Exercise Probability

4
Continuous Random
Variables and
Probability
Distributions
CHAPTER OUTLINE
4-1 Continuous Random Variables 4-7 Normal Approximation to the
4-2 Probability Distributions and Binomial and Poisson Distributions
Probability Density Functions 4-8 Exponential Distribution
4-3 Cumulative Distribution Functions 4-9 Erlang and Gamma Distributions
4-4 Mean and Variance of a 4-10 Weibull Distribution
Continuous Random Variable 4-11 Lognormal Distribution
4-5 Continuous Uniform Distribution 4-12 Beta Distribution
4-6 Normal Distribution
Chapter 4 Title and Outline

1
Learning Objectives for Chapter 4
After careful study of this chapter, you should be able to do the following:
1. Determine probabilities from probability density functions.
2. Determine probabilities from cumulative distribution functions, and cumulative
distribution functions from probability density functions, and the reverse.
3. Calculate means and variances for continuous random variables.
4. Understand the assumptions for some common continuous probability
distributions.
5. Select an appropriate continuous probability distribution to calculate
probabilities for specific applications.
6. Calculate probabilities, determine means and variances for some common
continuous probability distributions.
7. Standardize normal random variables.
8. Use the table for the cumulative distribution function of a standard normal
distribution to calculate probabilities.
9. Approximate probabilities for some binomial and Poisson distributions.
Chapter 4 Learning Objectives 2

© John Wiley & Sons, Inc. Applied Statistics and Probability for Engineers, by Montgomery and Runger.
Continuous Random Variables
The dimensional length of a manufactured part is
subject to small variations in measurement due
to vibrations, temperature fluctuations, operator
differences, calibration, cutting tool wear, bearing
wear, and raw material changes.
This length X would be a continuous random
variable that would occur in an interval (finite or
infinite) of real numbers.
The number of possible values of X, in that interval,
is uncountably infinite and limited only by the
precision of the measurement instrument.
Sec 4-1 Continuos Radom Variables 3
Continuous Density Functions
Density functions, in contrast to mass functions,
distribute probability continuously along an interval.
The loading on the beam between points a & b is the
integral of the function between points a & b.
Figure 4-1 Density function as a loading on a long, thin

beam. Most of the load occurs at the larger values of x.
Sec 4-2 Probability Distributions & Probability Density Functions 4

A probability density function f(x) describes the
probability distribution of a continuous random
variable. It is analogous to the beam loading.
Figure 4-2 Probability is determined from the area under f(x) from a to b.

Probability Density Function
For a continuous random variable X ,
a probability density function is a function such that
(1) f  x  0 means that the function is always non-negative.


(2) 

f ( x)dx  1
b
(3) P  a  X  b    f  x  dx  area under f  x  dx from a to b
a
(4) f  x  0 means there is no area exactly at x.

Histograms
A histogram is graphical display of data showing a series of adjacent
rectangles. Each rectangle has a base which represents an interval of
data values. The height of the rectangle creates an area which
represents the relative frequency associated with the values included
in the base.
A continuous probability distribution f(x) is a model approximating a
histogram. A bar has the same area of the integral of those limits.
Figure 4-3 Histogram approximates a probability density function.

Area of a Point
If X is a continuous random variable, for any x1 and x2 ,
P  x1  X  x2   P  x1  X  x2   P  x1  X  x2   P  x1  X  x2  (4-2)
which implies that P  X  x   0.
From another perspective:

As x1 approaches x2 , the area or probability becomes smaller and smaller.
As x1 becomes x2 , the area or probability becomes zero.

Example 4-1: Electric Current
Let the continuous random variable X denote the
current measured in a thin copper wire in
milliamperes (mA). Assume that the range of X is 0 ≤
x ≤ 20 and f(x) = 0.05. What is the probability that a
current is less than 10mA?
Answer:
10
P  X  10    0.5dx  0.5
0
Another example,
20
P  5  X  20    0.5dx  0.75 Figure 4-4 P(X < 10) illustrated.
5

Example 4-2: Hole Diameter
Let the continuous random variable X denote the diameter of a
hole drilled in a sheet metal component. The target diameter
is 12.5 mm. Random disturbances to the process result in
larger diameters. Historical data shows that the distribution
of X can be modeled by f(x)= 20e-20(x-12.5), x ≥ 12.5 mm. If a
part with a diameter larger than 12.60 mm is scrapped, what
proportion of parts is scrapped?
Answer:

Figure 4-5 P  X  12.60    20e 20 x 12.5 dx  0.135
12.6
Cumulative Distribution Functions
The cumulative distribution function

of a continuous random variable X is,
x
F  x  P  X  x   f  u  du for    x   (4-3)

Sec 4-3 Cumulative Distribution Functions 11

For the copper wire current measurement in
Exercise 4-1, the cumulative distribution
function (CDF) consists of three expressions to
cover the entire real number line.
0 x <0
F (x ) = 0.05x 0 ≤ x ≤ 20
1 20 < x
Figure 4-6 This graph shows the CDF as

a continuous function.
For the drilling operation in Example 4-2, F(x) consists
of two expressions. This shows the proper notation.
F  x  0 for x  12.5
x
F  x   20e 20u 12.5 du
12.5
 1  e 20 x 12.5 for x  12.5
Figure 4-7 This graph shows F(x)

as a continuous function.

