Chapter 5

REVIEW
Continuous Random
Variables and
Probability Distributions
 Continuous Random
Variables
• Discussed about discrete random
variables
• Continuous random variable, X, has a
distinctly different distribution from the
discrete random variables
• Includes all values in an interval of real
numbers
• Thought of as a continuum
 Continuous Probability Distributions

 The probability of the random variable assuming a

value within some given interval from x1 to x2 is
defined to be the area under the graph of the
probability density function between x1 and x2.

f (x) Exponential
Uniform
f (x)

f (x)
Normal

x
x x1 xx12 x2
x1 x2
x
x1 x2
 Probability Distributions
• Describe the probability distribution of a
continuous random variable X
• Probability that X is between a and b is
determined as the integral of f(x) from a
to b
 Probability Density Function
• Continuous random variable X, a probability density
function (pdf)
1. f ( x)  0


2.  f ( x)dx  1
 b

3. P(a  X  b)   f ( x )dx  area under f(x) from a to b

a

• Zero for x values that cannot occur

 Important Point
• f(x) is used to calculate an area that represents
the probability that X assumes a value in [a, b]
• Probability at any point is zero, because every
point has zero width
• P(X=x)=0
• Not distinguish between inequalities such as <
or  for continuous random variables
• For any x1 and x2
P(a X b)  P(a  X  b) P(a  X  b)  P(a  X  b)
• Not true for a discrete random variable!
 Example
• If a random variable
 2 e for x  0
2 x

f ( x)  
0 for  0

• Find the probability

– between 1 and 3
– greater than 0.5
• Solution
3
P(1  X  3)   2e 2 x dx  e 2  e 6  0.135
1



2 x 1
P ( X  5)  2 e dx  e  0 .368
0 .5
 Cumulative Distribution
Function
• Stated in the same way as we did for the discrete
random variable
• F(x) is defined for every number x by

x
F ( x)  P ( X  x)   f (u ) du

for    x  
 F(x) and f(x)

• Probability that the random variable will take

on a value on the interval from a to b is F(b) –
F(a)
• Fundamental theorem of integral calculus

dF ( x )
 f (x)
dx
 Example
• Find the cumulative distribution function of the
following pdf
 2 e  2 x for x  0
f (x)  
 0 for  0
• Solution
x
 2e dt  1 - e for x  0
 2t - 2x

F ( x)   0
0 for x  0


• When x=1 yields F (1)  1  e  2  0 . 865

 Mean and Variance
• Defined similarly to a discrete random variable
• Mean or expected value of X

E[X]=

 
xf ( x ) dx

• Variance


V(X)=  ( x   ) 2 f ( x ) dx

 Example
• If a random variable has
 2 e for x  0
2 x

f (x)  
 0 for x  0

– Find the mean and variance of the given

probability density function
• Solution
 

 xf ( x ) dx  
2 x
E[x]  x . 2 e dx  0 .5
 0


V [ Y ]   ( x   ) f ( x ) dx
2



  (x  1 / 2) 2e
2 2 x
dx
0

 1/ 4
 Uniform Distribution
• Simplest continuous distribution
• Probability Density
1
f ( x) 
ba
• Mean & Standard Deviation
ab b  af(x)
 and 
2 12
• Proof
b
x 0 .5 X 2
E(X )   dx  b
 (a  b) / 2
x
a
a
b  a ba
ab 2 ab 3
b (x  ( ) (x  )
2 2 (b  a ) 2
V (X )   dx  
b
a
a
ba 3( b  a ) 12
 Example
• Suppose X has a continuous uniform distribution
over the interval [1.5, 5.5]
– Determine the mean, variance, and standard deviation
of X
– What is P(X<2.5)?
• Solution
E(X) = (5.5+1.5)/2 = 3.5,
( 5 .5  1 .5 ) 2
V (X )   3 /4
12
 x  3  0 . 866
4
2 .5
P ( X  2 . 5 )   0 . 25 dx
1 .5
2 .5
 0 . 25 x 1 . 5  0 . 25
 Normal Distribution
• Most widely used model for the distribution of a
random variable is a normal distribution
• Describes many random processes or continuous
phenomena
• Used to approximate discrete probability
distributions
• Basis for classical statistical inference
 Mean and Variance
• Random variables with different means and
variances can be modeled by normal probability
• E[X]= determines the center of the probability
density function
• V[X]=2 determines the width
• Illustrates several normal probability density
functions
Probability Density Function
• X with probability density function

 x 
 ( x   )2
1
f ( x)  e 2 2
2
where:
 = mean
 = standard deviation
 = 3.14159
e = 2.71828
Probability Density Function
• X with probability density function

 x 
 ( x   )2
1
f ( x)  e 2 2
2
• Normal random variable with parameters -
< < and >1
• Mean and variance
E[X]=  , V[X]= 2
• N(, 2 ) used to denote the distribution
 Useful Information
• Total area under the curve is 1.0
• Two tails of the curve extend indefinitely
• Useful results
– P(-<X<+)=0.6827
– P(-2<X<+2)=0.9545
– P(-3<X<+3)=0.9973
 Normal Probability Distribution

 Characteristics

68.26% of values of a normal random variable

are within +/- 1 standard deviation of its mean.

