Continuous Random Variable

Probability Distribution of a Continuous Random Variable

• Let X be a continuous random variable.
• A continuous random variable X can assume all possible
values between a given interval say a  x  b.
• Range set of X is an interval on the real line.
• X can take infinite number of values and they are always
uncountable.
• We can not assign a probability to each possible value.
• Point probability p(x) becomes meaningless in this case.
• Replace the pmf p, by a function f defined for all values of
a  x  b.
• This probability distribution function f of a continuous
random variable is known as probability density function
(pdf)
 Properties: probability density function (pdf)
• Equivalent to the case of discrete random variable we have
probability density function (pdf) f satisfying the following properties:

 f(x) ≥ 0 for all x.

 ∫ RX f(x) dx = 1

• Since point probability is meaningless we have:

P ( a  X  b)  P ( a  X  b)
 P ( a  X  b)
 P ( a  X  b)
b
 
a
f ( x ) dx
Normal Distribution
 Normal Distribution
• Normal distribution is the most widely used distribution.
• Many naturally occurring data follows Normal Distribution
– Temperature, height, weight at birth, rainfall, Measurements of
manufactured parts etc.
• A continuous r. v. X is said to have a Normal Distribution with
parameters μ (mean) and σ (standard deviation), if its pdf is

 1 1  x  2
  
 e 2  
,   x  ,      ,   0,
f ( x)  
 2
 0, otherwise


• We write X ~ N(μ, σ ).
• Let X ~ N(μ, σ ).
• μ and σ are called as the parameters of normal distribution.
• Mean of Normal Distribution: E(X) = μ
• Variance of Normal Distribution: Var(X) = σ2
• Probability curve is ‘Bell Shaped’.
• Location is characterized by μ
• Spread is characterized by σ
• Theoretically it extends from -∞ to ∞.
σ
• Asymptotic to the horizontal axis
• Curve is symmetric about x = μ and is unimodal. μ
• Mean, median, mode are all equal and coincide at the
center of the curve about which the curve is symmetric.
Curve is unique for a particular pair of mean and stand. dev.

 = 10  = 10  = 10

=5  = 10  = 15

=5

 = 10
 = 15

=0

=5
 = 15
 = 10

 = 15
=5 =0
 Areas under the Normal Curve
• No matter what the values of  and  are for a normal
probability distribution:
 Approximately 68.27% of the area under the curve is
covered within 1 standard deviation on either side of mean.
– i.e., Approximately 68.27% of all the values lie within 1
standard deviation from the mean
– i.e., the probability that a normal variable will be within
1 standard deviation from its mean (on either side) is
approximately 0.6827.

 Approximately 95.45% of all the values lie within 2

 Approximately 99.73% of all the values lie within 3
 Areas under the Normal Curve

16% of area 16% of area 2.25% of area 2.25% of area

68% 95.5%
of area of area

1σ 1σ 2σ 2σ

.15% of area .15% of area

99.7%
of area

3σ 3σ
Area under normal curve
μ = 100
σ = 30

Area a

100 130
1σ = 30

μ = 60
σ = 35
Area b

60 95
1σ = 35
 Computing Normal Probabilities

a b
F(a) F(b)

• How to find P(a  x  b)?

• Evaluate the integral of f(x) from a to b.

• Alternatively, P(a  x  b) = F(b) – F(a). Area covered between a to b.

• Tables available in text books are useful.

• What about the parameters  and ?
• Do we need a separate table for each  and  combination?
• One table is enough for all.
• Convert any given normal distribution to Standard normal distribution
with mean=0; s.d =1
 Shifting of mean and standard deviation
X~N(10, σ)

(X+5)~N(15, σ)
(X-5)~N(5, σ)

=5  = 10  = 15

• Distribution shifts by a, if a is added to random variable X.

X/2~N(0, 5)

X~N(0, 10)
2X~N(0, 20)

=0

• Distribution shrinks or expands if X is multiplied by b.

Standard Normal Distribution
Z X

a-10  = 0 a  = 10

=1

 = 2 a/2 a
 Conversion process…..

X 
Transformation rule: Z

• Variable Z measures deviation from mean in units of
standard deviation.