Density vs. Cumulative Functions
• The probability density function (PDF) is the
derivative of the cumulative distribution
function (CDF).
• The cumulative distribution function (CDF) is
the integral of the probability density function
(PDF).
dF  x 
Given F  x  , f  x   as long as the derivative exists.
dx

Exercise 4-5: Reaction Time
• The time until a chemical reaction is complete (in
milliseconds, ms) is approximated by this CDF:
F  x 
0
1 e 0.01x 
for x  0
for 0  x
• What is the PDF?
f  x 
dF  x 

dx
d  0

0 for x  0
1  e0.01x 0.01e0.01x for 0  x
dx  
• What proportion of reactions is complete within 200
ms?

P X  200  F 200  1  e2  0.8647   
Mean & Variance
Suppose X is a continuous random variable with
probability density function f  x  . The mean or
expected value of X , denoted as  or E  X  , is

  EX    xf  x  dx (4-4)

The variance of X , denoted as V  X  or  2 , is

 
 2  V  X    x    f  x  dx   x 2 f  x  dx   2
2
 
The standard deviation of X is    2 .
Sec 4-4 Mean & Variance of a Continuous Random Variable 16

For the copper wire current measurement in
Exercise 4-1, the PDF is f(x) = 0.05 for 0 ≤ x ≤
20. Find the mean and variance.
20 2 20
0.05 x
E  X    x  f  x  dx   10
0
2 0
3 20
20
0.05  x  10 
V X     x  10  f  x  dx   33.33
2
0
3
0

Mean of a Function of a Random Variable
If X is a continuous random variable
with a probability density function f  x  ,

E  h  x     h  x  f  x  dx (4-5)

Example 4-7: In Example 4-1, X is the current measured in

mA. What is the expected value of the squared current?
20
E  h  x    E  X 2    x 2 f  x  dx
0
20 3 20
0.05 x
  0.05 x dx  2
 133.33 mA 2
0
3 0
For the drilling operation in Example 4-2, find the
mean and variance of X using integration by
parts. Recall that f(x) = 20e-20(x-12.5)dx for x ≥ 12.5.
 
EX    xf  x  dx   x 20e 20 x 12.5 dx
12.5 12.5

20 x 12.5 
20 x 12.5  e
  xe   12.5  0.05  12.55 mm
20 12.5

V X     x  12.55 f  x  dx  0.0025 mm 2 and   0.05 mm
2
12.5

Continuous Uniform Distribution
• This is the simplest continuous distribution
and analogous to its discrete counterpart.
• A continuous random variable X with
probability density function
f(x) = 1 / (b-a) for a ≤ x ≤ b (4-6)
Figure 4-8 Continuous uniform PDF

Sec 4-5 Continuous Uniform Distribution 20
Mean & Variance
• Mean & variance are:
 a  b  b  a
2
  EX   and  V X 
2
 (4-7)
2 12
• Derivations are shown in the text. Be

reminded that b2 - a2 = (b + a)(b - a)

Example 4-9: Uniform Current
Let the continuous random variable X denote the
current measured in a thin copper wire in mA. Recall
that the PDF is F(x) = 0.05 for 0 ≤ x ≤ 20.
What is the probability that the current measurement
is between 5 & 10 mA?
10
P  5  x  10    0.05dx  5  0.05   0.25
5
Figure 4-9
Continuous Uniform CDF
xa
x
1
F  x   du 
a 
b  a ba
The CDF is completely described as
0 xa
F  x    x  a   b  a  a  x  b
1 bx
Figure 4-6 (again) Graph of the Cumulative Uniform CDF

Normal Distribution
• The most widely used distribution is the normal
distribution, also known as the Gaussian distribution.
• Random variation of many physical measurements are
normally distributed.
• The location and spread of the normal are independently
determined by mean (μ) and standard deviation (σ).
Figure 4-10 Normal probability density functions

Sec 4-6 Normal Distribution 24
Normal Probability Density Function
A random variable X with probability density function
 x   
2
1
f  x  e 2 2
-  x   (4-8)
2
is a normal random variable with parameters  ,
where -    , and   0. Also,
EX    and V X  2 (4-9)
and the notation N   ,  2  is used to denote the distribution.
Note that f  X  cannot be intergrated analytically,

so F  X  is expressed through numerical integration
with Excel or Minitab, and written as Appendix A, Table III.
Example 4-10: Normal Application
Assume that the current measurements in a strip of wire
follows a normal distribution with a mean of 10 mA & a
variance of 4 mA2. Let X denote the current in mA.
What is the probability that a measurement exceeds 13
mA?
Figure 4-11 Graphical probability that X > 13 for a

normal random variable with μ = 10 and σ2 = 4.
Sec 4-6 Normal distribution 26
Empirical Rule
P(μ – σ < X < μ + σ) = 0.6827
P(μ – 2σ < X < μ + 2σ) = 0.9545
P(μ – 3σ < X < μ + 3σ) = 0.9973
Figure 4-12 Probabilities associated with a normal distribution –

well worth remembering to quickly estimate probabilities.
Standard Normal Distribution
A normal random variable with
μ = 0 and σ2 = 1
Is called a standard normal random variable and
is denoted as Z. The cumulative distribution
function of a standard normal random
variable is denoted as:
Φ(z) = P(Z ≤ z) = F(z)
Values are found in Appendix Table III and by
using Excel and Minitab.
Example 4-11: Standard Normal Distribution
Assume Z is a standard normal random variable.

