Prob Stats Module 4 2

Probability distributions - Continuous
S. Devi Yamini
Module - 4 1 / 25
Overview
1 Exponential distribution
Module - 4 2 / 25
Overview
2 Normal Distribution
Module - 4 2 / 25
Overview
3 Gamma distribution
Module - 4 2 / 25
Overview
3 Gamma distribution
4 Weibull distribution
Module - 4 2 / 25
Exponential distribution
A continuous random variable X is said to have an exponential distribution

θe −θx , x ≥0
with parameter θ > 0, if its pdf is given by f (x) =
0, Otherwise
Module - 4 3 / 25

θe −θx , x ≥0
0, Otherwise
Cumulative Distribution Function

Z x
F (x) = P(X ≤ x) = f (u)du
0
= 1 − e −θx
Module - 4 3 / 25

θe −θx , x ≥0
0, Otherwise

Z x
F (x) = P(X ≤ x) = f (u)du
0
= 1 − e −θx
1 − e −θx ,

x ≥0
Hence, CDF is F (x) =
0, Otherwise
Module - 4 3 / 25

θe −θx , x ≥0
0, Otherwise

Z x
F (x) = P(X ≤ x) = f (u)du
0
= 1 − e −θx
1 − e −θx ,

x ≥0
Hence, CDF is F (x) =
0, Otherwise
Note
P(X ≤ x) = 1 − e −θx
P(X ≥ x) = e −θx
Module - 4 3 / 25
Moment Generating Function
MGF
Z ∞
MX (t) = E (e tX ) = e tx θe −θx dx
0
Z ∞
=θ e −(θ−t)x dx
0
θ
=
θ−t
Module - 4 4 / 25
Mean and Variance
Mean
d
E (X ) = MX (t)|(t=0)
dt
= θ(θ − t)−2 |(t=0)
1
=
θ
Module - 4 5 / 25
Mean and Variance
Mean
d
E (X ) = MX (t)|(t=0)
dt
= θ(θ − t)−2 |(t=0)
1
=
θ
Variance
d2
E (X 2 ) = MX (t)|(t=0)
dt 2
2
= 2
θ
1
Var (X ) = E (X 2 ) − [E (X )]2 =
θ2
Module - 4 5 / 25
Memoryless property
The only continuous distribution satisfying this property is exponential.
The probability of occurrence of some future event is not affected by the

occurrence of the past events.
P(X > s|X > t) = P(X > s − t) = e −θ(s−t)
where s ≥ t.
Module - 4 6 / 25
Memoryless property
The only continuous distribution satisfying this property is exponential.
The probability of occurrence of some future event is not affected by the

occurrence of the past events.
P(X > s|X > t) = P(X > s − t) = e −θ(s−t)
where s ≥ t.
Proof
P(X > s ∧ X > t)
P(X > s|X > t) =
P(X > t)
P(X > s) e −θs
= = −θt
P(x > t) e
= e −θ(s−t) = P(X > s − t)
Module - 4 6 / 25
Problems
1. If X has an exponential distribution with mean 2, find
P(X ≥ 2|X ≥ 1). (0.6065)
Module - 4 7 / 25
Problems
P(X ≥ 2|X ≥ 1). (0.6065)
2. If X follows Exp(λ) with P(X ≤ 1) = P(X > 1), find the variance of
X . (0.66931)
Module - 4 7 / 25
Problems
P(X ≥ 2|X ≥ 1). (0.6065)
X . (0.66931)
3. Suppose that during rainy season on a tropical island, the length of the
shower has an exponential distribution, with parameter θ = 2, time being
measured in minutes. (a) What is the probability that a shower will last
for more than three minutes? (0.0024)
Module - 4 7 / 25
Problems
P(X ≥ 2|X ≥ 1). (0.6065)
X . (0.66931)
(b) If the shower has already lasted for 2 minutes, what is the probability
that it will last for at least one more minute? (0.1353)
Module - 4 7 / 25
Problems
P(X ≥ 2|X ≥ 1). (0.6065)
X . (0.66931)
4. Students arrive at a local restaurant according to an approximate

