PROBABILITY & STATISTICS

Continuous R.V Chapter 4: Continuous Random Variables and

Pdf
Cdf
Probability Distributions
Mean & Variance LEARNING OBJECTIVES
Common Distri. 1. Continuous random variable:
Uniform
Normal (a) Probability density function
Normal approxi. (b) Cumulative distribution function
Summary (c) Mean and Variance
2. Common distribution: uniform and normal
3. Normal approximation to the Binomial and Poisson.

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 CONTINUOUS RANDOM VARIABLE

Continuous
Continuous R.V
R.V Definition
Pdf
Cdf A continuous random variable is a random variable
whose possible values includes in an interval of real
Mean & Variance numbers.
Common Distri.
Uniform Hours spent studying in a day
Normal

0 3 6 9 12 15 18 21 24
Normal approxi.

Summary The time spent

studying can be any
number between 0
and 24.

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 PROBABILITY DENSITY FUNCTION

Continuous R.V Definition

Pdf
Pdf
Cdf The probability density function (pdf) of a continuous
random variable X is a function such that
Mean & Variance

Common Distri. (1) f ( x)  0  x

Uniform
Normal +

Normal approxi.
(2) 
−
f ( x ) dx = 1

Summary b

(3) P(a  X  b) =  f ( x)dx for any a and b.

a

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 PROBABILITY DENSITY FUNCTION

Continuous R.V
Pdf
Pdf
Cdf

Mean & Variance

Common Distri.
Uniform
Normal
Figure 4-2 Probability determined from the area under f(x).

Normal approxi.
Property
If X is a continuous random variable then for any x1 and
Summary
x2 we have P( x1  X  x2 ) = P( x1  X  x2 )
= P( x1  X  x2 )
= P( x1  X  x2 )
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 PROBABILITY DENSITY FUNCTION

Continuous R.V Example

Pdf
Pdf Let the continuous random variable X denote the diameter
Cdf
of a hole drilled in a sheet metal component. The target
Mean & Variance diameter is 12.5 millimeters. Most random disturbances to
the process result in larger diameters. Historical data show
Common Distri. that the distribution of X can be modeled by a probability
Uniform
Normal
density function
f ( x) = 20e −20( x −12,5) , x  12.5
Normal approxi.
(a) If a part with a diameter larger than 12.60 millimeters
Summary
is scrapped, what proportion of parts is scrapped?
(b) What proportion of parts is between 12.5 and 12.6
millimeters?
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 PROBABILITY DENSITY FUNCTION

Continuous R.V Solution

Pdf
Pdf + +

Cdf (a) P( X  12.60) = 

12.6
f ( x)dx = 20  e −20( x −12.5) dx
12.6

Mean & Variance = −e −20( x −12.5) |12

+
.6 = 0.135

12.6


Common Distri. − 20( x −12.5 )
Uniform
(b) P(12.5  X  12.6) = 20e dx
12.5
Normal
= −e − 20( x −12.5) |12
12.5 = 0.865
.6

Normal approxi.

Summary
P(X > 12.60)

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 CUMULATIVE DISTRIBUTION FUNCTION

Continuous R.V Definition

Pdf
Cdf
Cdf The cumulative distribution function (cdf ) of a
continuous random variable X is
Mean & Variance x

Common Distri.
F ( x) :=  f (t )dt
−
Uniform
Normal for -∞ < x < +∞.
Normal approxi. Let us return to the above example
Summary 20e −20( x −12,5) x  12.5
f ( x) = 
0 x  12.5
1 − e −20( x −12,5) x  12.5
F ( x) = 
0 x  12.5
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 MEAN AND VARIANCE

Continuous R.V Definition

Pdf
Cdf
Suppose X is a continuous random variable with probability
density function f(x).
Mean &
Mean & Variance
Variance
The mean or expected value of X is defined by
Common Distri. +

Uniform  = E ( X ) :=  xf ( x)dx
Normal −

Normal approxi. The variance of X is defined by

+ +
Summary  2 = V ( X ) :=  ( x − )2 f ( x)dx =  x2 f (x)dx −  2
− −

The standard deviation of X is  =  .