Find P(Z ≤ 1.50). Answer: 0.93319
Figure 4-13 Standard normal PDF
Find P(Z ≤ 1.53). Answer: 0.93699

Find P(Z ≤ 0.02). Answer: 0.50398
Example 4-12: Standard Normal Exercises
1. P(Z > 1.26) = 0.1038
2. P(Z < -0.86) = 0.195
3. P(Z > -1.37) = 0.915
4. P(-1.25 < 0.37) =
0.5387
5. P(Z ≤ -4.6) ≈ 0
6. Find z for P(Z ≤ z) =
0.05, z = -1.65
7. Find z for (-z < Z < z)
= 0.99, z = 2.58 Figure 4-14 Graphical displays for standard
normal distributions.
Standardizing
Suppose X is a normal random variable with mean  and variance  2 .
 X  x
Then, P  X  x   P     PZ  z (4-11)
   
where Z is a standard normal random variable, and
x  
z is the z-value obtainedby standardizing X.

The probability is obtained by using Appendix Table III
x  
with z  .


Example 4-14: Normally Distributed Current-1
From a previous example  9  10 x  10 11  10 
P  9  X  11  P    
with μ = 10 and σ = 2 mA,  2 2 2 
what is the probability  P  0.5  z  0.5 
that the current
 P  z  0.5   P  z  0.5 
measurement is between
 0.69146  0.30854  0.38292
9 and 11 mA?
Using Excel
Answer: 0.38292 = NORMDIST(11,10,2,TRUE) - NORMDIST(9,10,2,TRUE)
Figure 4-15 Standardizing a normal random variable.

Example 4-14: Normally Distributed Current-2
Determine the value for  X  10 x  10 
P  X  x  P   
which the probability  2 2 
that a current  x  10 
 PZ    0.98
measurement is below  2 
this value is 0.98. z  2.05 is the closest value.
Answer: z  2  2.05   10  14.1 mA.
Using Excel
14.107 = NORMINV(0.98,10,2)
Figure 4-16 Determining the value of x to meet a specified probability.

Example 4-15: Signal Detection-1
Assume that in the detection of a digital signal, the background
noise follows a normal distribution with μ = 0 volt and σ =
0.45 volt. The system assumes a signal 1 has been
transmitted when the voltage exceeds 0.9. What is the
probability of detecting a digital 1 when none was sent? Let
the random variable N denote the voltage of noise.
 N  0 0.9 
P  N  0.9   P     P  Z  2
 0.45 0.45 
 1  0.97725  0.02275
Using Excel
0.02275 = 1 - NORMDIST(0.9,0,0.45,TRUE)
This probability can be described as the probability of a false
detection.
Determine the symmetric bounds about 0 that include 99% of all
noise readings. We need to find x such that P(-x < N < x) = 0.99.
 x N x 
P x  N  x  P    
 0.45 0.45 0.45 
 x x 
 P Z   P  2.58  Z  2.58 
 0.45 0.45 
x  2.58  0.45   0  1.16
Figure 4-17 Determining the value of x to meet a specified probability.

Suppose that when a digital 1 signal is transmitted, the mean of
the noise distribution shifts to 1.8 volts. What is the
probability that a digital 1 is not detected? Let S denote the
voltage when a digital 1 is transmitted.
 S  1.8 0.9  1.8 

P  S  0.9   P   
 0.45 0.45 
 P  Z  2   0.02275
Using Excel
0.02275 = NORMDIST(0.9, 1.8, 0.45, TRUE)
This probability can be interpreted as the probability

of a missed signal.
Example 4-16: Shaft Diameter-1
The diameter of the shaft is normally distributed with μ = 0.2508
inch and σ = 0.0005 inch. The specifications on the shaft are
0.2500 ± 0.0015 inch. What proportion of shafts conform to
the specifications? Let X denote the shaft diameter in inches.
Answer: P 0.2485  X  0.2515
 
 0.2485  0.2508 0.2515  0.2508 
 P Z 
 0.0005 0.0005 
 P  4.6  Z  1.4 
 P  Z  1.4   P  Z  4.6 
 0.91924  0.0000  0.91924
Using Excel
0.91924 = NORMDIST(0.2515, 0.2508, 0.0005, TRUE) - NORMDIST(0.2485, 0.2508, 0.0005, TRUE)

Example 4-16: Shaft Diameter-2
Most of the nonconforming shafts are too large, because the
process mean is near the upper specification limit. If the
process is centered so that the process mean is equal to the
target value, what proportion of the shafts will now conform?
Answer: P  0.2485  X  0.2515 
 0.2485  0.2500 0.2515  0.2500 
 P Z 
 0.0005 0.0005 
 P  3  Z  3
 P  Z  3  P  Z  3
 0.99865  0.00135  0.99730
Using Excel
0.99730 = NORMDIST(0.2515, 0.25, 0.0005, TRUE) - NORMDIST(0.2485, 0.25, 0.0005, TRUE)
By centering the process, the yield increased from 91.924% to

