Uniform and Normal Distribution.

Probability and Statistics (MATH F113)
Pradeep Boggarapu
Department of Mathematics
BITS PILANI K K Birla Goa Campus, Goa
February 21, 2024
Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 21, 2024 1 / 29
Standard Examples for Continuous Random
Variables
Standard examples of continuous randam variables
1 Uniform distribution
2 Normal distribution
3 Gamma distribution
4 Exponential distribution
5 Chi-squared distribution
Uniform distribution
Definition 0.1.
We say that X is a uniform random variable on the interval
(a, b) if the probability density function of X is given by
1
f (x) = , a < x < b.
b−a
Definition 0.1.
We say that X is a uniform random variable on the interval
(a, b) if the probability density function of X is given by
1
f (x) = , a < x < b.
b−a
Note that the cdf of X is given by



 0 if x ≤ a

x−a
F (x) = b−a if a < x < b


1 if x ≥ b.

Uniform distribution Cont.
Theorem 0.2.
Let X be uniformly destributed over an interval (a, b)
then
a+b
1 The mean is given by µ = .
2
2 (b − a)2 b−a
2 Var (X ) = σ = and σ = √ .
12 2 3
3 The mgf of X is given by
 tb ta
 e −e if t ̸= 0
t(b−a)
mX (t) =
1 if t = 0.
Problems
Example 1.
If X is uniformly distributed over (0, 10), calculate (a)
P(X < 3), (b) P(X > 6), and (c) P(3 < X < 8).
Problems
Example 1.
If X is uniformly distributed over (0, 10), calculate (a)
P(X < 3), (b) P(X > 6), and (c) P(3 < X < 8).
Example 2.
Buses arrive at a specified stop at 15-minute intervals
starting at 7 A.M. That is, they arrive at 7, 7:15, 7:30,
7:45, and so on. If a passenger arrives at the stop at a
time that is uniformly distributed between 7 and 7:30, find
the probability that he waits
(a) less than 5 minutes for a bus;
(b) more than 10 minutes for a bus.
Problems
Example 3.
Consider a random chord of a circle and assume that the
length of the chord is uniformly distributed over (0, d)
where d is the diameter of the circle. What is the
probability that the length of the chord will be greater
than the side of the equilateral triangle inscribed in that
circle ?
Problems
Example 3.
Consider a random chord of a circle and assume that the
length of the chord is uniformly distributed over (0, d)
where d is the diameter of the circle. What is the
probability that the length of the chord will be greater
than the side of the equilateral triangle inscribed in that
circle ?
Example 4.
A stick of length 1 unit is split at a point U that is
uniformly distributed over (0, 1). Determine the expected
length of the piece that contains a fixed point
p, 0 ≤ p ≤ 1.
Problems
Example 5.
If X ∼ U(0, 1) and a < b, then find the distribution of
Y = a + (b − a)X .
Normal distribution
Normal distribution
Definition 0.3 (Normal distribution).

A random variable X with density
1 2
f (x) = √ e −(1/2)[(x−µ)/σ] , −∞<x <∞
2πσ
where −∞ < µ < ∞, σ > 0, is said to have a normal
distribution with parameters µ and σ.
Graph of density function of normal rv
Normal distribution conti.
Theorem 0.4.
Let X be normally distributed with parameters µ and σ.
1 The moment generating function for X is given by
2 2
MX (t) = e µt+σ t /2
.
2 E [X ] = µ.
3 Var [X ] = σ 2 .
mgf of Normal distribution
2 t 2 /2
To show that MX (t) = e µt+σ :
Z ∞ 2
1 x−µ
MX (t) = E (e ) = tX
e tx √ e −(1/2) σ dx
−∞ 2πσ
We use the change of variable in the above integral: x−µ σ

= y or
x = σy + µ. Therefore, we have that
Z ∞
1 2
MX (t) = e t(σy +µ) √ e −(1/2)y (σdy )
−∞ 2πσ
Z ∞
e µt 2
=√ e tσy e −y /2 dy
2π −∞
Z ∞
e µt 1 2 2 2 2 2
=√ e − 2 (y −2σty +σ t ) e σ t /2 dy
2π −∞
mgf of Normal distribution conti.
Z ∞
1 2 2
µt+ σ 2t 1 2
MX (t) = e √ e − 2 (y −σt) dy
2π −∞
Z ∞
2
µt+ σ 2t
2 1 z2