Poisson process at a mean rate of 30 students per hour. What is the
probability that the waiter has to wait for more than 3 mins for the next
student? (0.2231)
Module - 4 7 / 25
Solutions
Problem 1
If X has an exponential distribution with mean 2, find P(X ≥ 2|X ≥ 1).
Solution
By memoryless property,
P(X ≥ 2|X ≥ 1) = P(X ≥ (2 − 1)) = P(X ≥ 1) = e −θ = 0.6065
Module - 4 8 / 25
Solutions
Problem 2
If X follows Exp(λ) with P(X ≤ 1) = P(X > 1), find the variance of X .
Solution
1 − e −θ = e −θ
1
e −θ =
2
Take log on both sides, and find θ. Then variance is 0.66931
Module - 4 9 / 25
Solutions
Problem 3
Suppose that during rainy season on a tropical island, the length of the
Module - 4 10 / 25
Solutions
Problem 3
Suppose that during rainy season on a tropical island, the length of the
Solution
(a) Let X denote the length of the shower.
P(X > 3) = e −3θ = e −6
(b) P(X > 3|X > 2) = P(X > 1) = e −θ (using memoryless property).
Module - 4 10 / 25
Normal Distribution
A continuous random variable X follows a Normal distribution with mean

µ and variance σ 2 , if its pdf is
1 −1 x−µ 2
f (x) = √ e 2 ( σ )
σ 2π
Module - 4 11 / 25
Normal Distribution
A continuous random variable X follows a Normal distribution with mean

µ and variance σ 2 , if its pdf is
1 −1 x−µ 2
f (x) = √ e 2 ( σ )
σ 2π
Properties
1 Normal curve is bell shaped and symmetrical
2 Mean, Median, and Mode are equal
3 Total area under the curve is 1
4 β2 = 3, Mesokurtic
Module - 4 11 / 25
Normal distribution
A continuous random variable Z is a standard normal variable if it follows
normal distribution with µ = 0 and σ = 1
Module - 4 12 / 25
Normal distribution
Standardizing the normal variable X
If X follows N(µ, σ 2 ), then
X −µ
Z=
σ
is described by standard normal distribution with mean=0 and
variance=1.The Pdf of the standard normal variate is
1 −z 2
f (z) = √ e 2
2π
Module - 4 12 / 25
Normal distribution
Standardizing the normal variable X
If X follows N(µ, σ 2 ), then
X −µ
Z=
σ
is described by standard normal distribution with mean=0 and
variance=1.The Pdf of the standard normal variate is
1 −z 2
f (z) = √ e 2
2π
Area under the Normal curve

P(x1 ≤ X ≤ x2 ) = Area under the curve bounded by x = x1 and x = x2
Module - 4 12 / 25
Problems
1. If X follows N(45, 0.000625), then calculate the P(44.95 ≤ X ≤ 45.05).
Module - 4 13 / 25
Problems
µ = 45, σ 2 = 0.000625
σ = 0.025
Module - 4 13 / 25
Problems
µ = 45, σ 2 = 0.000625
σ = 0.025
X −45
Standardizing X , we get Z = 0.025 .
Module - 4 13 / 25
Problems
µ = 45, σ 2 = 0.000625
σ = 0.025
X −45
Consider
44.95 − 45 X − 45 45.05 − 45
P(44.95 ≤ X ≤ 45.05) = P( ≤ ≤ )
0.025 0.025 0.025
Module - 4 13 / 25
Problems
µ = 45, σ 2 = 0.000625
σ = 0.025
X −45
Consider
44.95 − 45 X − 45 45.05 − 45
P(44.95 ≤ X ≤ 45.05) = P( ≤ ≤ )
0.025 0.025 0.025
= P(−2 ≤ Z ≤ 2) = P(−2 ≤ Z ≤ 0) + P(0 ≤ Z ≤ 2)
Module - 4 13 / 25
Problems
µ = 45, σ 2 = 0.000625
σ = 0.025
X −45
Consider
44.95 − 45 X − 45 45.05 − 45
P(44.95 ≤ X ≤ 45.05) = P( ≤ ≤ )
0.025 0.025 0.025
= P(−2 ≤ Z ≤ 2) = P(−2 ≤ Z ≤ 0) + P(0 ≤ Z ≤ 2)
= 2P(0 ≤ Z ≤ 2) = 2 × 0.4772 = 0.9544
Module - 4 13 / 25
Problems
µ = 45, σ 2 = 0.000625
σ = 0.025
X −45
Consider
44.95 − 45 X − 45 45.05 − 45
P(44.95 ≤ X ≤ 45.05) = P( ≤ ≤ )
0.025 0.025 0.025
= P(−2 ≤ Z ≤ 2) = P(−2 ≤ Z ≤ 0) + P(0 ≤ Z ≤ 2)
= 2P(0 ≤ Z ≤ 2) = 2 × 0.4772 = 0.9544

