Probability

Chapter 7
COMMONLY USED
CONTINUOUS DISTRIBUTIONS
1. The Uniform Distribution 6. The Pareto Distribution
2. The Normal Distribution 7. The Weibull Distribution
3. The Exponential Distribution 8. The Beta Distribution
4. The Gamma Distribution 9. The Distribution of a Function
5. The Lognormal Distribution of a Random Variable
10. Mixed Distribution

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1. The Uniform Distribution

• We say that 𝑋 is a uniform random variable on the interval (𝑐, 𝑑) if
the probability density function of 𝑋 is given by

1
𝑓 𝑥 = 𝑑−𝑐 𝑖𝑓 𝑐 < 𝑥 < 𝑑
0 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

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1. The Uniform Distribution

• The distribution function of a uniform random variable on the interval
(𝑐, 𝑑) is given by

0 𝑖𝑓 𝑎 ≤ 𝑐
𝑎−𝑐
F 𝑎 = 𝑖𝑓 𝑐 < 𝑎 < 𝑑
𝑑−𝑐
1 𝑖𝑓 𝑑 ≤ 𝑎

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1. The Uniform Distribution

Expectation
𝑐+𝑑
𝐸 𝑋 =
2

Variance
2
𝑑−𝑐
𝑉𝑎𝑟 𝑋 =
12

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1. The Uniform Distribution

Example 7.1: If 𝑋 is uniformly distributed over (0, 10), calculate the
probability that
(a) 𝑋 < 3,
(b) 𝑋 > 6,
(c) 3 < 𝑋 < 8

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1. The Uniform Distribution

Example 7.2: Let 𝑇 be the time from birth until death of a randomly
selected member of a population. Assume that 𝑇 has a uniform
distribution on [0, 100].
(a) Find the probability density function and the distribution function of
𝑇
(b) Find the probability that we survive beyond age 72
(c) Find 𝐸(𝑇), 𝑉𝑎𝑟(𝑇)
(d) Find 𝑃(𝑇 > 55|𝑇 > 32)

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2. The Normal Distribution

• Let 𝑋 be a continuous random variable. We say that 𝑋 is a normal
random variable, or simply that 𝑋 is normally distributed, with
parameters 𝜇, and 𝜎 2 if the density of 𝑋 is given by

1 − 𝑥−𝜇 2 2𝜎 2
𝑓 𝑥 = 𝑒 −∞<𝑥 <∞
𝜎 2𝜋

This density function is a bell-shaped curve that is symmetric about μ.

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2. The Normal Distribution

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2. The Normal Distribution

• If 𝑋 is normally distributed with parameters 𝜇, and 𝜎 2 , then

𝑋−𝜇
𝑍=
𝜎

is normally distributed with parameters 0 and 1.

• 𝑍 is called a standard normal random variable.

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2. The Normal Distribution

• The density function of 𝑍 is

1 −𝑥 2 2
𝑓𝑍 𝑥 = 𝑒
2𝜋

−∞ < 𝑥 < ∞

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2. The Normal Distribution

• The cumulative distribution function of 𝑍

1 𝑥 −𝑦 2 2
𝐹𝑋 𝑥 = Ф 𝑥 = −∞
𝑒 𝑑𝑥
2𝜋

• Note:

 Ф −𝑥 = 1 − Ф 𝑥
 Ф 𝑥 ≈ 1 𝑤ℎ𝑒𝑛 𝑥 ≥ 4

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2. The Normal Distribution

Graphs of cumulative distribution function of 𝑍

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2. The Normal Distribution
Ф 1.96 = 0.975
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2. The Normal Distribution

Ф 𝑎 = 0.985. Find 𝑎?