MX (t) = e √ e − 2 dz .
2π −∞
Therefore, we get that
σ2 t 2
MX (t) = e µt+ 2
Z ∞
1 z2
as √ e − 2 dz = 1.
2π −∞
Mean and variation of normal distribution
dMX (t) d 2 MX (t)

We know that E (X ) = dt
, E (X 2 ) = dt 2
and
t=0 t=0
2 2
Var (X ) = E (X ) − E (X ) .
dMX (t) d 2 MX (t)

, E (X 2 ) = dt 2
and
t=0 t=0
2 2
Var (X ) = E (X ) − E (X ) .
σ2 t 2
Since Mx (t) = e µt+ 2 , we get that
dMX (t) σ2 t 2 d 2 MX (t) σ2 t 2

= (µ + σ 2 t)e µt+ 2 ; = (µ + σ 2 t)2 + σ 2 e µt+ 2 .

dt dt 2
dMX (t) d 2 MX (t)

, E (X 2 ) = dt 2
and
t=0 t=0
2 2
Var (X ) = E (X ) − E (X ) .
σ2 t 2
Since Mx (t) = e µt+ 2 , we get that
dMX (t) σ2 t 2 d 2 MX (t) σ2 t 2

= (µ + σ 2 t)e µt+ 2 ; = (µ + σ 2 t)2 + σ 2 e µt+ 2 .

dt dt 2
Thus we get,
dMX (t) d 2 MX (t)
E (X ) = = µ, E (X 2 ) = = µ2 + σ 2
dt t=0 dt 2 t=0
and hence Var (X ) = E (X 2 ) − E (X )2 = µ2 + σ 2 − µ2 = σ 2 .
Normal distribution conti.
Notation: We use the notation X ∼ N(µ, σ 2 ) to say that

X follows normal distribution with mean µ and variance σ 2
Standard Normal Distribution
Definition 0.5 (Standard Normal Distribution).

The random variable following normal distribution with
mean µ = 0 and variance σ 2 = 1 is called standard normal
random variable, usually it is denoted by Z . Therefore,
the pdf of Z is given by
1 2
f (z) = √ e −z /2 ; − ∞ < z < ∞.
2π
Standard Normal Distribution
Definition 0.5 (Standard Normal Distribution).

The random variable following normal distribution with
mean µ = 0 and variance σ 2 = 1 is called standard normal
random variable, usually it is denoted by Z . Therefore,
the pdf of Z is given by
1 2
f (z) = √ e −z /2 ; − ∞ < z < ∞.
2π
Z z
The cdf of Z is P(Z ≤ z) = f (y )dy , which we will
−∞
denote by Φ(z).
Standardization theorem
Theorem 0.6 (Standardization theorem).

If X has a normal distribution with mean µ and standard
deviation σ, then the random variable
X −µ
Z=
σ
has a standard normal distribution.
Theorem 0.6 (Standardization theorem).

If X has a normal distribution with mean µ and standard
deviation σ, then the random variable
X −µ
Z=
σ
has a standard normal distribution. Thus
a − µ b − µ
P(a ≤ X ≤ b) = P ≤Z ≤
σ σ
b − µ a − µ
=Φ −Φ
σ σ
X −µ
We will find the moment generating function of σ :
X −µ −tµ tX
M X −µ (t) = E [e t( σ ) ]=e σ E [e σ ]
σ
−tµ
t −tµ tµ σ 2 t 2 2
=e σ MX =e σ e σ + 2 σ2 = et /2
= MZ (t).
σ
X −µ
Thus σ ∼ N(0, 1).
X −µ
We will find the moment generating function of σ :
X −µ −tµ tX
M X −µ (t) = E [e t( σ ) ]=e σ E [e σ ]
σ
−tµ
t −tµ tµ σ 2 t 2 2
=e σ MX =e σ e σ + 2 σ2 = et /2
= MZ (t).
σ
X −µ
Thus σ ∼ N(0, 1).
Also note that if X is as in the above theorem:

a − µ b − µ
P(X ≤ a) = Φ and P(X ≥ b) = 1−Φ
σ σ
Notation
Notation : For given α ∈ [0, 1], zα is a real number such