2

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 MEAN AND VARIANCE

Continuous R.V Example

Pdf Assume that X is a continuous random variable with the
Cdf
following probability density function
Mean &
Mean & Variance
Variance 20e −20( x −12,5) x  12.5
f ( x) = 
0 x  12.5
Common Distri.
Uniform
Normal + +

 x f ( x)dx = 
− 20 ( x −12.5 )
Mean: EX = x 20e dx
Normal approxi. 12.5 12.5

Summary Integration by parts can be used to show that

+
 e −20( x−12.5)

EX =  − xe−20( x−12.5) −  = 12.55
 20  12.5
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 MEAN AND VARIANCE

Continuous R.V Variance:

Pdf
+
V (X ) =  − = 0.0025
Cdf 2 2
x f ( x ) dx ( EX )
12.5
Mean &
Mean & Variance
Variance

Common Distri.
Expected Value of a Function of a Continuous Random
Uniform
Normal Variable

Normal approxi. +

Summary
E h( X ) =  h( x) f ( x)dx
−

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 CONTINUOUS UNIFORM RANDOM VARIABLE

Continuous R.V Continuous uniform random variable over interval [a, b]

Pdf
Cdf  1
pdf:  , axb
f ( x) =  b − a
Mean & Variance 
0 otherwise

Common Distri.
Uniform
Uniform Mean and Variance:
Normal
a+b (b − a) 2
Normal approxi.
 = EX = ,  =V (X ) =
2

2 12

xa
Summary
0
x−a

cdf: F ( x) =  a xb
b − a
1 bb
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 NORMAL DISTRIBUTION

Continuous R.V Normal random variable X ~ N(µ, σ2)

Pdf
Cdf −1 x− 2
pdf: 1 ( )
f (x) = e 2 
, −   x  +
Mean & Variance 22
Common Distri.
Uniform Mean and Variance: E(X) = µ V(X) = σ2
Normal
Normal

Normal approxi.

Summary

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 NORMAL DISTRIBUTION

Continuous R.V 3σ-rule

Pdf
Cdf

Mean & Variance

Common Distri.
Uniform
Normal
Normal

Normal approxi.

Summary

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 NORMAL DISTRIBUTION

Continuous R.V Standard Normal Random Variable Z ~ N(0,1)

Pdf
Cdf − x2
1
pdf: f ( x) = e 2
, −   x  +
Mean & Variance 2
− x2
Common Distri. z 2
e
Uniform
Normal
cdf: ( z ) = 
− 2
dx .
Normal

Normal approxi. Standardizing

Summary
If X is a normal random variable X ~ N(µ, σ2) then
X −
Z=

is a standard normal random variable N(0, 1).
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 NORMAL DISTRIBUTION

Continuous R.V Standardizing

Pdf
Cdf

Mean & Variance

Common Distri.
Uniform
Normal
Normal

Normal approxi.

Summary

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 NORMAL DISTRIBUTION

Continuous R.V Finding Probabilities

Pdf
Cdf Problem 1: x is given known, find P(X < x).

Mean & Variance

Problem 2: P(X < x) = p is given known, find x.
Using Excel
Common Distri.
Uniform 1. Z ~ N(0,1)
Normal
Normal
To find P(Z < z) when given z: =NORMSDIST(z)
Normal approxi.
To find z when P(Z < z) = p: =NORMSINV(p)
Summary
2. X ~ N(μ, σ2)
To find P(X < x) when given x: =NORMDIST(x, μ, σ,1)
To find x when P(X < x) = p: =NORMINV(p, μ, σ).
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 NORMAL DISTRIBUTION

Continuous R.V Example

Pdf (a) Let X ~ N(34, 144). Find P(X < 43) and P(24 < X <
Cdf
37).
Mean & Variance
(b) Let Z ~ N(0,1). Find the value of z to P(Z > z) = 0.95
Common Distri.
Uniform
Normal
Normal (a) P(X < 43) = NORMDIST(43, 34, 12,1) = 0.7734

