Chapter - 6

6. Common continuous probability distributions and their properties

The normal curve and uniform distributions are part of a family of distributions that we
call continuous probability distributions.
1. Continuous Probability Distribution – The values that the data takes on is now
continuous. The probability of any single point is 0. We find the probability of some event
occurring given an interval.
2. Probability Density Function (pdf) – This is the actual distribution we deal with. It is
specific to a particular type of distribution. We denote it 𝑓(𝑥); this is the same thing that is
called a density curve. The function just summarizes the curve.
Properties:
a. The total area under the curve is 100% = 1.
b. The total range of values is the horizontal axis.
c. The median still gives us the 50% point and the mean defines where the balance
point of the curve would be (i.e. think of it as the middle of the probability density).
6.1. Normal distribution:
 It is the most popular and the most commonly used distribution.
 It is a continuous, symmetric, and bell shaped distribution of a variable.
A random variable X is said to have a normal distribution if its probability density
function is given by
1 𝑥−𝜇 2
1 − ( )
𝑓(𝑥) = 𝑒 2 𝜎 , − ∞ < 𝑥 < ∞, − ∞ < 𝜇 < ∞, 𝜎 > 0.
√2𝜋 𝜎

𝑊ℎ𝑒𝑟𝑒: 𝜇 = 𝐸(𝑋) 𝑎𝑛𝑑 𝜎 2 = Var(X) =≫ 𝑋~𝑁(𝜇, 𝜎 2 ).

Properties of normal distribution

1) A normal distribution curve is bell-shaped.
2) The curve is symmetric about the mean, which is equivalent to saying that its shape is
the same on both sides of a vertical line passing through the center 𝑖. 𝑒. 𝑎𝑡 𝑥 = 𝜇.
3) The curve is continuous; that is, there are no gaps or holes. For each value of X, there
is a corresponding value of Y.
4) A normal distribution curve is unimodal (i.e., it has only one mode).

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 5) The curve never touches the x axis. Theoretically, no matter how far in either direction
the curve extends, it never meets the x axis—but it gets increasingly closer.
6) The mean, median, and mode are equal and are located at the center of the distribution.
7) The total area under a normal distribution curve is equal to 𝟏. 𝟎𝟎, 𝒐𝒓 𝟏𝟎𝟎%.
∞
⇒ ∫−∞ 𝑓(𝑥)𝑑𝑥 = 1.

area=0.5 area=0.5

x=𝜇

Remarks: The probability that a random variable will have a value between any two points
is equal to the area under the curve between those points.
For example: As the normal distribution curve is a continuous distribution, the probability
that "X" lies between "a" and "b" can be calculated by finding the area under the curve
between the values "a" and "b". i.e.

𝑓(𝑥)

𝑃 (𝑎 < 𝑋 < 𝑏) = 𝑺𝒉𝒂𝒅𝒆𝒅 𝒂𝒓𝒆𝒂. a b

1 𝑥−𝜇 2
𝑏 𝑏 1 − ( )
=≫ 𝑃 (𝑎 < 𝑋 < 𝑏) = ∫𝑎 𝑓(𝑥)𝑑𝑥 = ∫𝑎 𝑒 2 𝜎 𝑑𝑥.
√2𝜋 𝜎

 But, evaluating this integral is very tedious to compute, therefore to overcome this
problem, we standardize the value and we use the table of standard normal distribution to
compute the probabilities.
Standard Normal Distribution
The symmetrical property of the normal distribution provides a means that is helpful in
calculating probabilities, which is also facilitated by transforming any normal distribution
with any mean and variance to the standard normal distribution.
By standardization we mean that the random variable X will be transformed to another
random variable whose mean is 0 and variance is 1. The normal distribution with zero mean
and standard deviation one is known as standard normal distribution.
If X has normal distribution with mean 𝝁 and standard deviation 𝝈, then the
standard normal distribution Z is given by

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 𝑿−𝝁
𝒁 = 𝑖. 𝑒. 𝑍~𝑁(0,1) => 𝐸(𝑍) = 0 𝑎𝑛𝑑 𝑉𝑎𝑟(𝑍) = 1.
𝝈
1
1 (𝑧)2
𝑇ℎ𝑢𝑠, 𝑡ℎ𝑒 𝑝𝑑𝑓 𝑜𝑓 𝑍 is given by: 𝑓(𝑧) = 𝑒 −2 ; −∞ < 𝑧 < ∞.
√2𝜋
𝑧
The entries in Table E of the Appendix are the values of 𝑃 (0 < 𝑍 < 𝑧) = ∫0 𝑓(𝑧)𝑑𝑧. That is, the
table gives us the probabilities that a random variable Z having the standard normal distribution
will take on a value on the interval from 0 𝑡𝑜 𝑧, 𝑓𝑜𝑟 𝑧 = 0.00, 0.01, 0.02, … ,3.98, 𝑎𝑛𝑑 3.99; due
to the symmetrical property of the normal curve with respect to its mean, it is unnecessary to
extend the table for negative values of Z.
Note that: 𝑃 (𝑍 > 0) = 𝑃 (𝑍 < 0) = 0.5.
 Areas under the standard normal distribution curve have been tabulated in various ways.