• Z is called standardized variable and its value is called

standard score.
• Standard score gives us the number of standard deviations
a particular lies below or above the mean
Z=1.8 implies X=  +1.8 
• Meaning X is 1.8  to the right of mean in X- scale
NORMAL CURVE
MEAN = 
68.27% S.D = 

95.45%
-3 -2 -   2 3
99.73%

STANDARD
NORMAL MEAN=0
CURVE 68.27% S.D=1
95.45%
Z=0
-3 -2 -1 1 2 3
99.73%
 X

GIVEN MEAN=82, S.D =1.5

P[80.8  X  83.2]
 P[(80.8  82) / 1.5  Z  (83.2  82) / 1.5]
 P[ .8  Z  .8]
 Table of standard normal distribution (Z)
• Gives area under curve for +ve side only.(Between 0 to Z).

• For area on –ve side, find area on +ve side for the same
value (symmetric curve)

P(0  Z  1.20)= P(-1.20  Z  0)

0 z
Normal Tables
 Find area under the normal curve

1) P( 0  Z  1.2)

ANS: .3849

0 1.2
2) P( -.68  Z  0)

= P( 0  Z  .68)= .2518

3) P( -.46  Z  2.21)

-.46 2.21
P( -.46  Z  0) +P( 0 Z  2.21)
= .1772 + .4864 = .6636
4) P( .81  Z  1.94 )

.81 1.94

P( 0  Z  1.94) – P( 0  Z  .81)
=.4738 - .2910 = .1828
5) TO THE LEFT OF Z = - .6

=.5 - P(0  Z  .6)

ANS: .2743

-.6
6) TO THE RIGHT OF Z= -1.28

=.5 + P(0  Z  1.28)

ANS: .8997

-1.28
7) RIGHT OF Z= 2.05 AND LEFT OF Z= -1.44

-1.44 2.05

=1- P(-1.44  Z  2.05)

= 1-[P(0  Z  1.44)+ P(0  Z  2.05)]= .0951
Example:
• Daily cement production of a plant follows normal
distribution with mean of 50 tons and standard
deviation of 3.5 tons.
• On how many days in a year the production is expected
to exceed 55 tons.
•  =50,  =3.5
• X ~ N(50,3.5)
• z = (55-50)/3.5 = 1.43
• P(X  55) = P(Z  1.43)
= 0.0764
Ans = 365 x 0.0764 = 28 days
Example:
• A group of achievement scores are normally distributed
with a mean of 76 and a standard deviation of 4.
• If one score is randomly selected what is the probability
that it is at least 80.

 4

76 80

• Ans = 0.1587
Example:
• A bank manager has learnt that the length of time the
customers have to wait for being attended by the teller
is normally distributed with mean time of 5 minutes and
standard deviation of 0.8 minutes. Find the probabilities
that a customer has to wait:
• for less than 6 minutes
• for more than 3.5 minutes
• between 3.4 and 6.2 minutes

Solution:  = 5 min and  = 0.8 min, X ~ N(5, 0.8)

P(X ≤ 6) = P(Z ≤ 1.25) = 0.89435
P(X ≥ 3.5) = P(Z ≥ -1.875) = 0.9696
P(3.4 ≤ X ≤ 6.2) = 0.910443
Example:
• Time required to finish an exam is known to be
normally distributed with a mean of 60 Min. and a Std
Dev. of 12 minutes.
• How much time should be allowed in order for 90% of
the students to finish?

.9   12

60 x

Sol: 75.6
Example:
• The marks on a statistics test are normally distributed
with a mean of 62 and a variance of 225.
• The instructor wishes to assign ‘B’ or higher to the top
30% of the students in the class.
• Obtain minimum marks required to get a ‘B’ or higher?
•  = 62 and  = 15
• X~N(62, 15)
• P(X ≥ x) = 0.70, x= ?
• Z~N(0,1)
• Find z s.t. P(Z ≥ z)=.20
• Z=.53
• Now using the transformation rule x= +Z = 69.95 Approx
Example:
• Mensa is an organization whose members possess IQs that
are in top 2% of the population.
• It is known that IQs are normally distributed with a mean of
100 and a standard deviation of 16.
• Find the minimum IQ needed to be a Mensa member.

• Sol: 132.8