99.730%, an increase of 7.806%
Normal Approximations
• The binomial and Poisson distributions
become more bell-shaped and symmetric as
their means increase.
• For manual calculations, the normal
approximation is practical – exact probabilities
of the binomial and Poisson, with large
means, require technology (Minitab, Excel).
• The normal is a good approximation for the:
– Binomial if np > 5 and n(1-p) > 5.
– Poisson if λ > 5.
Sec 4-7 Normal Approximation to the Binomial & Poisson Distributions 39

Normal Approximation to the Binomial
Suppose we have a binomial
distribution with n = 10 and p = 0.5.
Its mean and standard deviation are
5.0 and 1.58 respectively.
Draw the normal distribution over

the binomial distribution.
The areas of the normal

approximate the areas of the bars
of the binomial with a continuity
correction.
Figure 4-19 Overlaying the normal
distribution upon a binomial with
matched parameters.
Example 4-17:
In a digital comm channel, assume that the number of bits
received in error can be modeled by a binomial random
variable. The probability that a bit is received in error is 10-5.
If 16 million bits are transmitted, what is the probability that
150 or fewer errors occur? Let X denote the number of errors.
Answer:
10  1  10 
150
5 16000000  x
P  X  150    C 16000000
x
5 x
x 0
Using Excel
0.2280 = BINOMDIST(150,16000000,0.00001,TRUE)
Can only be evaluated with technology. Manually, we must

use the normal approximation to the binomial.
Normal Approximation Method
If X is a binomial random variable with parameters n and p,
X  np
Z (4-12)
np 1  p 
is approximately a standard normal random variable. To approximate a binomial
probability with a normal distribution, a continuity correction is applied as follows:
 x  0.5  np 
P  X  x   P  X  x  0.5   P  Z  

 np 1  p  
and
 x  0.5  np 
P  X  x   P  X  x  0.5   P  Z  

 np 1  p  
The approximation is good for np  5 and n 1  p   5. Refer to Figure 4-19 to
see the rationale for adding and subtracting the 0.5 continuity correction.

Example 4-18: Applying the Approximation
The digital comm problem in the previous example is solved
using the normal approximation to the binomial as follows:
P  X  150   P  X  150.5
 
 
 P 
X 160 150.5 160

 
 160 1  105
 160 1  10 
5 


 9.5 
 PZ    P  0.75104   0.2263
 12.6491 
Using Excel
0.2263 = NORMDIST(150.5, 160, SQRT(160*(1-0.00001)), TRUE)
-0.7% = (0.2263-0.228)/0.228 = percent error in the approximation

Example 4-19: Normal Approximation-1
Again consider the transmission of bits. To judge how well the
normal approximation works, assume n = 50 bits are
transmitted and the probability of an error is p = 0.1. The
exact and approximated probabilities are:
P  X  2   C050 0.950  C150 0.1 0.949   C250 0.12  0.948   0.112
 X 5 2.5  5 
P  X  2  P   
 50  0.1 0.9  50  0.1 0.9  
 
 P  Z  1.18  0.119
Using Excel
0.1117 = BINOMDIST(2,50,0.1,TRUE)
0.1193 = NORMDIST(2.5, 5, SQRT(5*0.9), TRUE)
6.8% = (0.1193 - 0.1117) / 0.1117 = percent error
Example 4-19: Normal Approximation-2
P  X  8   P  X  9   P  X  8.5 
 8.5  5 
 PZ    P  Z  1.65   0.05
 2.12 
P  X  5   P  4.5  X  5.5 
 4.5  5 5.5  5 
 P Z 
 2.12 2.12 
 P  0.24  Z  0.24 
 P  Z  0.24   P  Z  0.24   0.19
Using Excel
0.1849 = BINOMDIST(5,50,0.1,FALSE)
0.1863 = NORMDIST(5.5, 5, SQRT(5*0.9), TRUE) - NORMDIST(4.5, 5, SQRT(5*0.9), TRUE)
0.8% = (0.1863 - 0.1849) / 0.1849 = percent error

Reason for the Approximation Limits
The np > 5 and n(1-p) > 5
approximation rule is needed
to keep the tails of the normal
distribution from getting out-
of-bounds.
As the binomial mean
approaches the endpoints of
the range of x, the standard
deviation must be small
enough to prevent overrun.
Figure 4-20 shows the
asymmetric shape of the
binomial when the Figure 4-20 Binomial distribution is
approximation rule is not met. not symmetric as p gets near 0 or 1.