This means that 95% of the data lies between 44.95 and 45.05.
Module - 4 13 / 25
Problems
2. Find the area corresponding to

(i) P(0 ≤ Z ≤ 1.96)
Module - 4 14 / 25
Problems

(i) P(0 ≤ Z ≤ 1.96)
(ii) P(−0.87 ≤ Z ≤ 0)
Module - 4 14 / 25
Problems

(i) P(0 ≤ Z ≤ 1.96)
(ii) P(−0.87 ≤ Z ≤ 0)
(iii) P(−2.1 ≤ Z ≤ 1.2)
Module - 4 14 / 25
Problems

(i) P(0 ≤ Z ≤ 1.96)
(ii) P(−0.87 ≤ Z ≤ 0)
(iii) P(−2.1 ≤ Z ≤ 1.2)
(iv) P(Z ≥ 2.1)
Module - 4 14 / 25
Problems

(i) P(0 ≤ Z ≤ 1.96)
(ii) P(−0.87 ≤ Z ≤ 0)
(iii) P(−2.1 ≤ Z ≤ 1.2)
(iv) P(Z ≥ 2.1)
(v) P(Z ≤ −1.2)
Module - 4 14 / 25
Problems

(i) P(0 ≤ Z ≤ 1.96)
(ii) P(−0.87 ≤ Z ≤ 0)
(iii) P(−2.1 ≤ Z ≤ 1.2)
(iv) P(Z ≥ 2.1)
(v) P(Z ≤ −1.2)
(vi) P(Z ≤ 2.6)
Module - 4 14 / 25
Problems

(i) P(0 ≤ Z ≤ 1.96)
(ii) P(−0.87 ≤ Z ≤ 0)
(iii) P(−2.1 ≤ Z ≤ 1.2)
(iv) P(Z ≥ 2.1)
(v) P(Z ≤ −1.2)
(vi) P(Z ≤ 2.6)
(vii) P(1 ≤ Z ≤ 2)
Module - 4 14 / 25
Problems

(i) P(0 ≤ Z ≤ 1.96)
(ii) P(−0.87 ≤ Z ≤ 0)
(iii) P(−2.1 ≤ Z ≤ 1.2)
(iv) P(Z ≥ 2.1)
(v) P(Z ≤ −1.2)
(vi) P(Z ≤ 2.6)
(vii) P(1 ≤ Z ≤ 2)
3. Given a standard normal distribution, find the value of k such that
(a) P(Z > k) = 0.3015,
Module - 4 14 / 25
Problems

(i) P(0 ≤ Z ≤ 1.96)
(ii) P(−0.87 ≤ Z ≤ 0)
(iii) P(−2.1 ≤ Z ≤ 1.2)
(iv) P(Z ≥ 2.1)
(v) P(Z ≤ −1.2)
(vi) P(Z ≤ 2.6)
(vii) P(1 ≤ Z ≤ 2)
(a) P(Z > k) = 0.3015, (0.52)
(b) P(k < Z < −0.18) = 0.4197
Module - 4 14 / 25
Problems

(i) P(0 ≤ Z ≤ 1.96)
(ii) P(−0.87 ≤ Z ≤ 0)
(iii) P(−2.1 ≤ Z ≤ 1.2)
(iv) P(Z ≥ 2.1)
(v) P(Z ≤ −1.2)
(vi) P(Z ≤ 2.6)
(vii) P(1 ≤ Z ≤ 2)
(a) P(Z > k) = 0.3015, (0.52)
(b) P(k < Z < −0.18) = 0.4197 (-2.37)
Module - 4 14 / 25
Problems
4. Given a normal distribution with µ = 40 and σ = 6, find the value of X

that has (a) 45% of the area to the left, (b) 14% of the area to the right.
Module - 4 15 / 25
Problems

