UNIT - I RV1

ONE DIMENSIONAL
RANDOM VARIABLES
IFETCE/H&S- II/MATHS/MATHIVADHANA/IYEAR/ M.E.(CSE)/I-SEM/MA7155/APPLIED PROBABILITY AND

STATISTICS /UNIT–I/PPT/VER1.2 1
SYLLABUS:
Random variables – Probability function –

Moments – Moment generating functions and
their properties – Binomial, Poisson, Geometric,
Uniform, Exponential, Gamma and Normal
Distributions – Functions of a Random Variable.
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AND STATISTICS /UNIT–I/PPT/VER1.2 2
PROBABILITY BASIC DEFINITIONS
PROBABILITY:
It is the science of decision-making with calculated
risks in the face of uncertainty.
EXPERIMENT:
It is a process which results in some well defined
outcomes.

RANDOM EXPERIMENT:
Eg:
Tossing a fair coin, Throwing a die ,Taking a card
from a pack of cards are Random Experiment.
SAMPLE SPACE:
The set of all possible outcomes of a random
experiment is called its Sample Space. It is denoted by S.

Eg:
Random Experiment Sample Space S
Tossing a coin once {H,T}
Tossing a coin Twice {HH,TH,HT,TT}
Throwing a die once {1,2,3,4,5,6}
OUTCOME:
The result of a random experiment is called an outcome.
Eg: Head or tail
TRIAL:
Any particular performance of a random experiment is
called a trial.
Eg: Tossing a coin

EVENT:
The outcomes of a trial are called events.
Eg: Getting head or tail
MATHEMATICAL PROBABILITY:
The Probability of the occurrence of a event A is

denoted by P[A] and defined as
P[A] = n[A] / n[S] 0 ≤ P[A] ≤ 1
n[A] = number of favourable cases to A.

n[S] = number of possible cases in S.
INDEPENDENT EVENTS:
If the Occurrence of any one of them does not
depend on the occurrence of the other.
Eg: Tossing a coin, the event of getting a head in the first

toss is independent of getting a head in the second and
subsequent throws.
CONDITIONAL PROBABILITY:
The Conditional Probability of an event B ,assuming that
the event A has already happened , is denoted by P[B/A]
and defined as

EXAMPLE FOR CONDITIONAL PROBABILITY:
When a fair die is tossed ,what is the probability of

getting 1 given that an odd number has been obtained.
SOLUTION:
Let S={1,2,3,4,5,6} ; n[S]=6
Let A be the probability of getting a odd number
A={1,3,5} ; n[A]=3
P[A]=n[A] / n[S] =3/6
Let B be the probability of getting 1. B={1}

PROBABILITY DISTRIBUTION FUNCTION OF X :
If X is a random variable ,then the function F[x] defined as
F [ x]  P[ X  x]
is called the distribution function of X.
PROBABILITY DISTRIBUTION FUNCTION OF Y :
If X is a random variable ,then the function F[y] defined as
F [ y ]  P[Y  y ]
is called the distribution function of Y.

RANDOM VARIABLES:
If E is an experiment having sample space S, and X is a
function that assigns a real number X(s) to every outcome s є S,
then X(s) is called a random variable (r.v.)
Random variables are two types:
i) Discrete Random variable
ii) Continuous Random variable
Eg:
Someone continuously shoot on the same target, until really
shot and then stop. s is the number of shots ， so
s One shooting Two shooting.... n shooting......

X(s) 1 2 .... n ......

Random Variable
Let S be the sample space.
A random variable X is a function
X: SReal
Suppose we toss a coin twice. Let X be the random variable

number of heads

Random Variable
(Number of Heads in two coin tosses)
S X
TT 0
TH 1
HT 1
HH 2
We also associate a probability with X attaining that value.