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2. The Normal Distribution

• If 𝑋 is normally distributed with parameters 𝜇, and 𝜎 2

𝑋−𝜇 𝑎−𝜇 𝑎−𝜇 𝑎−𝜇

𝑃 𝑋≤𝑎 =𝑃 ≤ =𝑃 𝑍≤ =Ф
𝜎 𝜎 𝜎 𝜎

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2. The Normal Distribution

Example 7.3: 𝑋 is normally distributed with parameters 𝜇 = 25, and
𝜎 2 = 9. Find
a) P(22<X<28)
b) P(19<X)
c) P(X<26.5)
d) P(|X-25|<4.5)
e) P(|X-25|> 6)

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2. The Normal Distribution

Example 7.4: The national examination scores 𝑋 were normally
distributed with 𝜇 = 500, and 𝜎 2 = 1002 . Find the probability of a
score in the interval [600, 750].

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2. The Normal Distribution

Example 7.5: The lifetimes of light bulbs produced by a company are
normally distributed with mean 1500 hours and standard deviation
125 hours.
(a) What is the probability that a bulb will last at least 1400 hours?
(b) If 3 new bulbs are installed at the same time, what is the probability
that they will all still be burning after 1400 hours?

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2. The Normal Distribution

Example 7.6: A company manufactures engines. Specifications require
that the length of a certain rod in this engine be between 7.48 cm and
7.52 cm. The lengths of the rods produced by their supplier have a
normal distribution with a mean of 7.505 cm. and a standard deviation
of 0.01 cm.
(a) What is the probability that one of these rods meets these
specifications?
(b) If a worker selects 4 of these rods at random, what is the probability
that at least 3 of them meet these specifications?

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2. The Normal Distribution

Example 7.7: Let 𝑋 have a normal distribution with mean 25 and
unknown standard deviation. If 𝑃(𝑋 < 29.9) = 0.9192, what is 𝜎?

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2. The Normal Distribution

Normal Approximation to the Binomial Distribution
Consider 𝑋 a binomial random variable of parameters 𝑛, 𝑝 then we
know that
𝐸(𝑋) = 𝑛𝑝, 𝑉𝑎𝑟(𝑋) = 𝑛𝑝(1 − 𝑝)
When 𝑛𝑝 → ∞, it can be shown that 𝑋 can be approximated by a
normal random variable with 𝜇 = 𝑛𝑝 and 𝜎 2 = 𝑛𝑝(1 − 𝑝).

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2. The Normal Distribution

Example 7.8: If 10% of men are bald, what is the probability that fewer
than 100 in a random sample of 818 men are bald?

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3. The Exponential Distribution

• A continuous random variable whose probability density function is
given, for some λ > 0 by

−λ 𝑥
𝑓 𝑥 = λ𝑒 𝑖𝑓 𝑥 ≥ 0
0 𝑖𝑓 𝑥 < 0

is said to be an exponential random variable (or, more simply, is said to

be exponentially distributed) with parameter λ

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3. The Exponential Distribution

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3. The Exponential Distribution

• The cumulative distribution function 𝐹(𝑎) of an exponential random
variable is given by
𝑎

𝐹 𝑎 =𝑃 𝑋≤𝑎 = λ𝑒 −λ𝑥 𝑑𝑥 = 1 − 𝑒 −λ𝑎 (𝑎 > 0)

0

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3. The Exponential Distribution

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3. The Exponential Distribution

• Let 𝑋 be an exponential random variable with parameter λ, then we
have
1
𝐸 𝑋 =
λ
1
 𝑉𝑎𝑟 𝑋 =
λ2

• In practice, the exponential distribution often arises as the

distribution of the amount of time until some specific event occurs.

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3. The Exponential Distribution

Example 7.9: Suppose that the length of a phone call in minutes is an
1
exponential random variable with parameter λ = . If someone arrives
10
immediately ahead of you at a public telephone booth, find the
probability that you will have to wait
(a) more than 10 minutes;
(b) between 10 and 20 minutes.