((a) 39.22, (b) 46.48)
5. The loaves of bread distributed to local stores by a certain bakery have

an average length of 30 cms and a standard deviation of 2 cms. Assuming
that the lengths are normally distributed, what percentage of the loaves
are
(a) longer than 31.7cms?
Module - 4 15 / 25
Problems

((a) 39.22, (b) 46.48)

are
(a) longer than 31.7cms? (19.8%)
(b) between 29.3 and 33.5cms in length?
Module - 4 15 / 25
Problems

((a) 39.22, (b) 46.48)

are
(b) between 29.3 and 33.5cms in length? (59.7%)
(c) shorter than 25.5cms?
Module - 4 15 / 25
Problems

((a) 39.22, (b) 46.48)

are
(b) between 29.3 and 33.5cms in length? (59.7%)
(c) shorter than 25.5cms? (1.2%)
Module - 4 15 / 25
Problems
6. Given the normally distributed variable X with mean 18 and standard

deviation 2.5, find
(i) P(X < 15), P(17 < X < 21)
(ii) the value of k such that P(X < k) = 0.2236
(iii) the value of k such that P(X > k) = 0.1814
Module - 4 16 / 25
MGF of a normal distribution
Z ∞
tX 1 −1 x−µ 2
MX (t) = E [e ]= √ e tx e 2
( σ )
σ 2π −∞
Module - 4 17 / 25
MGF of a normal distribution
Z ∞
tX 1 −1 x−µ 2
MX (t) = E [e ]= √ e tx e 2
( σ )
σ 2π −∞
σ2 t 2
= e µt+ 2
Module - 4 17 / 25
Gamma distribution
Gamma Function
R∞
Γ(n) = 0 x n−1 e −x dx n>0
Module - 4 18 / 25
Gamma distribution
Gamma Function
R∞
Γ(n) = 0 x n−1 e −x dx n>0
Γ(n + 1) = n!
Module - 4 18 / 25
Gamma distribution
Gamma Function
R∞
Γ(n) = 0 x n−1 e −x dx n>0
Γ(n + 1) = n!
R∞ 1 √
Γ 12 = 0 x − 2 e −x dx = π
Module - 4 18 / 25
Gamma Distribution
A random variable X is said to have Gamma distribution with parameters

α > 0 and λ > 0 if its pdf is
λα α−1 −λx
f (x) = x e x >0
Γα
Module - 4 19 / 25
Gamma Distribution

λα α−1 −λx
f (x) = x e x >0
Γα
α
1. Mean= λ
Module - 4 19 / 25
Gamma Distribution

λα α−1 −λx
f (x) = x e x >0
Γα
1. Mean= αλ
α
2. Variance= λ2
Module - 4 19 / 25
Gamma Distribution

λα α−1 −λx
f (x) = x e x >0
Γα
1. Mean= αλ
2. Variance= λα2
3. If X follows Γ(1, λ), then X follows Exp(λ)
Module - 4 19 / 25
Gamma Distribution

λα α−1 −λx
f (x) = x e x >0
Γα
1. Mean= αλ
2. Variance= λα2
λ α
4. MX (t) = ( λ−t )
Module - 4 19 / 25
Gamma Distribution

λα α−1 −λx
f (x) = x e x >0
Γα
1. Mean= αλ
2. Variance= λα2
λ α
4. MX (t) = ( λ−t )
1
5. β = λ
Module - 4 19 / 25
Problems
1. The daily consumption of milk in excess of 20,000 litres is approx

1
distributed as Gamma variable with parameter λ = 10000 , α = 2. If the
city has a daily stock of 30,000 litres on a given day, find the probability
that the stock is insufficient.
Module - 4 20 / 25
Problems

1
Let X be the quantity of daily consumption of milk. Then Y = X − 20000
1
follows Gamma distribution with parameters λ = 10000 ,α = 2
Module - 4 20 / 25
Problems

1
1
1
( 10000 )2 − y
f (y ) = ye 10000 y >0
Γ(2)
Module - 4 20 / 25
Problems

1
1
1
( 10000 )2 − y
f (y ) = ye 10000 y >0
Γ(2)
Z ∞
P(X > 30000) = P(Y > 10000) = f (y )dy
10000
Module - 4 20 / 25
Problems