Random Variable
(Number of Heads in two coin tosses)
S Prob X X P(X=x)
TT 1/4 0 0 1/4
TH 1/4 1
1 1/2
HT 1/4 1
2 1/4
HH 1/4 2

Discrete Random variable:
If X is a random variable which can take a finite number
or countably infinite number of values, X is called a Discrete
Random variable.
Eg:
1. The number shown when a die is thrown.
2. Number of transmitted bits received in error.
Continuous Random variable:

If X is a random variable which can take all values in an
interval, then is called a Continuous Random variable.
Eg:
The length of time during which a vacuum tube installed in a
circuit functions is a continuous RV.
Probability Mass Function (or) Probability Function:
If X is a discrete RV with distinct values x 1 x2 x3 ,…

xn… then P ( X = xi) = pi, then the function p(x) is called
the Probability Mass Function.
Provided p(i = 1, 2, 3, …) satisfy the following

conditions:
1. pi  0, for all i, and

 pi 1
2. i

PROBABILITY DENSITY FUNCTION FOR
CONTINUOUS CASE:
If X is a continuous r.v., then f(x) is defined the

probability density function of X.
Provided f(x) satisfies the following conditions,
1. f ( x) ³ 0
¥
2. ò f ( x ) dx = 1
-¥
b
3. P (a £ x £ b) =ò f ( x)dx
a
CUMULATIVE DISTRIBUTION FUNCTION (OR)
DISTRIBUTION FUNCTION OF D.R.V.:
The cumulative distribution function F(x) of a discrete r.v.

X with probability distribution p(x) is given by
F ( x) = P( X £ x) = å
Xi £ x
p ( xi ) for - ¥ < x < ¥
CUMULATIVE DISTRIBUTION FUNCTION OF C.R.V.:
The cumulative distribution function of a continuous

r.v. X is
x
x ) = ò f ( x )dx, for - ¥ < x < ¥
F ( x ) = P ( X £IFETCE/H&S-
-¥
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PROBABILITY AND STATISTICS
/UNIT–I/PPT/VER1.2 17
EXPECTED VALUE OF X FOR D.R.V:
The mean or expected value of the discrete random

variable of X, denoted as μ or E(X) is
m = E ( X ) = å xp ( x )
x
The variance of X denoted as σ2 or V(X) is
s 2 = V ( X ) = E ( X 2 ) - [ E ( X )]2
or V ( X ) = E ( X - m) 2 = å ( x - m) 2 p ( x)
x
= å x 2 p( x) - m2
x
PROBLEMS UNDER DISCRETE RANDOM
VARIABLES:
TYPES GIVEN TO FIND
TYPE I P[x] F[x]
TYPE II F[x] P[x]

PROBLEM 1: [TYPE I]
A r. v. X has the following probability functions

X 0 1 2 3 4 5 6 7
p(x) 0 k 2k 2k 3k k2 2k2 7k2 + k
Find (i) value of k

(ii) P(1.5 < X < 4.5 / X > 2)
(iii) if P(X ≤ a) > ½, find the minimum value of a.

Solution:
7
(i ) w.k .t.å p ( x ) = 1
x =0
Þ 10k 2 + 9k = 1
Þ (10k - 1)( k +1) = 0
1
Þ k = ,- 1
10
 p ( x ) cannot be negative,
k = - 1 is neglected.
1
\ k =
10
(ii ) P (1.5 < X < 4.5 / x > 2)
P( A Ç B)
P( A / B) =
P( B)
P[(1.5 < X < 4.5) Ç ( X > 2)]
P (1.5 < X < 4.5 / X > 2) =
P ( X > 2)
P ( X = 3) + P ( X = 4)
= 7
å P( X = r ) r =3
5
5
= 10 =
7 7
10

X 0 1 2 3 4 5 6 7
p(x) 0 1/10 2/10 2/10 3/10 1/100 2/100 17/100
(iii ) By trials,
P ( X £ 0) = 0
1
P( X £ 1) =
10
3
P( X £ 2) =
10
5
P( X £ 3) =
10
8
P( X £ 4) =
10
1
\ the minimum value of 'a' satisfying the condition P( X £ a) > is 4
2
PROBLEM 2
A random Variable X has the following probability

distribution.
x -2 -1 0 1 2 3
p(x) 0.1 k 0.2 2k 0.3 3k
Find
(i)the value of k
(ii)Evaluate P[X<2] and P[-2<X<2]
(iii)Find the cumulative Distribution of X.
(iv)Evaluate the Mean and Variance of X.