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3. The Exponential Distribution

Example 7.10: A company is studying the reliability of a part in a
machine. The time 𝑇 (in hours) from installation to failure of the part is
a random variable. The study shows that 𝑇 follows an exponential
distribution with λ=0.001. Find
(a) The probability that a part fails within 100 hours
(b) 𝐸(𝑇), 𝑉𝑎𝑟(𝑇)
(c) 𝑃(𝑇 ≥ 150|𝑇 ≥ 100)
(d) 𝑃(𝑇 ≥ 𝑥 + 100 | 𝑇 ≥ 100), for 𝑥 ≥ 0

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3. The Exponential Distribution

Hazard Rate Functions
• Consider a positive continuous random variable 𝑋 that we interpret as
being the lifetime of some item. Let 𝑋 have distribution function 𝐹 and
density 𝑓. The hazard rate (sometimes called the failure rate) function λ(t)
of 𝐹 is defined by
𝑓(𝑡) 𝑓(𝑡)
λ(t) = =
1 − 𝐹(𝑡) 𝑆(𝑡)
• λ(t) represents the conditional probability intensity that a t-unit-old item
will fail.
• The failure rate function for the exponential distribution is constant λ. The
parameter λ is often referred to as the rate of the distribution.

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4. The Gamma Distribution

• The gamma function is defined for
∞
𝑛 > 0 by

Γ 𝑛 = 𝑥 𝑛−1 𝑒 −𝑥 𝑑𝑥
0
• For any positive integer 𝑛
Γ 𝑛 = 𝑛−1 !

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4. The Gamma Distribution

• The density function for the gamma distribution has two parameters
𝛼, 𝛽 > 0
𝛽𝛼
𝑓 𝑥 = 𝑥 𝛼−1 𝑒 −𝛽𝑥 for 𝑥 ≥ 0
Γ 𝛼
• The exponential distribution is a special case of the Gamma
distribution when 𝛼 = 1

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4. The Gamma Distribution

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Probability
in Probability

4. The Gamma Distribution

Example 7.11: A gamma distribution has parameters 𝛼 = 2, 𝛽 = 3. Find
(a) 𝐹(𝑥)
(b) 𝑃(0 ≤ 𝑋 ≤ 3)
(c) 𝑃(1 ≤ 𝑋 ≤ 2)

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4. The Gamma Distribution

• Let 𝑋1 , 𝑋2, … , 𝑋𝑛, be independent random variables, all of which have
the same exponential distribution with 𝑓 𝑥 = 𝛽𝑒 −𝛽𝑥 . Then the sum
𝑋1 + 𝑋2 + … + 𝑋𝑛 has a gamma distribution with parameters 𝛼 = n
and 𝛽.

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4. The Gamma Distribution

• If 𝑋~𝐺𝑎𝑚𝑚𝑎 𝛼, 𝛽 then

𝛼
𝐸 𝑋 =
𝛽

𝛼
𝑉𝑎𝑟 𝑋 =
𝛽2

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4. The Gamma Distribution

Example 7.12: At a dangerous intersection accidents occur at a rate of
2.5 per month, and the time between accidents is exponentially
distributed. Let 𝑇 be the random variable for the waiting time from the
beginning of observation until the third accident. Find 𝐸(𝑇) and
𝑉𝑎𝑟(𝑇).

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5. The Lognormal Distribution

• If 𝑋 is a normal random variable with mean μ, and variance 𝜎 2 , then
the random variable
𝑌 = 𝑒𝑋
is said to be a lognormal random variable with parameters μ, and 𝜎 2 .
• Thus, a random variable 𝑌 is lognormal if log(𝑌) is a normal random
variable.

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5. The Lognormal Distribution

The density function of 𝒀

1 𝑙𝑛𝑦−𝜇 2
1 −
𝑓 𝑦 = 𝑒 2 𝜎 for 𝑦 ≥ 0
𝜎𝑦 2𝜋

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5. The Lognormal Distribution

The cumulative distribution function
• The cumulative distribution function can be found directly from the
cumulative distribution for the normally distributed exponent 𝑋.