Normal Approximation to Hypergeometric
Recall that the hypergeometric distribution is similar to
the binomial such that p = K / N and when sample
sizes are small relative to population size.
Thus the normal can be used to approximate the
hypergeometric distribution also.
hypergeometric ≈ binomial ≈ normal

distribution distribution distribution
n / N < 0.1
np < 5
n (1-p ) < 5
Figure 4-21 Conditions for approximatine hypergeometric and
binomial with normal probabilities

Normal Approximation to the Poisson
If X is a Poisson random variable with E  X    and V  X    ,
X 
Z (4-13)

is approximately a standard normal random variable. The same
continuity correction used for the binomial distribution can also
be applied. The approximation is good for
 5

Example 4-20: Normal Approximation to Poisson
Assume that the number of asbestos particles in a square meter
of dust on a surface follows a Poisson distribution with a
mean of 100. If a square meter of dust is analyzed, what is
the probability that 950 or fewer particles are found?
e10001000 x
950
P  X  950    ... too hard manually!
x 0 x!
 950.5  1000 
 P  X  950.5  P  Z  
 1000 
 P  Z  1.57   0.058
Using Excel
0.0578 = POISSON(950,1000,TRUE)
0.0588 = NORMDIST(950.5, 1000, SQRT(1000), TRUE)
1.6% = (0.0588 - 0.0578) / 0.0578 = percent error
Exponential Distribution
• The Poisson distribution defined a random variable as the
number of flaws along a length of wire (flaws per mm).
• The exponential distribution defines a random variable as the
interval between flaws (mm’s between flaws – the inverse).
Let X denote the number of flaws in x mm of wire.
If the mean number of flaws is  per mm,
N has a Poisson distribution with mean  x.
 x
 x
0
e
P  X  x  =P  N  0    e x
0!
F  x   P  X  x   1  e   x , x  0, the CDF.
Now differentiating:
f  x    e  x , x  0, the PDF.
Sec 4-8 Exponential Distribution 50
Exponential Distribution Definition
The random variable X that equals the distance
between successive events of a Poisson
process with mean number of events λ > 0 per
unit interval is an exponential random variable
with parameter λ. The probability density
function of X is:
f(x) = λe-λx for 0 ≤ x < (4-14)

Exponential Distribution Graphs
The y-intercept of the

exponential probability
density function is λ.
The random variable is non-

negative and extends to
infinity.
F(x) = 1 – e-λx is well-worth

committing to memory – it is
used often.
Figure 4-22 PDF of exponential random
variables of selected values of λ.
Exponential Mean & Variance
If the random variable X has an
exponential distribution with parameter  ,
1 1
  EX   and  V X  
2
(4-15)
  2
Note that, for the:

• Poisson distribution, the mean and variance are the
same.
• Exponential distribution, the mean and standard
deviation are the same.

Example 4-21: Computer Usage-1
In a large corporate computer network, user log-ons to the
system can be modeled as a Poisson process with a mean of 25
log-ons per hour. What is the probability that there are no log-
ons in the next 6 minutes (0.1 hour)? Let X denote the time in
hours from the start of the interval until the first log-on.

P  X  0.1   25e 25 x
dx  e 25 0.1
0.1
 1  F  0.1  0.082
Using Excel
0.0821 = 1 - EXPONDIST(0.1,25,TRUE)
Figure 4-23 Desired probability.
Continuing, what is the probability that the time until
the next log-on is between 2 and 3 minutes (0.033 &
0.05 hours)?
0.05
P  0.033  X  0.05   25e25 x
0.033
 25 x 0.05
 e  0.152
0.033
 F  0.05  F  0.033  0.152
Using Excel
0.148 = EXPONDIST(3/60, 25, TRUE) - EXPONDIST(2/60, 25, TRUE)
(difference due to round-off error)

• Continuing, what is the interval of time such that the
probability that no log-on occurs during the interval is 0.90?
P  X  x   e 25 x  0.90,  25 x  ln  0.90 
0.10536
x  0.00421 hour  0.253 minute
25
• What is the mean and standard deviation of the time until the
next log-in?
1 1
   0.04 hour  2.4 minutes
 25
1 1
   0.04 hour  2.4 minutes
 25
Characteristic of a Poisson Process
• The starting point for observing the system
does not matter.
• The probability of no log-in in the next 6
minutes [P(X > 0.1 hour) = 0.082], regardless
of whether:
– A log-in has just occurred or
– A log-in has not occurred for the last hour.
• A system may have different means:
– High usage period , e.g., λ = 250 per hour
– Low usage period, e.g., λ = 25 per hour

Example 4-22: Lack of Memory Property
• Let X denote the time between detections of a particle with a
Geiger counter. Assume X has an exponential distribution
with E(X) = 1.4 minutes. What is the probability that a particle
is detected in the next 30 seconds?
P  X  0.5  F  0.5  1  e0.5 1.4  0.30 Using Excel
0.300 = EXPONDIST(0.5, 1/1.4, TRUE)
• No particle has been detected in the last 3 minutes. Will the

probability increase since it is “due”?
P  3  X  3.5  F  3.5   F  3 0.035
P  X  3.5 X  3     0.30
P  X  3 1  F  3 0.117
– No, the probability that a particle will be detected depends
only on the interval of time, not its detection history.