Solution:
( i)
P [ X < 2] = P [ X = - 2] + P [ X = - 1]
+P [ X = 0] + P [ X = 1]
1 2
= 0.1 + + 0.2 +
15 15
3 1
= 0.3 + =
15 2
( ii)
P [ - 2 < X < 2]
= P [ X = - 1] + P [ X = 0] + P [ X = 1]
1 2
= + 0.2 +
15 15
3
= 0.2 +
15
2
=
5
(iii) The Cumulative Distribution of X:
X F(x) = P(X ≤ x)
-2 F(-2)=P(X≤-2)=P(X=-2)=0.1=1/10
-1 F(-1)=P(X≤-1)=F(-2)+P(-1)=1/10+k=1/10+1/15=0.17
0 F(0)=P(X≤0)=F(-1)+P(0)=1/6+2/10=1/6+1/5=0.37
1 F(1)=P(X≤1)=F(0)+P(1)=11/30+2/15=15/30=1/2
2 F(2)=P(X≤2)=F(1)+P(2)=1/2+3/10=(5+3)/10=8/10=4/5
3 F(3)=P(X≤3)=F(2)+P(3)=4/5+3/15=(12+3)/15=1

(iv) Mean:
3
Mean =E ( x ) = å xp ( x )
x =2
= - 2 p (- 2) + ( - 1) p ( - 1) + 0 p(0)
+1 p (1) + 2 p (2) + 3 p (3)
æ1 ö 3 3
= - 2ç
ç ÷ ÷ + ( - 1) .k + 0 + 2k + 2. + 3.
è 10 ø 10 15
16
=
15 IFETCE/H&S-
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PROBABILITY AND STATISTICS
/UNIT–I/PPT/VER1.2 28
Variance:
2
var( X ) = E ( X ) - 2
[ E ( X )]
3
2
E( X ) = å
x =- 2
x 2 p( x)
2 2 2
= ( - 2) p ( - 2) + ( - 1) p ( - 1) + ( 0) p ( 0)
2 2 2
+ ( 1) p ( 1) + ( 2) p ( 2) + ( 3) p ( 3)
æ1 ö æ3 ö
= 4ç
ç ÷
÷ +1( k ) + 0 +1.(2 k ) + 4 ç
ç ÷
÷ + 9(3k )
è 10 ø è 10 ø
16 30 18
= + =
10 15 5
2
2 18 æ 16 ö
\ var X = E ( X 2 ) - [ E ( X )] = - ç
ç ÷
÷ = 2.46
5 è 15 ø

PROBLEM 3 : [TYPE II]
Obtain the probability function or probability
distribution function from the following distribution
x 0 1 2 3
F[x] 0.1 0.4 0.9 1.0

Problem 3:
The diameter, say X of an electric cable, is assumed to be

a continuous r.v. with p.d.f. :
f(x) = 6x(1-x), 0 ≤ x ≤ 1
(i)Check that the above is a p.d.f.

(ii)Compute P(X ≤ ½ | ⅓ ≤ X ≤ ⅔)
(iii)Determine the number k such that
P(X< k) = P(X > k)

Solution:
(i )
1 1
ò f ( x)dx =ò 6 x(1 - x)dx
0 0
1
éx x ù 2 3
=6ê - ú
ê
ë 2 3 ú
û0
=1

(ii )
1 1
P( £ X £ )
1 1 2 3 2
P( X £ | £ X £ )=
2 3 3 1 2
P( £ X £ )
3 3
1
2
ò 6 x(1 -
1
x ) dx
3
= 2
3
ò 6 x(1 -
1
x ) dx
3
11
54 11
= =
13 26
27
(iii )
We have P ( X < k ) = P ( X > k )
k 1
Þ ò 6 x(1 - x) dx =ò 6 x(1 - x) dx
0 k
Þ 3k 2 - 2k 3 = 3(1 - k 2 ) - 2(1 - k 3 )
Þ 4k 3 - 6k 2 +1 = 0
1 1± 3
Þ k= ,
2 2
1
The only possible value of k in the given range is .
2
1
\ k=
2

rth MOMENT ABOUT ORIGIN
The rth moment about origin of a r.v. X is defined
as the Expected value of the rth power of the X
E ( X r ) = mr¢ = å x r p ( x ), if X is discrete
x
¥
E ( X r ) = mr¢ = ò x r f ( x ), if X is continuous
-¥
If r = 1 then
Mean = E ( X ) = m1¢= å x p ( x)
x
If r = 2 then
E ( X 2 ) = m2¢ = å x 2 p ( x)
x
Variance = m2¢ - [ m1¢]2

MOMENT GENERATING FUNCTION
The moment generating function of a r.v. X
(about origin) whose probability function f(x) is given
by
ì ¥ tx
ï ò e f ( x), for continuous probability distribution
tx ï -¥
M X (t ) = E (e ) = í
ï ¥ tx
ï å e P ( x), for discrete probability distribution
î -¥
t is a real parameter and the integration or summation

being extended to the entire range of x.