𝐹𝑌 𝑐 = 𝑃 𝑌 ≤ 𝑐 = 𝑃 𝑒 𝑋 ≤ 𝑐 = 𝑃 𝑋 ≤ 𝑙𝑛𝑐 = 𝐹𝑋 𝑙𝑛𝑐

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5. The Lognormal Distribution

If 𝑌 is a lognormal random variable with parameters μ and 𝜎 2 then
𝜎2
𝜇+
𝐸 𝑌 = 𝑒 2

2𝜇+𝜎 2 𝜎2
𝑉𝑎𝑟 𝑌 = 𝑒 𝑒 −1

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5. The Lognormal Distribution

Applications
• If 𝑆𝑛 is the price of some security at the end of day n, then it is often
𝑆𝑛
supposed that is a lognormal random variable.
𝑆𝑛−1
• The lognormal distribution is also used as a model for claim severity
(monetary loss of an insurance claim) in insurance

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5. The Lognormal Distribution

Example 7.13: The claim severity random variable for an insurance
company is lognormal, and the normally distributed exponent has
mean 6.8 and standard deviation 0.6. What is the probability that a
claim is greater than $1750?

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6. The Pareto Distribution

Pareto Density Function (Constants 𝜶 and 𝜷)
𝛼+1
𝛼 𝛽
𝑓 𝑥 = 𝛼 > 2, 𝑥 ≥ 𝛽 > 0
𝛽 𝑥
The Pareto density function can be defined for 𝛼 > 0 but the
restriction that 𝛼 > 2 guarantees the existence ofthe mean and
variance

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6. The Pareto Distribution

Pareto Cumulative Distribution Function (Parameters 𝜶 and 𝜷)
𝛽 𝛼
𝐹 𝑥 =1− 𝛼 > 2, 𝑥 ≥ 𝛽 > 0
𝑥

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6. The Pareto Distribution

Pareto Distribution Mean and Variance (Parameters 𝜶 and 𝜷)
𝛼𝛽
𝐸 𝑋 =
𝛼−1

𝛼𝛽 2 𝛼𝛽 2
𝑉𝑎𝑟 𝑋 = −
𝛼−2 𝛼−1

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6. The Pareto Distribution

Example 7.14: For the Pareto random variable with 𝛼 = 3.5 and 𝛽 = 4,
find
(a) 𝐸(𝑋)
(b) 𝑉𝑎𝑟(𝑋)
(c) the median of 𝑋
(d) 𝑃(6 ≤ 𝑋 ≤ 12)

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7. The Weibull Distribution

• Researchers who study units that fail or die often like to think in
terms of the failure rate. They might decide to use an exponential
distribution model if they believe the failure rate is constant. If they
believe that the failure rate increases with time or age, then the
Weibull distribution can provide a useful model.

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7. The Weibull Distribution

The Density Function (Parameters 𝜶 > 𝟎 and 𝜷 > 𝟎)

𝛼−1 −𝛽𝑥 𝛼
𝑓 𝑥 = 𝛼𝛽𝑥 𝑒 , for 𝑥 ≥ 0

• The exponential distribution is a special case of the Weibull

distribution with 𝛼 = 1.

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7. The Weibull Distribution

The Cumulative Distribution Function (Parameters 𝜶 > 𝟎 and 𝜷 > 𝟎)

−𝛽𝑥 𝛼
𝐹 𝑥 =1−𝑒 , for 𝑥 ≥ 0

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7. The Weibull Distribution

The Mean and Variance of the Weibull Distribution
1
Γ 1+
𝐸 𝑋 = 1
𝛼

𝛽𝛼

1 2 1 2
𝑉𝑎𝑟 𝑋 = 2 Γ 1+ −Γ 1+
𝛼 𝛼
𝛽𝛼

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7. The Weibull Distribution

Example 7.15: For the Weibull random variable 𝑋 with 𝛼 = 2 and 𝛽 = 3.5,
find
(a) 𝐸(𝑋)
(b) 𝑉𝑎𝑟(𝑋)
(c) 𝑃(0.25 ≤ 𝑋 ≤ 0.75)