Lack of Memory Property
• Areas A+B+C+D=1
• A = P(X < t2)
• A+B+C = P(X<t1+t2)
• C = P(X<t1+t2 X>t1)
• C+D = P(X>t1)
Figure 4-24 Lack of memory
• C/(C+D) = P(X<t1+t2|X>t1) property of an exponential
distribution.
• A = C/(C+D)

Exponential Application in Reliability
• The reliability of electronic components is often
modeled by the exponential distribution. A chip might
have mean time to failure of 40,000 operating hours.
• The memoryless property implies that the component

does not wear out – the probability of failure in the
next hour is constant, regardless of the component
age.
• The reliability of mechanical components do have a

memory – the probability of failure in the next hour
increases as the component ages. The Weibull
distribution is used to model this situation.

Erlang & Gamma Distributions
• The Erlang distribution is a generalization of
the exponential distribution.
• The exponential models the interval to the 1st
event, while the Erlang models the interval to
the rth event, i.e., a sum of exponentials.
• If r is not required to be an integer, then the
distribution is called gamma.
• The exponential, as well as its Erlang and
gamma generalizations, is based on the
Poisson process.
Sec 4-9 Erlang & Gamma Distributions 61
Example 4-23: Processor Failure
The failures of CPUs of large computer systems are often
modeled as a Poisson process. Assume that units that fail are
repaired immediately and the mean number of failures per
hour is 0.0001. Let X denote the time until 4 failures occur.
What is the probability that X exceed 40,000 hours?
Let the random variable N denote the number of failures in
40,000 hours. The time until 4 failures occur exceeds 40,000
hours iff the number of failures in 40,000 hours is ≤ 3.
P  X  40, 000   P  N  3
E  N   40, 000  0.0001  4 failure in 40,000 hours
e4 4k
3
P  N  3    0.433
k 0 k! Using Excel
0.433 = POISSON(3, 4, TRUE)

Erlang Distribution
Generalizing from the prior exercise:
x
 x
k
r 1
e
P  X  x    1 F  x
k 0 k!
Now differentiating F  x  :
 r x r 1e  x
f  x  for x  0 and r  1, 2,...
 r  1!

Gamma Function
The gamma function is the generalization of the
factorial function for r > 0, not just non-negative
integers.

  r    x r 1e  x dx, for r  0 (4-17)
0
Properties of the gamma function

  r    r  1   r  1 recursive property
  r    r  1 ! factorial function
 1  0!  1
 1 2    1 2  1.77 useful if manual
Gamma Distribution
The random variable X with a probability density
function:
 r x r 1e   x
f  x  , for x  0 (4-18)
 r 
has a gamma random distribution with

parameters λ > 0 and r > 0. If r is an positive
integer, then X has an Erlang distribution.

Mean & Variance of the Gamma
• If X is a gamma random variable with
parameters λ and r,
μ = E(X) = r / λ and σ2 = V(X) = r / λ2 (4-19)
• r and λ work together to describe the shape of

the gamma distribution.

Gamma Distribution Graphs
The λ and r parameters are
often called the “shape” and
“scale”, but may take on
different meanings.
Different parameter
combinations change the
distribution.
The distribution becomes
symmetric as r (and μ)
increases.
Name Text Excel Minitab

Scale λ β=1/λ 1/λ Figure 4-25 Gamma probability
Shape r α r density functions for selected values
of λ and r.
Example 4-24: Gamma Application-1
The time to prepare a micro-array slide for high-output genomics is a Poisson
process with a mean of 2 hours per slide. What is the probability that 10
slides require more than 25 hours?
Let X denote the time to prepare 10 slides. Because of the assumption of a
Poisson process, X has a gamma distribution with λ = ½, r = 10, and the
requested probability is P(X > 25).
Using the Poisson distribution, let the random variable N denote the number
of slides made in 10 hours. The time until 10 slides are made exceeds 25
hours iff the number of slides made in 25 hours is ≤ 9.
P  X  25   P  N  9 
E  N   25 1 2   12.5 slides in 25 hours Using Excel
0.2014 = POISSON(9, 12.5, TRUE)
e12.5 12.5 
k
9
P  N  9    0.2014
k 0 k !
Using the gamma distribution, the same result is obtained.

0.510 x9 e 0.5 x
25
P  X  25   1   dx Using Excel
0
 10  0.2014 = 1 - GAMMADIST(25,10,2,TRUE)
What is the mean and standard deviation of the time to
prepare 10 slides?
10 r
EX     20 hours
 0.5
10 r
V X   2   40 hours 2
 0.25
10
SD  X    40  6.32 hours


The slides will be completed by what length of time
with 95% probability? That is: P(X ≤ x) = 0.95
Distribution Plot
Gamma, Shape=10, Scale=2, Thresh=0
0.07
0.95
0.06
0.05
0.04
Density
0.03
0.02
0.01
0.00
0 31.4
X
Minitab: Graph > Probability Distribution Plot > Using Excel

View Probability 31.41 = GAMMAINV(0.95, 10, 2)

Chi-Squared Distribution
• The chi-squared distribution is a special case
of the gamma distribution with
– λ = 1/2
– r = ν/2 where ν (nu) = 1, 2, 3, …
– ν is called the “degrees of freedom”.
• The chi-squared distribution is used in interval
estimation and hypothesis tests as discussed
in Chapter 7.