Moment Generating Function
Problem: Let the random variable X has the p.d.f
ì 1 -x
ï e 2, x >0
f ( x) = í 2
ï
ïî 0, otherwise
Find the Moment Generating Function,

(i) mean,
(ii) variance of X and also
(iii) find P(x>1/2)
Solution:
1 - 2x
Given f ( x ) = e , x >0
2
The m.g.f is given by
¥ ¥
1 - 2x
MX ( t) =Eé ù
ëe û = ò e
tx tx
f ( x ) dx =ò e tx
e dx
-¥ 0 2
é æ1 ö ù¥
¥ æ1 ö ê - ççè 2 - t ÷
÷x ú
1 - ç
ç - t ÷
÷ x 1ê e ø
ú
= ò e è 2 ø dx = ê æ
2 0 2ê 1 öúú
ê - ç
ç - t ÷
÷ ú
ë è2 ø û0
é ù
1êê 1 ú ú= 1 . 2 1
=- 0 - =
2êê
1 ú
- tú 2 1 - 2t 1 - 2t
ê
ë 2 ú
û
1
M X (t ) =
1 - 2t

(i ) Mean :
E ( X )  Mean  M X ' (0)
 d  1 
  
 dt  1  2t  t 0
 1 
 (2)  2
 (1  2t )
2
 t 0
Mean  2

(ii) VARIANCE:
d 
E ( X )  M X '' (0)  
2
M X ' (t ) 
 dt  t 0
d  2    4 
  2 
  ( 2)  
 dt  1  2t      1  2t 
3
  t 0   t 0
 4 
 ( 2)  8
 1  2t 
3
 t 0
Variance  E ( X 2 )  E ( x )  8  ( 2) 2  4
2
Variance  4
(iii )
æ 1ö ¥
1 - 2x 1¥ -
x
Pç
ç
è
x ³ ÷
÷
2ø
=ò1 2
e dx = ò
2 1
e 2
dx
2 2
é -x ù¥
1 ê
ê e 2 ú
ú
=
2êê
-1 ú
ú
ê
ë 2 ú
û1
2
é -
x ù¥ -
1
= ê- e 2 ú =e 4
ê
ë ú
û1
2
æ 1ö
\ pç
çx > ÷
÷= 0
è 2ø
STANDARD DISTRIBUTIONS
DISCRETE CONTINUOUS
DISTRIBUTION DISTRIBUTION
1.Binomial Distribution 1. Uniform Distribution
2. Poisson Distribution 2. Exponential Distribution
3. Geometric Distribution 3. Gamma Distribution
4. Negative Binomial
4. Normal Distribution
Distribution
DISCRETE DISTRIBUTION
BINOMIAL DISTRIBUTION
A random variable X is said to follow
Binomial Distribution if it assumes only non-
negative values and its probability mass
function is given by
P(X=x) =P(x) = ncxpxqn-x, x=0, 1, 2, 3…..n, q=1-p

0 , otherwise
Where n and p are called parameter of the

Binomial distribution.
Mean of Binomial Distribution.
Mean = E(X) = np
Variance of Binomial Distribution.
Variance = Var(X) = npq.
Moment Generating Function (M.G.F) of a

Binomial Distribution.
M G F = Mx ( t ) = E ( etx ) = ( p et + q )n
PROBLEM
Out of 800 families with 4 children each, how

many families would be expected to have
(i) two boys and 2 girls,
(ii) atleast 1 boy
(iii) atmost 2 girls and
(iv) children of both sexes.
Assume equal probabilities for boys and girls.