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8. The Beta Distribution

Example 7.16: The beta distribution can be used to model random
variables whose outcomes are percents ranging from 0% to 100% and
written in decimal form. It can be applied to study the percent of
defective units in a manufacturing process, the percent of errors made
in data entry, the percent of clients satisfied with their service, and
similar variables.

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8. The Beta Distribution

• Beta Density Function (Parameters 𝜶 > 𝟎 and 𝜷 > 𝟎)
Γ 𝛼+𝛽
𝑓 𝑥 = 𝑥 𝛼−1 1 − 𝑥 𝛽−1
for 0 < 𝑥 < 1
Γ 𝛼 .Γ 𝛽

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8. The Beta Distribution

Example 7.17: A management firm handles investment accounts for a
large number of clients. The percent of clients who telephone the firm
for information or services in a given month is a beta random variable
with 𝛼 = 4 and 𝛽 = 3. Find the density function and the cumulative
distribution function of 𝑋

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8. The Beta Distribution

Beta Distribution Mean and Variance
𝛼
𝐸 𝑋 =
𝛼+𝛽

𝛼𝛽
𝑉𝑎𝑟 𝑋 =
𝛼+𝛽 2 𝛼+𝛽+1

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9. The Distribution of a Function of a Random Variable

• Suppose that we know the distribution of 𝑋 and want to find the
distribution of 𝑔(𝑋). To do so, it is necessary to express the event
that 𝑔(𝑋) ≤ 𝑦 in terms of 𝑋 being in some set.

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9. The Distribution of a Function of a Random Variable

Example 7.18: Let 𝑋 be uniformly distributed over (0, 1). Find the
distribution of the random variable 𝑌 = 𝑋𝑛

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9. The Distribution of a Function of a Random Variable

Example 7.19: Let 𝑋 be a continuous random variable with probability
density 𝑓𝑥 , find the distribution of 𝑌 = 𝑋2

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9. The Distribution of a Function of a Random Variable

Example 7.20: Let 𝑋 be a continuous random variable with probability
density 𝑓𝑥, find the distribution of 𝑌 = |𝑋|

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9. The Distribution of a Function of a Random Variable

Let 𝑋 be a continuous random variable having probability density
function 𝑓𝑥 . Suppose that 𝑔(𝑥) is a strictly monotonic (increasing or
decreasing), differentiable (and thus continuous) function of 𝑥. Then
the random variable 𝑌 defined by 𝑌 = 𝑔(𝑋) has a probability density
function given by
−1
𝑑 −1
𝑓𝑋 𝑥 𝑔 𝑦 𝑔 𝑦 𝑖𝑓 𝑦 = 𝑔 𝑥 𝑓𝑜𝑟 𝑠𝑜𝑚𝑒 𝑥
𝑓𝑌 𝑦 = 𝑑𝑦
0 𝑖𝑓 𝑦 ≠ 𝑔 𝑥 𝑓𝑜𝑟 𝑎𝑙𝑙 𝑥

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9. The Distribution of a Function of a Random Variable

Example 7.21: Let 𝑋 be a continuous nonnegative random variable with
density function 𝑓, and let 𝑌 = 𝑋𝑛. Find 𝑓𝑦, the probability density
function of 𝑌.

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10. Mixed Distribution

Example 7.22: When a new part is selected for installation, the part is
first inspected. The probability that a part fails the inspection and is not
used is 0.01. If a part passes inspection and is used, its lifetime is
exponential with mean 100. Find the probability distribution of 𝑇, the
lifetime of a randomly selected part and calculate 𝐸(𝑇)

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