CHAPTER 3

SPECIAL CONTINUOUS
DISTRIBUTION

SQQS1043
PROBABILITY & STATISTICS
 INTRODUCTION
• Recall that a continuous random variable X is a
random variable that takes all values in an interval
(or a set of intervals).
• The distribution of a continuous random variable is
described by a density function f(x). A density curve
must satisfy that
• The total area under the curve, by definition, is
∞
equal to 1 or 100%, i.e., ‫׬‬−∞ 𝑓 𝑥 𝑑𝑥 = 1 .
• The probability of variable values between a and
b is the area from a to b under the curve (a ≤ b),
i.e., the area under the curve for a range of
𝑏
values,‫𝑥𝑑 𝑥 𝑓 𝑎׬‬, is the proportion of all
observations for that range.
• The probability of any event is the area under the
density curve and above the values of X that make
up the event.
SQQS1043 Probability and Statistics 2
Various continuous distributions

Uniform Exponential Gamma

Distribution Distribution Distribution

Normal
Normal Approximation:
Beta Distribution
Distribution Binomial and
Poisson.

SQQS1043 Probability and Statistics 3

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 x 4
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)
SQQS1043 Probability and Statistics 5
Example 3.1
The commuter trains on the Blue and Green Lines for the
Regional Transit Authority (RTA) in Cleveland, OH, have a waiting
time during peak rush hour periods of ten minutes ("2012
annual report," 2012).
a) State the random variable.
b) Find the probability that you have to wait between four and
six minutes for a train.
c) Find the probability of waiting between zero and ten
minutes for a train.
e) Find the probability of waiting exactly five minutes.
f) Find the expected value and standard deviation of the
amount of time that you have to wait for the next train.
SQQS1043 Probability and Statistics 6
The Gamma Family of PDFs

• The exponential and Gamma

models are popular for lifetime
random variables, i.e. a random
variable that records ‘time to
event’ measurement such as
death time among patients,
lifetime of electrical components,
etc.
• Other lifetime models include
Lognormal, Weibull and Log-
gamma probability models.
Exponential Distribution

• The exponential distribution is one of the widely used continuous

distributions.
• The exponential often concerns the amount of time until some
specific event happens. It is a process in which events happen
continuously and independently at a constant average rate.
• In other words, it is often used to model the time elapsed
between events.
• Statisticians use the exponential distribution to model the amount
of change in people’s pockets, the length of phone calls, and
sales totals for customers.

SQQS1043 Probability and Statistics 8

 one of the widely used continuous
distributions.

Exponential distribution describes the

time between events in a Poisson
process,
Exponential
Distribution
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.
SQQS1043 Probability and Statistics 9
 The exponential probability distribution has its
origin in the Poisson probability model.

Recall: Poisson distribution used to compute the

Relationship probability of a specific number of events
occurring in a particular interval of time or space
Between
Instead of the number of events being the
Exponential random variable, consider the time or space

Distribution interval as the random variable.

• Exponential distribution – provide a description of the length
and Poisson of time between occurrences.

Distribution Relation to Poisson: same process, different

measures.

• Poisson says how many events in a fixed time

• Exponential says how long until the next event.

SQQS1043 Probability and Statistics 10

Relationship Between The Poisson And The
Exponential Distribution
• There is an interesting relationship between the exponential
distribution and the Poisson distribution.
• Suppose that the time that elapses between two successive events
follows the exponential distribution with a mean of μ units of time.
• Also assume that these times are independent, meaning that the
time between events is not affected by the times between previous
events.
• If these assumptions hold, then the number of events per unit time
follows a Poisson distribution with mean λ = 1/μ.
• Recall that if X has the Poisson distribution with mean λ, then 𝑃(𝑋 =
𝑒 −𝜆 𝜆𝑘
𝑘) = . Conversely, if the number of events per unit time follows
𝑘!
a Poisson distribution, then the amount of time between events
follows the exponential distribution. (k! = k*(k-1*)(k–2)*(k-3)…3*2*1)

SQQS1043 Probability and Statistics 11

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
SQQS1043 Probability and Statistics 12
Exponential Distribution

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

SQQS1043 Probability and Statistics 13

Example 3.2
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.