Considering each child as a trial, n = 4.
Asumming that birth of a boy is a success,
1 1
p = and q = .
2 2
Let X denote the number of success ( boys) .
(i ) P (2 boys and 2 girls ) = P ( X = 2)
2 4- 2
æ1 ö æ1 ö
= 4C2 ç
ç ÷÷ ç
ç ÷÷
è2ø è2ø
4
æ1 ö 3
= 6´ ç
ç ÷÷ =
è2ø 8
\ No. of families having 2 boys and 2 girls
= N * P( X = 2)
(where N is the total no. of families considered)
3
= 800 ´
8
= 300

(ii ) P ( at least 1 boy )  P ( X  1)
 P ( X  1)  P ( X  2)  P ( X  3)  P ( X  4)
0 4
1 1
 1  P ( X  0)  1  4C0    
2 2
1 15
 1 
16 16
No.of families having at least 1boy
15
 800 
16
 750
(iii ) P (atmost 2 girls ) = P ( X = 4) + P ( X = 3) + P ( x = 2)
= 1 - {P( X = 0) + P( X = 1)}
ìï æ1 ö4 æ1 ö4 üï
= 1 - í 4C0 çç ÷÷ + 4C1 çç ÷ ÷ý
ïî è2ø è 2 ø ïþ
11
=
16
\ No. of families having atmost 2 girls
11
= 800 ´
16
= 550

(iv) P(Children of both sexes )  1  P (Children of the same sexes)
 1  {P(all are boys)  P(all are girls )}
 1  { P( X  4)  P( X  0)}
  1 4  1  
4
 1  4C4    4C0   
  2   2  
1 7
 1 
8 8
 No. of families having children of both sexes
7
 800 
8
 700
POISSON DISTRIBUTION
A random variable X is said to follow Poison

distribution if it assumes only non -negative values
and its probability mass function is given by
ì e- l l x
ïï ; x = 0,1, 2,...l > 0
P( X = x) = P( x) = í x !
ï
ïî 0 ; otherwise
Where λ is parameter of the Poisson distribution.

Mean of Poisson Distribution.
Mean=E(X) = λ
Variance of Poisson Distribution.
Variance=Var(X) = λ
Moment Generating Function (M.G.F) of a Poisson

Distribution.
M.G.F = Mx ( t ) = E ( etx ) =

Problem:
The number of monthly breakdowns of a

computer is random variable having a Poisson
distribution with mean equal to 1.8. Find the probability
that this computer will function for a month
(i)Without a breakdown
(ii)With only one breakdown and
(iii)With atleast one breakdown.

Solution:
Let X denotes the number of break downs of the computer in a
month.
X follows a Poisson distribution with mean λ = 1.8
e- l l x
e - 1.8 (1.8) x
P( X = x) = =
x! x!
(i )
P ( without a breakdown ) = P ( X = 0)
e - 1.8 (1.8) 0
=
0!
= e - 1.8 = 0.1653

(ii )
P( with only breakdown) = P ( X = 1)
e - 18 (18)1
= = 0.2975
1!
(iii )
P( with atleast one breakdown) = P ( X ³ 1)
= 1 - P( X < 1)
= 1 - P( X = 0)
= 1 - 0.1653
= 0.8347
GEOMETRIC DISTRIBUTION
Suppose that independent trails, each

having a probability p, 0 < p < 1, of being
a success, are performed until a success
occurs. If we let X equal the number of
trails required, then
P(X = x) = (1-p)x-1p = qx-1 p, x=1,2,3…

Mean of Geometric Distribution.
Mean =E(X) = 1/p
Variance of Geometric Distribution.
Variance = Var(X) = q/p2
Moment Generating Function (M.G.F) of a Geometric

Distribution.
M.G.F = Mx ( t ) = p/e-t-q

PROBLEM :
If the probability that a target is destroyed on any one shot is
0.5. What is the probability that it would be destroyed on 6th
attempt?
SOLUTION:
Let `X’ be the R.V denoting the number of attempts required
for the first success.
Given p = 0.5 ∴ q= 1 – 0.5 = 0.5.
We know that P(X = x) = qx-1p
P(X = 6) = q6-1p = q5p = (0.5)5(0.5) [∵p=0.5, q=0.5, n=6]
= (0.5)6 =0.0156.

Problem:
A die is tossed until 6 appears. What is the probability that
it must be tossed more than 4 times.
Solution:
Let X be a Random variable denoting the number
of times 6 appears.
Here p = 1/6, q = 1- p = 1-1/6 = 5/6
w.k.t. P(X = x) = qx-1p x=1,2,3…..

 P(X = x) = (5/6)x-1(1/6)
Here P(x> 4) = 1-P(x ≤ 4)
= 1{P(x = 1) + P( x= 2) + P(x = 3) + P(x = 4)}
= 1{(1/6) + (5/6)(1/6) + (5/6)2(1/6)
+ (5/6)3(1/6)}
= 1 - 1/6 (3.1065)
= 0.4823.