Weibull Distribution
• The Weibull distribution is often used to model
the time until failure for physical systems in
which failures:
– Increase over time (bearings)
– Decrease over time (some semiconductors)
– Remain constant over time (subject to external
shock)
• Parameters provide flexibility to reflect an item’s
failure experience or expectation.
Sec 4-10 Weibull Distribution 72

Weibull PDF
The random variable X with probability density function
  1  x  
f  x   x e for x  0 (4-20)

is a Weibull random variable with
scale parameter   0 and shape parameter   0.
The cumulative density function is:

F  x  1 e  x  
(4-21)
 1
  E  X      1  
 
2
  2  2   1 
  V  X     1       1   
2 2
(4-21a)
       
Weibull Distribution Graphs
Added slide
Figure 4-26 Weibull

probability density function
for selected values of δ and β.

Example 4-25: Bearing Wear
• The time to failure (in hours) of a bearing in a mechanical
shaft is modeled as a Weibull random variable with β = ½ and
δ = 5,000 hours.
• What is the mean time until failure?
E  X   5000   1  1 2   5000   1.5 

Using Excel
 5000  0.5   4, 431.1 hours 4,431.1 = 5000 * EXP(GAMMALN(1.5))
• What is the probability that a bearing will last at least 6,000

hours? (error in text solution)
0.5
 6000 
 
P  X  6, 000   1  F  6, 000   e  5000 
Using Excel
1.0954
e  0.334 0.334 = 1 - WEIBULL(6000, 1/2, 5000, TRUE)

Lognormal Distribution
• Let W denote a normal random variable with mean of θ and
variance of ω2, i.e., E(W) = θ and V(W) = ω2
• As a change of variable, let X = eW = exp(W) and W = ln(X)
• Now X is a lognormal random variable.
F  x   P  X  x   P exp W   x   P W  ln  x  
 ln  x  -θ   ln  x  -θ 
=P  Z   =Φ    for x  0
 ω   ω 
 0 for x  0
 ln  x   
2
 
1
f  x  e  2 
for 0  x  
x 2
EX   e   2 2
and V X   e 2  2
e 2
1  (4-22)
Sec 4-11 Lognormal Distribution 76
Lognormal Graphs
Figure 4-27 Lognormal probability density functions

with θ = 0 for selected values of ω2.

Example 4-27: Semiconductor Laser-1
The lifetime of a semiconductor laser has a lognormal
distribution with θ = 10 and ω = 1.5 hours.
• What is the probability that the lifetime exceeds 10,000
hours?
P  X  10, 000   1  P exp W   10, 000 
 1  P W  ln 10, 000  
 ln 10, 000   10 
 1   
 1.5 
 1    0.5264   0.701
1 - NORMDIST(LN(10000), 10, 1.5, TRUE) = 0.701

Example 4-27: Semiconductor Laser-2
• What lifetime is exceeded by 99% of lasers?
P  X  x   P  exp W   x   P W  ln  x  
 ln  x   10 
 1     0.99
 1.5 
 1    z   0.99 therefore z  2.33 -2.3263 = NORMSINV(0.99)
6.5105 = -2.3263 * 1.5 + 10 = ln(x)
ln  x   10
 2.33 and x  exp  6.505   668.48 hours 672.15 = EXP(6.5105)
1.5 (difference due to round-off error)
• What is the mean and variance of the lifetime?

E  X   e   e101.5
2 2
2 2
 exp 11.125   67,846.29
 
V  X   e 2  e  1  e 2101.5 e1.5  1
2 2 2
 2

 exp  22.25   exp  2.25  1  39, 070, 059,886.6
SD  X   197, 661.5

Beta Distribution
A continuous distribution that is flexible, but bounded
over the [0, 1] interval is useful for probability
models. Examples are:
– Proportion of solar radiation absorbed by a material.
– Proportion of the max time to complete a task.
The random variable X with probability density function

      1
f  x = x 1  x 
 1
for 0  x  1
       
is a beta random variable with parameters   0 and   0.
Sec 4-12 Beta Distribution 80

Beta Shapes Are Flexible
Distribution shape guidelines:
1. If α = β, symmetrical
about x = 0.5.
2. If α = β = 1, uniform.
3. If α = β < 1, symmetric
& U- shaped.
4. If α = β > 1, symmetric
& mound-shaped.
5. If α ≠ β, skewed. Figure 4-28 Beta probability density
functions for selected values of the
parameters α and β.

Example 4-27: Beta Computation-1
Consider the completion time of a large commercial real estate
development. The proportion of the maximum allowed time
to complete a task is a beta random variable with α = 2.5 and
β = 1. What is the probability that the proportion of the max
time exceeds 0.7? Let X denote that proportion.
1
      1
P  X  0.7   0.7           dx
 1
x 1  x
  3.5  1

  2.5    1 
0.7
x1.5 dx
2.5 1.5  0.5   x 2.5

1

1.5  0.5   1 2.5 0.7
Using Excel
 1   0.7   0.59
2.5
0.590 = 1 - BETADIST(0.7,2.5,1,0,1)

Example 4-27: Beta Computation-2
This Minitab graph illustrates the prior calculation. FIX
Example 4-28
Beta: alpha=2.5, beta=1
2.5
2.0 0.590
1.5
Density
1.0
0.5
0.0
0 0.7 1
X