that P[Z ≥ zα ] = α i.e., zα will denote the value on the z
axis for which α area under the z-curve(graph of
2
√1 e −z /2 ) lie to the right of zα .
2π
Standard normal distribution-Table
Standard normal distribution-Table
Standard distribution-Table
Example 6.
Find the following:
1 P[Z ≤ −2.95]
Example 6.
Find the following:
1 P[Z ≤ −2.95]
2 P[Z ≤ −2.62]
Example 6.
Find the following:
1 P[Z ≤ −2.95]
2 P[Z ≤ −2.62]
3 z0.9956
Example 6.
Find the following:
1 P[Z ≤ −2.95]
2 P[Z ≤ −2.62]
3 z0.9956
4 z0.33
Example 6.
Find the following:
1 P[Z ≤ −2.95]
2 P[Z ≤ −2.62]
3 z0.9956
4 z0.33
5 z0.1515
Problems
Example 7.
Suppose that diameter of the disc is normally distributed
with mean 39.8 and SD 2.05 inches respectively. What is
the probability that of 20 randomly selected discs exactly
5 have diameter of at least 40 inches?
Problems
Example 7.
Suppose that diameter of the disc is normally distributed
with mean 39.8 and SD 2.05 inches respectively. What is
the probability that of 20 randomly selected discs exactly
5 have diameter of at least 40 inches?
Example 8.
If Xi ∼ N(µi , σi2 ), for each i = 1, 2, . . . , n, are
independent, then prove that their linear combination
X n Xn n
X
2 2
a i Xi ∼ N ai µi , ai σi , where ai ’s are real
i=1 i=1 i=1
numbers.
Problems
Example 9.
Data indicates that the yearly precipitation in a city is a
normal random variable with mean of 12.08 inches and a
SD of 3.1 inches. Assume that the precipitations of a year
is independent of that of any other year.
1 Find the probability that the total precipitation during
the next two years will exceed 25 inches.
Problems
Example 9.
Data indicates that the yearly precipitation in a city is a
normal random variable with mean of 12.08 inches and a
SD of 3.1 inches. Assume that the precipitations of a year
is independent of that of any other year.
1 Find the probability that the total precipitation during
the next two years will exceed 25 inches.
2 Find the probability that next year’s precipitation will
exceed that of the following year by more than 3
inches.
Problems
Example 10.
In a university examination of a particular year, 60% of
the students failed when the mean of the marks 50% and
the standard deviation was 5%. The university decided to
relax the condition of passing by lowering the passing
marks to show its result as 70% passed. Find the
minimum marks needed for a student to pass by assuming
that the marks are normally distributed ?
Normal probability rule
Theorem 0.7 (Normal probability rule).

Then
1 P[−σ < X − µ < σ] ≈ 0.68

Then
1 P[−σ < X − µ < σ] ≈ 0.68
2 P[−2σ < X − µ < 2σ] ≈ 0.95

Then
1 P[−σ < X − µ < σ] ≈ 0.68
2 P[−2σ < X − µ < 2σ] ≈ 0.95
3 P[−3σ < X − µ < 3σ] ≈ 0.997.
Thank you for your attention

Uniform and Normal Distribution.

Uploaded by

Document Information

Original Description:

Original Title

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

Uniform and Normal Distribution.

Uploaded by

Copyright:

Available Formats

Probability and Statistics (MATH F113)

February 21, 2024

Note that the cdf of X is given by

Definition 0.3 (Normal distribution).

We use the change of variable in the above integral: x−µ σ

dMX (t) d 2 MX (t)

dMX (t) d 2 MX (t)

dMX (t) σ2 t 2 d 2 MX (t) σ2 t 2

dMX (t) d 2 MX (t)

dMX (t) σ2 t 2 d 2 MX (t) σ2 t 2

and hence Var (X ) = E (X 2 ) − E (X )2 = µ2 + σ 2 − µ2 = σ 2 .

Notation: We use the notation X ∼ N(µ, σ 2 ) to say that

Definition 0.5 (Standard Normal Distribution).

Definition 0.5 (Standard Normal Distribution).

Theorem 0.6 (Standardization theorem).

Theorem 0.6 (Standardization theorem).

Also note that if X is as in the above theorem:

Notation : For given α ∈ [0, 1], zα is a real number such

Theorem 0.7 (Normal probability rule).

Theorem 0.7 (Normal probability rule).

Theorem 0.7 (Normal probability rule).

You might also like