Normal approxi. P(24 < X < 37) = P(X < 37) – P(X < 24)

Summary
= 0.5987 – 0.2023 =0.3964
(b) P(Z < z) = 1 – P(Z > z) = 1 – 0.95 = 0.05
z =NORMSINV(0.05) = -1.65

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 NORMAL DISTRIBUTION

Continuous R.V Finding Probabilities: Using Table II

Pdf
Cdf

Mean & Variance

Common Distri.
Uniform
Normal
Normal

Normal approxi.

Summary

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 NORMAL APPROXIMATION

Continuous R.V Under certain conditions, the normal distribution can be

Pdf used to approximate the binomial distribution and the
Cdf
Poisson distribution.
Mean & Variance

Common Distri.
Uniform
Normal

Normal approxi.
Normal approxi.

Summary

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 NORMAL APPROXIMATION

Continuous R.V Example

Pdf Let X ~ B(16×106, 10-5). Find the probability P(X >150).
Cdf

Solution
Mean & Variance

Common Distri.
Uniform P( X  150) = 1 − P( X  150)
Normal 150

Normal approxi.
approxi.
= 1− C x
16106
−5 x −5 16106 − x
(10 ) (1 − 10 )
Normal
x =0

Summary

Clearly, this probability is difficult to compute.

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 NORMAL APPROXIMATION

Continuous R.V
Normal Approximation to the Binomial Distribution
Pdf If X ~ B(n, p) then random variable
Cdf

X − np
Mean & Variance Z=
np(1 − p)
Common Distri.
Uniform is approximately a standard random variable N(0,1).
Normal
x + 0.5 − np
P( X  x)  P( Z  )
Normal approxi.
Normal approxi.
np(1 − p)
Summary
x − 0.5 − np
P( X  x)  P( Z  )
np(1 − p)

Remark: The approximation is good for np > 5 and

n(1-p) > 5.
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 NORMAL APPROXIMATION

Continuous R.V Let us return to the above example

Pdf
Cdf 150.5 − 160
P( X  150) = P( X  151) = P( Z  )
−5
Mean & Variance 160(1 − 10 )
= P( Z  −0.75) = 1 − P( Z  −0.75) = 0.773
Common Distri.
Uniform
Normal
Here, we use the result np = 16×106×10-5 = 160.
Normal approxi.
Normal approxi.

Summary

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 NORMAL APPROXIMATION

Continuous R.V
Normal Approximation to the Poisson Distribution
Pdf If X is a Poisson random variable P(λ) then
Cdf
X −
Mean & Variance Z=

Common Distri.
Uniform is approximately a standard random variable N(0,1).
Normal
x− x−
P( X  x) = P( Z  ) = ( ).
Normal approxi.
Normal approxi.
 
Summary
The approximation is good for λ > 5.

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 NORMAL APPROXIMATION

Continuous R.V Example

Pdf Assume that the number of asbestos particles in a squared
Cdf
meter of dust on a surface follows a Poisson distribution
Mean & Variance with a mean of 1000. If a squared meter of dust is
analyzed, what is the probability that less than 950
Common Distri. particles are found?
Uniform
Normal

Normal approxi.
Normal approxi.
Let X = the number of asbestos particles in a squared
meter of dust on a surface, then X ~ P(1000)
Summary
950 − 1000
P( X  950)  P( Z  ) = P( Z  −1.58) = 0.057
1000

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 SUMMARY

Continuous R.V We have studied:

Pdf
Cdf 1. Continuous random variable:

Mean & Variance (a) Probability density function

Common Distri.
(b) Cumulative distribution function
Uniform (c) Mean and Variance
Normal
2. Common distribution: uniform and normal
Normal approxi.
3. Normal approximation to the Binomial and Poisson.
Summary
Summary
Homework: Read slides of the next lecture.

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