95.44% of values of a normal random variable

are within +/- 2 standard deviations of its mean.

99.72% of values of a normal random variable

are within +/- 3 standard deviations of its mean.
 Normal Probability Distribution

 Characteristics
99.72%
95.44%
68.26%

x
  + 3
 – 3  – 1  + 1
 – 2  + 2
 Calculating the Probabilities
• Normal distributions differ by mean &
standard deviation
f(X)

• Each distribution would require its own table

• Infinite number of tables!
 Definition
• Normal random variable with =0 and 2=1
• Called a standard normal random variable
• Denoted as Z
• Cumulative distribution function of a standard
normal random variable is denoted as
(z)  P(Z  z)
• Appendix Table II provides cumulative
probability values
Standardize the Normal Distribution
• Use the following random variable z to
standardize a normal distribution into
standard normal distribution
= 1

X  
z 
 =0 Z
 X
Normal distribution Standardized Normal Distribution

• Calculate the probabilities

X   x 
P ( X  x)  P (  )  P (Z  z)
 
 Working with Table
• Table II provides values of (z) for values of Z
• Suppose Z=1.5

• Note that P(a<X<b)=F(a) – F(b)

 Example

• Find probabilities that a random variable having

the standard normal distribution will take on a
value
– between 0.87 and 1.28
– between –0.34 and 0.62
– greater than 0.85
– greater than –0.65
– less than –0.85
– less than –4.6
 Solution
• F(1.28) – F(0.85) = 0.8997-0.8078 = 0.0919
• F(0.62) - F(-0.34)= 0.7324 – (1-0.6331) =
0.3655
• P(z>0.85)=1-P(z0.85)= 1-F(0.85) = 1-
0.85023 = 0.1977
• P(z>-0.65) =1-F(-0.65)=1-[1-
F(0.65)]=F(0.65) = 0.7422
• P(z<-0.85)= (1-0.8551) = 0.1949
• P(z<-4.6)=
– P (z<-3.99) = 1-0.99967 = 0.000033
– P(z<-4.6)< P(z<-3.99) = ~ 0
 Exponential Distribution
• Poisson distribution defined a random variable to
be the number events during a given time interval
or in a specified regions
• Time or distance between the events is another
random variable that is often of interest
• Probability density function
f ( x)  e  x
• Mean and variance

  E[ X ]  ,   V [ X ] 
1

2 1

 Example
• Suppose that the log-ons to a computer network
follow a Poisson process with an average of 3
counts per minute
a) What is the mean time between counts?
b) What is the standard deviation of the time
between counts?
c) Determine x such that the probability that at least
one count occurs before time x minutes is 0.95
 Solution
a) E(X) = 1/ =1/3 = 0.333 minutes
b) V(X) = 1/2 = 1/32 = 0.111,  = 0.33
c) Value of x
x


 3 t
P ( X  x )  3 e dt
0
x
 3 t  3 x
  e  1  e  0 . 95
0

• Thus, x = 0.9986
PRACTICE
PROBLEM
 Problem No. 1
• Suppose that f(x)= e-(x-4) for x>4
• Determine the following
probabilities
a.) P(1<X)
b.) P(2X<5)
c.)Determine such that P(X<x) =0.9
 Problem No. 2

• Suppose that f(x)=1.5 x2

for –1<x<1.
Determine the cumulative
distribution function
 Problem No. 3
• The thickness of a flange on a aircraft
component is uniformly distributed between
0.95 and 1.05 millimeters.
a) Determine the cumulative distribution
function of flange thickness
b) Determine the proportion of flanges that
exceeds 1.02 millimeters
c) What thickness is exceeded by 90% of
the flanges?
 Problem No. 4
• Assume X is normally distributed
with a mean of 5 and a standard
deviation of 4. Determine the
following;
a) P(X<11)
b) P(X>0)
c) P(3<X<7)
d) P(2 < X < 9)
 Problem No. 5
• The time between the arrival of
electronic messages at your computer
is exponentially distributed with a mean
of two hours
a) What is the probability that you do
not receive a message during a
two-hour period?
b) What is the expected time between
your fifth and sixth messages?