NEGATIVE BINOMIAL DISTRIBUTION
A random variable X is said to follow Negative

Binomial Distribution if its probability mass function is
given by
 x  1 r
 p 1  p  , x  r , r  1,...
xr
P(X = x) = P(x) = 
 r  1
(or)
 x  r  1 r
P(X = x) = P(x) =   p 1  P  , x  0,1,2..
x
 r 1 
Where p is the probability of success in a trail.

Mean of Negative Binomial Distribution .
Mean = E(X) = rP
Variance of Negative Binomial Distribution .
Variance = Var(X) = rPQ
Moment Generating Function (M.G.F) of a Negative

Binomial Distribution.
M.G.F = Mx ( t ) = ( Q-P et ) -r

CONTINUOUS DISTRIBUTION
Uniform Distribution
A random variable X is said to have a
continuous Uniform Distribution over a interval
(a,b) if its probability density function is given by
ì 1
(i.e.) f ( x) = ï ,a < x <b
í b- a
ï
î 0 , otherwise
Where `a’ and `b’ are the two parameters of the
uniform distribution.
Mean of Uniform Distribution
a +b
Mean = m1 ' =
2
Variance of Uniform Distribution
2
(b - a )
Variance = Var ( X ) =
12
Moment Generating Function (M.G.F) of a
Uniform Distribution
bt at
e -e
M .G.F = M X (t ) =
(b - a )t
PROBLEM :
Buses arrive at a specified stop at 15 min. interval
starting at 7 AM, That is, they arrive at 7, 7.15, 7.30, 7.45
and so on. If a passenger arrives at the stop at random time
that is uniformly distributed between 7 and 7.30 A.M. find
the probability that he waits.
(a) less than 5 min for a bus and
(b) at least 12 min for a bus.
Solution:
Let X denotes the time that a passenger arrives
between 7 and 7.30 a.m. Then X∼U(0,30)
Then
(a) Passenger waits less than 5 minutes,
(i.e.) he arrives between 7.10-7.15 or7.25-7.30
P (waiting time less than 5minutes)
= P (10 £ X £ 15) + P (25 £ X £ 30)
15 30
1 1
=ò dx +ò dx
10 30 25 30
1 15 30
= {[ x] 10 +[ x] 25 }
30
1
=
3
(b) Passenger waits at least 12 minutes
(i.e.) he arrives between 7-7.03 or7.15-7.18.
P (waiting time at least 12 minutes)
= P (0 £ X £ 3) + P (15 £ X £ 18)
3 18
1 1
=ò dx +ò dx
0 30 15 30
1 3 18
=
30
[ x] 0 +[ x] 15
1
=
5

THE EXPONENTIAL DISTRIBUTION
A continuous random variable X is said to
follow an Exponential Distribution with
parameter λ > 0 if its probability density
function is given by
 e  x
, x0
f ( x)  
0, otherwise

Mean of Exponential Distribution
1
Mean = m1 ' =
l
Variance of Exponential Distribution
1
Variance = Var(X) =
 2
Moment Generating Function (M.G.F) of

Exponential Distribution
r
æt ¥ ö
M .G.F = M X ( t ) = å ç ç ÷
÷
r =0 è l ø
PROBLEM
The time (in Hours) required to repair a

machine is exponentially distributed with
parameter λ = ½. What is the probability
that the repair time exceeds 2 h? What is the
conditional probability that a repair takes at
least 10 h given that its duration exceeds 9h?

Solution:
The conditional probability that a repair takes at least 10
h given that its duration exceeds 9h is given by,
P ( X ³ 10 | X > 9) = P( X ³ 9 +1| X > 9)
= P ( X > 1)
¥
1 -21 x 1 ¥ -21 x
=ò e dx = ò e dx
1 2 21
é - 1 x ù¥
ê 2 ú
1 êe ú 1 é - 1 ù¥
x
= ê = ( - 2) êe ú2
2 ê -1 ú ú 2 êë ú
û2
êë 2 ú û1
-1 -1
= (- 1)[0 - e ] = e
2 2
= 0.6065
THE GAMMA DISTRIBUTION
A continuous random variable X is said to follow an
Gamma Distribution with parameter λ > 0 if its
probability function is given by
 e  x x  1
 ;   0,0  x  
f ( x )    
0 ; otherwise


Mean of Gamma Distribution
Mean = m1 ' = l
Variance of Gamma Distribution
Variance = Var ( X ) = l
Gamma Distribution
-l
M .G.F = M X (t ) = (1- t ) , t < 1

Problem:
Find the p.d.f of Gamma distribution Find the M.G.F,
Mean and variance.
Solution: A continuous random variable X taking

non-negative values is said to follow gamma
distribution, if its probability density function is given
by
 e  x x  1
 ;   0,0  x  
f ( x )    
0 ; otherwise

Where α is the parameter of the distribution.

