continuity Correction
It is the adjustment made to an integer-valued discrete random variable when it is approximated by a
continuous random variable. For a binomial random variable, we inflate the events by adding or
subtracting 0.5 to the event as follows:
{X : X  4}  {X : 3.5  X  4.5}
{X : X  4}  {X : X  3}={X : X  3.5}
{X : X  4{ {X : X  4.5}
{X : X  4}  {X : X  5}  {X : X  4.5}
{X : X  4}  {X : X  3.5} .
The continuity correction should be applied anytime a discrete random variable is being approximated by a
continuous random variable.

General rule:
 The closer p is to 0.5, the better the normal approximation to the binomial
 The larger the sample size n, the better the normal approximation to the binomial
 The normal distribution can be used to approximate the binomial distribution if
np ≥ 5 and n(1 – p) ≥ 5

 The mean and standard deviation of the binomial distribution are

μ = np
σ  np(1  p)

 Transform binomial to normal using the formula

X μ X  np
Z 
σ np(1  p)

Normal approxmation to the Poisson distribution:

If X a Poisson random variable with 𝐸(𝑋) = 𝜆 𝑎𝑛𝑑 𝑉𝑎𝑟(𝑋) = 𝜆,
𝑋−𝜆
𝑍=
√𝜆
Is approximately a standard normal random variable. The same continuity correction used for the
binomial distribution can also be used. The approximation is good for 𝜆 > 5
 P a g e | 17

Example:
The manufacturing of semiconductor chips produces 2% defective chips. Assume the chips are
independent and that a lot contains 1000 ships.
1. Approximate the probability that more than 25 chips are defective.
2. Approximate the probability that between 20 and 30 chips are defective
 P a g e | 18

Example:
Assume that the number of asbestos particles in a square meter of dust on a surface follows a
Poisson distribution with mean of 1000. If the squared meter of dust is analyzed, what is the
probability that 950 or fewer particles are found?

Example:
suppose that number of asbestos particles in a sample of one square centimeter of dust is a
Poisson random variable with a mean of 1000. Approximate the probability that ten square
centimeter of dust contains more than 10000 particles?
 P a g e | 19

Example:
A high – volume printer produces minor print- quality errors on an a test pattern of 1000 pages of
text according to Poisson distribution with a mean of 0.4 per page.
1. What is the mean number of pages with errors (one or more)?
2. Approximate the probability that more than 350 pages contains errors( one or more)
 P a g e | 20

4.11. LogNormal Distribution:

When the data contain outliers, the normal distribution not appropirate. The Lognormal , which is related
to the normal distribution, is often a good choice for these data Let 𝑊 denote a normal random variable
with mean 𝜃 and variance 𝜔2 , then 𝑋 = 𝑒 𝑤 is a lognormal random variable with probability density
function

1 (ln 𝑥−𝜃)2
−
𝑓(𝑥) = 𝑒 2𝜔2 , 0<𝑥<∞
𝑥𝜔√2𝜋

- The expected value and the standard deviation for the weibull
distribution:

𝜔2
1. the mean : 𝜇 = 𝑒 𝜃+ 2
2 2
2. the variance: : 𝜎 2 = 𝑒 2𝜃+𝜔 (𝑒 𝜔 − 1)

- The name follows from the transformation ln 𝑋 = 𝑊 . That is, the natural logarithm of 𝑋 is normally
distributed.

- Probabilities for 𝑋 are obtained from the transformation to 𝑊, but we need to recognize that the range
of 𝑋 is (0, ∞). Suppose that W is normally distributed with mean 𝜃 and variance 𝜔2 ; then the
cumulative distribution function for X is

𝐹(𝑥) = 𝑃(𝑋 ≤ 𝑥)
= 𝑃(𝑒 𝑤 ≤ 𝑥) = 𝑃(𝑊 ≤ ln 𝑥)
𝑊 − 𝜃 ln 𝑥 − 𝜃
= 𝑃( ≤ )
𝜔 𝜔
ln 𝑥 − 𝜃
= 𝑃 (𝑍 ≤ )
𝜔

for 𝑥 > 0 where 𝑍 is the standaed normal variable

𝐹(𝑥) = 0 𝑓𝑜𝑟 𝑥 ≤ 0

Example:
The lifetime of a semiconductor laser has a lognormal distribution with θ = 10 and ω = 1.5 hours.
1. What is the probability that the lifetime exceeds 10,000 hours?
2. What lifetime is exceeded by 99% of lasers?
3. What is the mean and variance of the lifetime?

Solution:
𝑃(𝑋 > 10000) = 1 − 𝑃(𝑒 𝑤 ≤ 10000)
= 1 − 𝑃(𝑊 ≤ ln 10000 )
𝑊 − 10 ln 10000 − 10
= 1−𝑃( ≤ )
1.5 1.5
= 1 − 𝑃(𝑍 ≤ −0.5264)
= 1 − 0.3 = 0.701

0.99 = (𝑋 > 𝑥) = 1 − 𝑃(𝑒 𝑤 ≤ 𝑥)

= 1 − 𝑃(𝑊 ≤ ln 𝑥 )
𝑊 − 10 ln 𝑥 − 10
= 1−𝑃( ≤ )
1.5 1.5
= 1 − 𝑃(𝑍 ≤ 𝑏)

𝑃(𝑍 ≤ 𝑏) = 0.01
ln 𝑥 − 10
𝑏= = −2.33 → 𝑥 = 𝑒 6.505 = 668.48 ℎ𝑜𝑢𝑟𝑠
1.5 2 2
𝜔 1.5
𝜇 = 𝑒 𝜃+ 2 = 𝑒10+2 = 67846.29
 P a g e | 21
2 2 2
𝜎 2 = 𝑒 2𝜃+𝜔 (𝑒 𝜔 − 1) = 𝑒 20+1.5 (𝑒1.5 − 1) = 39070059886.6 ℎ𝑜𝑢𝑟𝑠 2
Example:
Suppose that a mechanical component has wear – out effect that followis a lognormal with with θ = 8.5
and ω = 0.2 hours. What is the probability that the unit will last at least 3000 hours?