1
1
1
( 10000 )2 − y
f (y ) = ye 10000 y >0
Γ(2)
Z ∞
P(X > 30000) = P(Y > 10000) = f (y )dy
10000
2
= = 0.7358
e
Module - 4 20 / 25
Problems
1. In a certain city, the daily consumption of electric power in millions of

kilowatt hours can be treated as a random variable having gamma
distribution with mean 6 and variance 12. (a) Find the values of α and β
(b) If the power plant of this city has daily capacity of 12 million kilowatt
hours, what is the probability that this power supply will be inadequate on
any given day?
Module - 4 21 / 25
Problems
1. In a certain city, the daily consumption of electric power in millions of

kilowatt hours can be treated as a random variable having gamma
distribution with mean 6 and variance 12. (a) Find the values of α and β
(b) If the power plant of this city has daily capacity of 12 million kilowatt
hours, what is the probability that this power supply will be inadequate on
any given day?
((a) Mean = αλ = 6,
Variance = λα2 = 12.
Hence, α = 3, β =R λ1 = 12 .
∞
(b) P(X > 12) = 12 f (x)dx = 25e −6 = 0.0619)
Module - 4 21 / 25
Problems
2. In a biomedical study with rats, a dose response investigation is used to

determine the effect of the dose of a toxicant on their survival time. For a
certain dose of the toxicant, the study determines that the survival time,
in weeks, has a gamma distribution with parameters α = 5, β = 10. What
is the probability that a rat survives no longer than 60 weeks?
Module - 4 22 / 25
Problems
2. In a biomedical study with rats, a dose response investigation is used to

determine the effect of the dose of a toxicant on their survival time. For a
certain dose of the toxicant, the study determines that the survival time,
in weeks, has a gamma distribution with parameters α = 5, β = 10. What
is the probability that a rat survives no longer than 60 weeks?
(Here λ = β1 = 10 1
,
Z 60 Z 60
1 x
P(X ≤ 60) = f (x)dx = 5 x 4 e − 10 dx = 0.715
0 10 ∗ 4! 0
)
Module - 4 22 / 25
Weibull distribution
A continuous random variable X follows Weibull distribution with

parameters α and beta if its pdf is
β
f (x) = αβx β−1 e −αx x > 0, α > 0, β > 0
Module - 4 23 / 25

β
f (x) = αβx β−1 e −αx x > 0, α > 0, β > 0
Here α denotes the scale parameter and

β denotes the shape parameter.
Module - 4 23 / 25

β
f (x) = αβx β−1 e −αx x > 0, α > 0, β > 0
Here α denotes the scale parameter and

β denotes the shape parameter.
1
Mean= ( α1 ) β Γ( β1 + 1)
2
Variance= ( α1 ) β [Γ( β2 + 1) − [Γ( β1 + 1)]2 ]
Module - 4 23 / 25
Problems
1. Suppose that the service life, in years, of a hearing aid battery is a

random variable having a Weibull distribution with α = 12 and β = 2
(a) How long can such a battery be expected to last?
Module - 4 24 / 25
Problems

(a) How long can such a battery be expected to last? (mean = 1.253)
(b) What is the probability that such a battery will be operating after 2
years?
Module - 4 24 / 25
Problems

years? (P(X > 2) = e −2 )
Module - 4 24 / 25
Problems

years? (P(X > 2) = e −2 )
2. The length of life, in hours, of a drill bit in a mechanical operation has

a Weibull distribution with α = 2 and β = 50. Find the probability that
the bit will fail before 10 hours of usage.
Module - 4 24 / 25
Problems

years? (P(X > 2) = e −2 )
2. The length of life, in hours, of a drill bit in a mechanical operation has

a Weibull distribution with α = 2 and β = 50. Find the probability that
50
the bit will fail before 10 hours of usage. (P(X < 10) = e −2×10 )
Module - 4 24 / 25
More Problems on distribution
1. Suppose scores in an exam follow normal distribution with mean 80 and

standard deviation 5. What is the minimum score that you should get to
be in the top 10%?
[ X denotes the score and it follows N(µ = 80, σ 2 = 25) . Given that
P(X ≤ k) = 0.9. Then, k = 86.41 ]
2. Suppose that the time, in hours, required to repair a heat pump is a
random variable X having a gamma distribution with parameters α = 2
amd λ = 2 (orβ = 12 ). What is the probability that on the next service call
(a) at most 1 hour will be required to repair the heat pump? (b) at least 2
hours will be required to repair the heat pump?
Module - 4 25 / 25