Moment generating function
e  x x  1
 
M x t   E e    e
xt tx
f x dx  e
tx
( x)
dx
0 0
 
1 1
e e 
x  1 (1 t ) x  1
 tx
x dx  e x dx
( x) 0
( x) 0
put (1  t ) x  u if x  0, u  0.
(1  t ) dx  du , if x  , u  
  1   1
1  u  du 1  u  du
 0  1  t   0  1  t 
u u
e e
( x) 1 t ( x) 1 t
Gamma function
1
 
1  t  ( x ) 0
 u  1e u du  
  ( n)   e x
x n 1
dx
 0
1 1
 .     .
1  t    1  t 
Mean and variance of Gamma Distribution
1 a
w.k .t M (t ) =
X = (1 - t)
a
(1 - t)
- a-1 - a-1
M ¢ (t ) = - a ( 1 - t )
X ( - 1) = a ( 1 - t )
- a-1
Mean = m = M ¢ (0) = a ( 1 - 0)
'
1 X =a
d d - a-1 -a- 2
M ¢¢(t ) =
X M ¢ (t ) =
X a (1 - t) = a ( - a - 1) ( 1 - t ) .( - 1)
dt dt
-a- 2
= a ( a +1) ( 1 - t )
m2' = M ¢
¢
X (t ) = a ( a +1) t = 0
( )
2
\ Variance = m2 = m 2 - '
m '
1 = a ( a +1) - a 2 = a
var X = a
Hence Mean and var iance of Gamma distribution = a .
Normal Distribution
A random variable X is said to have a normal

distribution with parameters μ and σ2, if its p.d.f is
given by the probability law:
(X  ) 2
1 
f (X )  (e) 2 2
 2

Mean of Normal Distribution
2
¥ 1 æx - mö
1 - çç ÷
÷
Mean = m = ò x e 2è s ø
dx
-¥ s 2p
Variance of Normal Distribution
2
¥ 1 æx - mö
1 - çç ÷
÷
Variance = Var ( X ) = ò x 2
e 2è s ø
dx - m2
-¥ s 2p
Gamma Distribution
mt +t 2s 2
/2
M .G.F = M X ( t ) = e
IFETCE/H&S- II/MATHS/MATHIVADHANA/IYEAR/M.E.(CSE)/I-SEM/MA7155/APPLIED PROBABILITY AND
NORMAL DISTRIBUTION CURVE

Problem:
X is a normal variate with mean 30 and S.D. 5.
Find
(i)P(26 ≤ X ≤ 40)
(ii)P(X ≥ 45)
(iii)P(|X -30| > 5)
Solution:
Here m = 30 and s = 5
X - m 20 - 30
(i ) When X = 26, Z = = = - 0.8
s 5
40 - 30
and When X = 40, Z = =2
5
\ P ( 26 £ X £ 40) = P ( - 0.8 £ Z £ 2)
= P ( - 0.8 £ Z £ 0) + P ( 0 £ Z £ 2)
= P ( 0 £ Z £ 0.8) + P ( 0 £ Z £ 2)
= 0.2881 + 0.4772 = 0.7653

45 - 30
(ii ) When X = 45, Z = =3
5
\ P ( X ³ 45) = P ( Z ³ 3)
= 0.5 - P ( 0 £ Z £ 3)
= 0.5 - 0.49865 = 0.00135

(iii ) P (| X - 30 |£ 5) = P ( 25 £ X £ 35)
= P ( -1 £ Z £ 1)
= 2 P ( 0 £ Z £ 1)
= 2(0.3413)
= 0.6826
\ P (| X - 30 |> 5) = 1 - P (| X - 30 |£ 5)
= 1 - 0.6826
= 0.3174


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