The most common ones are the areas between: 𝑍 = 0 𝑎𝑛𝑑 𝑎 𝑝𝑜𝑠𝑖𝑡𝑖𝑣𝑒 𝑣𝑎𝑙𝑢𝑒 𝑜𝑓 𝑧. i.e.
1
𝑧 𝑧 1 (𝑧)2
𝑃 (0 < 𝑍 < 𝑧) = ∫0 𝑓(𝑧)𝑑𝑧 = ∫0 𝑒 −2 𝑑𝑧 = 𝑺𝒉𝒂𝒅𝒆𝒅 𝒂𝒓𝒆𝒂.
√2𝜋

𝑎𝑟𝑒𝑎 = 𝑃 (0 < 𝑍 < 𝑧)

 Given a normally distributed random variable "X" 𝑤𝑖𝑡ℎ 𝒎𝒆𝒂𝒏 (𝝁) 𝑎𝑛𝑑 𝒔. 𝒅 (𝝈), Then
𝑎−𝜇 𝑋−𝜇 𝑏−𝜇 𝑎−𝜇 𝑏−𝜇
𝑃 (𝑎 < 𝑋 < 𝑏) = 𝑃 ( < < ) = 𝑃( <𝑍< ) = 𝑃(𝑧1 < 𝑍 < 𝑧2 ) =
𝜎 𝜎 𝜎 𝜎 𝜎
𝐴𝑟𝑒𝑎.

Application of the Standard Normal Distribution

Let ~𝑁(𝜇, 𝜎 2 ). Suppose that we want to find the probability 𝑃(𝑎 < 𝑋 < 𝑏).
Since 𝑎, 𝑏, 𝜇 , 𝑎𝑛𝑑 𝜎 are known (given), we standardize 𝑎, 𝑏 𝑎𝑛𝑑 𝑋 𝑎𝑠:
𝑎−𝜇 𝑋−𝜇 𝑏−𝜇 𝑎−𝜇 𝑏−𝜇
𝑃 (𝑎 < 𝑋 < 𝑏) = 𝑃 ( < < ) = 𝑃( <𝑍< ) = 𝑃(𝑧1 < 𝑍 < 𝑧2 ) =
𝜎 𝜎 𝜎 𝜎 𝜎

𝐴𝑟𝑒𝑎.
Also, we can find the following one-sided probabilities:
𝑋−𝜇 𝑎−𝜇 𝑋−𝜇 𝑏−𝜇
𝑃 (𝑋 > 𝑎) = 𝑃 ( 𝜎
> 𝜎
) = 𝑃(𝑍 > 𝑧1 ) ; and 𝑃 (𝑋 < 𝑏) = 𝑃 ( 𝜎
< 𝜎
) = 𝑃(𝑍 < 𝑧2 ) =

𝐴𝑟𝑒𝑎.
We have seen that a Z- value measures the distance between a particular value of
X and the mean in units of standard deviation.

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 Procedure to find the area under the standard normal distribution curve
1. Draw the standard normal distribution curve (picture).
2. Shade the area desired.
3. Find the correct figures from the standard normal table.
4. Follow the direction.
Note: The table gives the areas between 0 and any z value to the right of 0, and
all areas are positive.
Example: Find the area under the standard normal distribution which lies.

a. 𝑏𝑒𝑡𝑤𝑒𝑒𝑛 𝑍 = 0 & 𝑍 = 0.96.

𝐴𝑟𝑒𝑎 = 𝑃 (0 < 𝑍 < 0.96) =?

=> 𝑃 (0 < 𝑍 < 0.96) = 0.3315.

b. 𝐵𝑒𝑡𝑤𝑒𝑒𝑛 𝑍 = −1.45 & 𝑍 = 0.
𝐴𝑟𝑒𝑎 = 𝑃 (−1.45 < 𝑍 < 0) =?

=> 𝑃 (−1.45 < 𝑍 < 0) = 𝑃 (0 < 𝑍 < 1.45) = 0.4265.

𝐵𝑒𝑐𝑎𝑢𝑠𝑒 𝑜𝑓 𝑠𝑦𝑚𝑚𝑒𝑡𝑟𝑖𝑐
c. 𝑇ℎ𝑒 𝑎𝑟𝑒𝑎 𝑡𝑜 𝑡ℎ𝑒 𝑟𝑖𝑔ℎ𝑡 𝑜𝑓 𝑍 = 1.91.
𝐴𝑟𝑒𝑎 = 𝑃 (𝑍 > 1.91) =?