SQQS1043 Probability and Statistics 14

Gamma Distribution
• The gamma distribution is a continuous probability
distribution that models right-skewed data.
• Statisticians have used this distribution to model cancer
rates, insurance claims, and rainfall.
• 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.
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.
a. It follows that 𝑔(𝑥; 1, 𝜃) ≡ 𝑔(𝑥; 𝜃)
Relationship between Gamma &
Exponential Distribution
• The gamma distribution is a generalization of the exponential
distribution. The gamma distribution can model the elapsed
time between various numbers of events. Conversely, the
exponential distribution can model only the time until the
next event, such as the next accident.
• In the (approximate) Poisson process with mean 𝜆=1/𝜃, we
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,
has a gamma distribution with parameter 𝛼 and 𝛽=1/𝜆.

*change=success
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
SQQS1043 Probability and Statistics 18
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

SQQS1043 Probability and Statistics 19

Example 3.3
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?

SQQS1043 Probability and Statistics 20

Comparing the Exponential, Poisson, and
Gamma Distributions
• The exponential and Poisson distributions are related. In fact, these two
distributions and the gamma distribution are related because they all
model different characteristics of a Poisson process. These three
probability distributions can all use lambda as a parameter that
represents the constant average rate of occurrence for independent
events. Here’s how these distributions compare.
• The exponential distribution models the time between events. Time is a
continuous variable and the exponential distribution is, correspondingly,
a continuous probability distribution.
• While the exponential distribution models the time until the next event
occurs, the related gamma distribution models the time until the
αth event occurs, where k is the shape parameter.
• Conversely, the Poisson distribution models the count of events within a
fixed amount of time. A count is a discrete variable and the Poisson
distribution is a discrete probability distribution.

SQQS1043 Probability and Statistics 21

Class Activity 3.1
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?

SQQS1043 Probability and Statistics 22

Class Activity 3.1
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

SQQS1043 Probability and Statistics 23

Class Activity 3.1

4. On the average, a certain computer part lasts ten years. The

length of time the computer part lasts is exponentially
distributed.
a) What is the probability that a computer part lasts more than 7 years?
b) Draw a graph
c) On the average, how long would five computer parts last if they are
used one after another?
d) What is the probability that a computer part lasts between nine and
11 years?

SQQS1043 Probability and Statistics 24

 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.
● The beta distribution is dependent on two parameters, represented
by the Greek letters alpha (α ) and beta (β). The shape of the
distribution changes with different values of α and β.
The Examples of Beta Distribution

The Beta Distribution can be used for representing the different probabilities as
follows.

● The likelihood of the audience rating the new movie release.

● The click-through rate of the website, which is the proportion of visitors.
● The conversion rate for buyers actually purchasing from your website.
● What is the survival chance of a person having blood cancer.
Beta Distribution

Def. 3.4: A random variable X has a beta distribution and it is 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 = ቐ 𝚪 𝜶 .𝚪(𝜷)
𝟎 𝐞𝐥𝐬𝐞𝐰𝐡𝐞𝐫𝐞

● where α > 0 and 𝛽 > 0,

● 𝛼 and 𝛽 = shape parameter
 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
The Shape of The Beta pdf
Mean and Variance for 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)
Example 3.4

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.
Solution 3.4
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.
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<∞)
 Normal Distribution
A plotted normal distribution gives a bell-shaped curve
which can be illustrated like:
The total area under the
curve is 1

The curve is symmetric

The two tails of the curve
about the mean extend indefinitely
which means that the
curve never touches x-
axis.
Pdf of 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
Mgf of Normal Distribution

Theorem 3.6
The moment generating function of the normal distribution
is given by
𝟏
𝝁𝒕+𝟐𝝈𝟐 𝒕𝟐
𝑴𝑿 𝒕 = 𝒆
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.
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)
Example 3.5

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
Solution 3.5
Transformation of X to Z

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.
Example 3.6

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?
Solution 3.6
Class Activity 3.2
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.
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 )

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.
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)
Example 3.7

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.
Solution 3.7
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)
Example 3.8

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?
Solution 3.8
Class Activity 3.3
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.