Mean & Variance of the Beta Distribution
If X has a beta distribution with parameters α and β,

  EX  
 

 2 V X  
        1
2
Example 4-28: In the prior example, α = 2.5 and β = 1. What

are the mean and variance of this distribution?
2.5 2.5
   0.71
2.5  1 3.5
2.5 1 2.5
2    0.045
 2.5  1  2.5  1  1
2
3.5  4.5 
2

Mode of the Beta Distribution
If α >1 and β > 1, then the beta distribution is mound-shaped and has
an interior peak, called the mode of the distribution. Otherwise,
the mode occurs at an endpoint.
Distribution Plot
Beta Distribution: alpha=2.5
General formula: 2.5

beta
1
1.1
 1 2.0
Mode 
  2 1.5
Density
for   0 and   0. 1.0
0.5
0.0
0.0 0.2 0.4 0.6 0.8 1.0
X
case alpha beta mode

Example 4-28 2.25 1 1.00 = (2.5-1) / (2.5+1.0-2)
Alternate 2.25 1.1 0.94 = (2.5-1) / (2.5+1.1-2)

Extended Range for the Beta Distribution
The beta random variable X is defined for the [0, 1]
interval. That interval can be changed to [a, b]. Then
the random variable W is defined as a linear function
of X:
W = a + (b –a)X
With mean and variance:
E(W) = a + (b –a)E(X)
V(W) = (b-a)2V(X)

Important Terms & Concepts of Chapter 4
Beta distribution Mean of a function of a continuous
Chi-squared distribution random variable
Continuity correction Normal approximation to binomial
Continuous uniform distribution & Poisson probabilities
Cumulative probability distribution Normal distribution
for a continuous random Probability density function
variable Probability distribution of a
Erlang distribution continuous random variable
Exponential distribution Standard deviation of a continuous
Gamma distribution random variable
Lack of memory property of a Standardizing
continuous random variable Standard normal distribution
Lognormal distribution Variance of a continuous random
Mean for a continuous random variable
variable Weibull distribution
Chapter 4 Summary 87

Exercise Probability

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What are some common continuous probability distributions discussed in the chapter?

What are some common continuous probability distributions discussed in the chapter?

What are the learning objectives of the chapter?

What are the learning objectives of the chapter?

4

Chapter 4 Title and Outline

Chapter 4 Learning Objectives 2

Figure 4-1 Density function as a loading on a long, thin

Sec 4-2 Probability Distributions & Probability Density Functions 4

Sec 4-2 Probability Distributions & Probability Density Functions 5

(1) f  x  0 means that the function is always non-negative.

(4) f  x  0 means there is no area exactly at x.

Sec 4-2 Probability Distributions & Probability Density Functions 6

Figure 4-3 Histogram approximates a probability density function.

From another perspective:

Sec 4-2 Probability Distributions & Probability Density Functions 8

Sec 4-2 Probability Distributions & Probability Density Functions 9

The cumulative distribution function

Sec 4-3 Cumulative Distribution Functions 11

Figure 4-6 This graph shows the CDF as

 1  e 20 x 12.5 for x  12.5

Figure 4-7 This graph shows F(x)

Sec 4-3 Cumulative Distribution Functions 13

Sec 4-3 Cumulative Distribution Functions 14

The variance of X , denoted as V  X  or  2 , is

The standard deviation of X is    2 .

Sec 4-4 Mean & Variance of a Continuous Random Variable 16

Sec 4-4 Mean & Variance of a Continuous Random Variable 17

Example 4-7: In Example 4-1, X is the current measured in

Sec 4-4 Mean & Variance of a Continuous Random Variable 19

Figure 4-8 Continuous uniform PDF

• Derivations are shown in the text. Be

Sec 4-5 Continuous Uniform Distribution 21

Figure 4-6 (again) Graph of the Cumulative Uniform CDF

Figure 4-10 Normal probability density functions

EX    and V X  2 (4-9)

and the notation N   ,  2  is used to denote the distribution.

Note that f  X  cannot be intergrated analytically,

Figure 4-11 Graphical probability that X > 13 for a

Figure 4-12 Probabilities associated with a normal distribution –

Assume Z is a standard normal random variable.

Figure 4-13 Standard normal PDF

Find P(Z ≤ 1.53). Answer: 0.93699

Sec 4-6 Normal Distribution 31

Figure 4-15 Standardizing a normal random variable.

Figure 4-16 Determining the value of x to meet a specified probability.

Sec 4-6 Normal Distribution 33

Figure 4-17 Determining the value of x to meet a specified probability.

 S  1.8 0.9  1.8 

This probability can be interpreted as the probability

Sec 4-6 Normal Distribution 37

By centering the process, the yield increased from 91.924% to

Sec 4-7 Normal Approximation to the Binomial & Poisson Distributions 39

Draw the normal distribution over

The areas of the normal

Can only be evaluated with technology. Manually, we must

Sec 4-7 Normal Approximation to the Binomial & Poisson Distributions 42

Sec 4-7 Normal Approximation to the Binomial & Poisson Distributions 43

Sec 4-7 Normal Approximation to the Binomial & Poisson Distributions 45

Sec 4-7 Normal Approximation to the Binomial & Poisson Distributions 46