=> 𝑃 (𝑍 > 1.91) = 0.5 − 𝑃 (0 < 𝑍 < 1.91) = 0.5 − 0.4719 = 0.0281.

d. 𝑇ℎ𝑒 𝑎𝑟𝑒𝑎 𝑡𝑜 𝑡ℎ𝑒 𝑙𝑒𝑓𝑡 𝑜𝑓 𝑍 = −0.35.

𝐴𝑟𝑒𝑎 = 𝑃 (𝑍 < −0.35) =?

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 => 𝑃 (𝑍 < −0.35) = 𝑃 (𝑍 > 0.35)
= 0.5 − 𝑃 (0 < 𝑍 < 0.35)
= 0.5 − 0.1368 = 0.3632.

e. 𝑇ℎ𝑒 𝑎𝑟𝑒𝑎 𝑡𝑜 𝑡ℎ𝑒 𝑟𝑖𝑔ℎ𝑡 𝑜𝑓 𝑍 = −0.35.

𝐴𝑟𝑒𝑎 = 𝑃 (𝑍 > −0.35) =?

=> 𝑃 (𝑍 > −0.35)

= 𝑃 (−0.35 < 𝑍 < 0) + 𝑃(𝑍 > 0)
= 𝑃 (0 < 𝑍 < 0.35) + 0.5
= 0.1368 + 0.5 = 0.6368.
f. 𝐵𝑒𝑡𝑤𝑒𝑒𝑛 𝑍 = −0.67 & 𝑍 = 0.75.
𝐴𝑟𝑒𝑎 = 𝑃 (−0.67 < 𝑍 < 0.75) =?

=> 𝑃 (−0.67 < 𝑍 < 0.75) = 𝑃 (−0.67 < 𝑍 < 0) + 𝑃 (0 < 𝑍 < 0.75)
= 𝑃 (0 < 𝑍 < 0.67) + 𝑃 (0 < 𝑍 < 0.75)
= 0.2486 + 0.2734 = 0.522.
𝑠𝑖𝑛𝑐𝑒 𝑃 (−0.67 < 𝑍 < 0)
= 𝑃 (0 < 𝑍 < 0.67).
𝐵/𝑐 𝑡ℎ𝑒𝑦 𝑎𝑟𝑒 𝑠𝑦𝑚𝑚𝑒𝑡𝑟𝑖𝑐.
g. 𝐵𝑒𝑡𝑤𝑒𝑒𝑛 𝑍 = 2.13 𝑎𝑛𝑑 𝑍 = 2.94.
𝐴𝑟𝑒𝑎 = 𝑃 (2.13 < 𝑍 < 2.94) =?

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 => 𝑃 (2.13 < 𝑍 < 2.94)
= 𝑃 (0 < 𝑍 < 2.94) − 𝑃 (0 < 𝑍 < 2.13)
= 0.4984 − 0.4834 = 0.015.Example 2: Find Z if
a) The normal curve area between 0 and z (positive) is 0.4726.
Solution: 𝑃(0 < 𝑍 < 𝑧) = 0.4726 𝑎𝑛𝑑 𝑓𝑟𝑜𝑚 𝑡ℎ𝑒 𝑡𝑎𝑏𝑙𝑒
𝑃(0 < 𝑍 < 1.92) = 0.4726 => 𝑧 = 1.92.

b) The normal curve area to the left of Z is equal to 0.9868.

Solution: 𝑃 (𝑍 < 𝑧) = 𝑃 (𝑍 < 0) + 𝑃 (0 < 𝑍 < 𝑧) = 0.9868.
= 0.5 + 𝑃 (0 < 𝑍 < 𝑧) = 0.9868.
=> 𝑃 (0 < 𝑍 < 𝑧) = 0.9868 − 0.5 = 0.4868.
𝑎𝑛𝑑 𝑓𝑟𝑜𝑚 𝑡ℎ𝑒 𝑡𝑎𝑏𝑙𝑒 𝑃 (0 < 𝑍 < 2.22) = 0.4868. => 𝑧 = 2.22.
Example 3: A random variable x has a normal distribution with mean 80 and standard
deviation 4.8. What is the probability that it will take a value:
a. Less than 87.2? b. Greater than 76.4? c. Between 81.2 and 86.0?
d. less than 70? e. between 70 and 75? f. Between 75 and 85?
Solution: 𝑋 ~ 𝑁 (𝜇, 𝜎 2 ) => 𝑋 ~ 𝑁 (80, 23.04).
𝑋−𝜇 87.2−80
a. 𝑃(𝑋 < 87.2) =? => 𝑃 ( < ) = 𝑃(𝑍 < 1.5) = 𝑃 (𝑍 < 0) + 𝑃(0 < 𝑍 < 1.5)
𝜎 4.8