Prob Stats Module 4 2

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Probability distributions - Continuous

A continuous random variable X is said to have an  exponential distribution

A continuous random variable X is said to have an  exponential distribution

Cumulative Distribution Function

A continuous random variable X is said to have an  exponential distribution

Cumulative Distribution Function

A continuous random variable X is said to have an  exponential distribution

Cumulative Distribution Function

The probability of occurrence of some future event is not affected by the

P(X > s|X > t) = P(X > s − t) = e −θ(s−t)

The probability of occurrence of some future event is not affected by the

P(X > s|X > t) = P(X > s − t) = e −θ(s−t)

4. Students arrive at a local restaurant according to an approximate

A continuous random variable X follows a Normal distribution with mean

A continuous random variable X follows a Normal distribution with mean

Area under the Normal curve

= P(−2 ≤ Z ≤ 2) = P(−2 ≤ Z ≤ 0) + P(0 ≤ Z ≤ 2)

= P(−2 ≤ Z ≤ 2) = P(−2 ≤ Z ≤ 0) + P(0 ≤ Z ≤ 2)

= 2P(0 ≤ Z ≤ 2) = 2 × 0.4772 = 0.9544

= P(−2 ≤ Z ≤ 2) = P(−2 ≤ Z ≤ 0) + P(0 ≤ Z ≤ 2)

= 2P(0 ≤ Z ≤ 2) = 2 × 0.4772 = 0.9544

2. Find the area corresponding to

2. Find the area corresponding to

2. Find the area corresponding to

2. Find the area corresponding to

2. Find the area corresponding to

2. Find the area corresponding to

2. Find the area corresponding to

2. Find the area corresponding to

2. Find the area corresponding to

2. Find the area corresponding to

4. Given a normal distribution with µ = 40 and σ = 6, find the value of X

4. Given a normal distribution with µ = 40 and σ = 6, find the value of X

5. The loaves of bread distributed to local stores by a certain bakery have

4. Given a normal distribution with µ = 40 and σ = 6, find the value of X

5. The loaves of bread distributed to local stores by a certain bakery have

4. Given a normal distribution with µ = 40 and σ = 6, find the value of X

5. The loaves of bread distributed to local stores by a certain bakery have

4. Given a normal distribution with µ = 40 and σ = 6, find the value of X

5. The loaves of bread distributed to local stores by a certain bakery have

6. Given the normally distributed variable X with mean 18 and standard

A random variable X is said to have Gamma distribution with parameters

A random variable X is said to have Gamma distribution with parameters

A random variable X is said to have Gamma distribution with parameters

A random variable X is said to have Gamma distribution with parameters

A random variable X is said to have Gamma distribution with parameters

A random variable X is said to have Gamma distribution with parameters

1. The daily consumption of milk in excess of 20,000 litres is approx

1. The daily consumption of milk in excess of 20,000 litres is approx

1. The daily consumption of milk in excess of 20,000 litres is approx

1. The daily consumption of milk in excess of 20,000 litres is approx

1. The daily consumption of milk in excess of 20,000 litres is approx

1. In a certain city, the daily consumption of electric power in millions of

1. In a certain city, the daily consumption of electric power in millions of

2. In a biomedical study with rats, a dose response investigation is used to

2. In a biomedical study with rats, a dose response investigation is used to

A continuous random variable X follows Weibull distribution with

A continuous random variable X follows Weibull distribution with

Here α denotes the scale parameter and

A continuous random variable X follows Weibull distribution with

Here α denotes the scale parameter and

1. Suppose that the service life, in years, of a hearing aid battery is a

A continuous random variable X is said to have an exponential distribution

A continuous random variable X is said to have an exponential distribution

A continuous random variable X is said to have an exponential distribution

A continuous random variable X is said to have an exponential distribution