= 0.5 + 0.4332 = 0.9332.

b. 𝑃 (𝑋 > 76.4) =?
𝑋−𝜇 76.4−80
= 𝑃( > ) = 𝑃(𝑍 > −0.75) = 𝑃(−0.75 < 𝑍 < 0) + 𝑃 (𝑍 > 0)
𝜎 4.8

= 𝑃(0 < 𝑍 < 0.75) + 𝑃 (𝑍 > 0) = 0.2734 + 0.5 = 0.7734.

c. 𝑃(81.2 < 𝑋 < 86.0) =?
8.12−80 𝑋−𝜇 86−80 8.12−80 86−80
= 𝑃( < < ) = 𝑃( <𝑍< )=
4.8 𝜎 4.8 4.8 4.8

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 = 𝑃 (0.25 < 𝑍 < 1.25) = 𝑃 (0 < 𝑍 < 1.25) – 𝑃 (0 < 𝑍 < 0.25)
= 0.3944 − 0.0987 = 0.2957.
d. 𝑃 (𝑋 < 70) =?
𝑋−𝜇 70−80
= 𝑃( < ) = 𝑃(𝑍 < −2.08) = 𝑃(𝑍 > 2.08) = 𝑃 (𝑍 > 0) − 𝑃(0 < 𝑍 < 2.08)
𝜎 4.8

= 0.5 − 0.4812 = 0.0188.

e. 𝑃(70 < 𝑋 < 75) =?
70−80 𝑋−𝜇 75−80 70−80 75−80
= 𝑃( < < ) = 𝑃( <𝑍< )
4.8 𝜎 4.8 4.8 4.8

= 𝑃 (−2.08 < 𝑍 < −1.04) = 𝑃 (1.04 < 𝑍 < 2.08)

= 𝑃 (0 < 𝑍 < 2.08) − 𝑃 (0 < 𝑍 < 1.04)
= 0.4812 − 0.3508 = 0.1304.
f. 𝑃(75 < 𝑋 < 85) =?
75−80 𝑋−𝜇 85−80 75−80 85−80
= 𝑃( < < ) = 𝑃( <𝑍< )
4.8 𝜎 4.8 4.8 4.8

= 𝑃 (−1.04 < 𝑍 < 1.04) = 𝑃 (−1.04 < 𝑍 < 0) + 𝑃 (0 < 𝑍 < 1.04)
= 𝑃 (0 < 𝑍 < 1.04) + 𝑃 (0 < 𝑍 < 1.04) = 2 𝑃 (0 < 𝑍 < 1.04)
= 2 𝑥 0.3508 = 0.7016.
Example 4: A normal distribution has mean 62.4, find its standard deviation if 20.05% of the area
under the normal curve lies to the right of 72.9.
Solution : 𝑋~ 𝑁(62.4, 𝜎 2 ) ; 𝐺𝑖𝑣𝑒𝑛: 𝑃(𝑋 > 72.9) = 0.2005 ; 𝜎 =?
𝑋−𝜇 72.9−62.4
=> 𝑃 ( > ) = 0.2005
𝜎 𝜎

72.9 − 62.4 72.9 − 62.4

=> 𝑃 (𝑍 > ) = 0.2005 ; 𝐿𝑒𝑡 𝑧 = .
𝜎 𝜎
=> 𝑃 (𝑍 > 𝑧) = 0.2005
=> 𝑃 (𝑍 > 0) − 𝑃 (0 < 𝑍 < 𝑧) = 0.2005
=> 0.5 − 𝑃 (0 < 𝑍 < 𝑧) = 0.2005
=> 𝑃 (0 < 𝑍 < 𝑧) = 0.5 − 0.2005 = 0.2995
𝑎𝑛𝑑 𝑓𝑟𝑜𝑚 𝑡ℎ𝑒 𝑡𝑎𝑏𝑙𝑒 𝑃 (0 < 𝑍 < 0.84) = 0.2995 => 𝑧 = 0.84.
72.9−62.4
𝑅𝑒𝑐𝑎𝑙𝑙: 𝑧= 𝜎
72.9−62.4
=> 0.84 = 𝜎

=> 𝜎 = (72.9 − 62.4)/0.84 = 10.5/0.84 = 12.5.

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Exercise: A random variable has a normal distribution with standard deviation 5. Find it’s mean
if the probability that the random variable will assume a value less than 52.5 is 0.6915.
Ans : 𝜇 = 50.

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