Chapter 4:

Continuous random variables and

Probability distribution
LEARNING OBJECTIVES
1. Continuous random variable
2. Probability density function
3. Cumulative distribution function
4. Mean and Variance
5. Uniform and Normal distributions
6. Normal approximation to the Binomial and Poisson.
 Continuous random variables
Definition
A continuous random variable is a random variable whose
possible values includes in an interval of real numbers.

Example:
1. The height of a student at FPT university can be any number
between 150cm – 190cm.
2. The weight of a newborn can be any number between
0.5kg - 4.5kg.
 Probability density function (pdf)
Definition
 The
  probability density function (pdf) of a continuous
random variable X is a function such that:
1.
2.
3.

Property (X is a continuous random variable)

P ( x1  X  x2 )  P ( x1  X  x2 )
 P ( x1  X  x2 )
 P ( x1  X  x2 )
 Probability density function (pdf)
Example 1: Suppose that the probability density function of a
continuous random variable X is:
f (x) =e- ( x- 3) , x ³ 3
Determine P(1 £X < 5); P(X < 8); P(X ³ 0).

Example 2: The probability density function of the length of a

metal rod is f (x) =cx 2 for2 £x < 3
a. What is the value of c?
b. Find P(X < 2.5orX ³ 2.8)?
 Cumulative distribution function (cdf)
Definition
The cumulative distribution function (cdf ) of a continuous
random variable X is
x
F(x) := ò f (t)dt
-¥
for -∞ < x < +∞.

Remark: If X is continuous random variable with cumulative

distribution function F(x) then we can use:

P(a < X < b) =F(b) - F(a)

 Cumulative distribution function (cdf)
Example 1: Suppose the cumulative distribution function of the
random variable X is
ì0, if x <1
ï
F(x) =í0.5x - 0.5, if 1 £x < 3
ï1, if x ³ 3
î
Find P(X < 2.8); P(0 < X <1.5)?

Example 2: Suppose the probability density function of the

random variable X is
f (x) =e- ( x- 3) , x ³ 3
Find the cumulative distribution function of X.
Mean and variance of a continuous random variable
Definition
 Suppose
  X is a continuous random variable with probability
density function f(x).
The mean or expected value of X is defined by

  E ( X ) :  xf ( x)dx

The variance of X is defined by
 
 2  V ( X ) :  ( x  )2 f ( x)dx   x2 f ( x)dx   2
 

The standard deviation of X is

Mean and variance of a continuous random variable
Example 1: Assume that X is a continuous random variable
with the following probability density function
x2
f (x) = , for - 3 < x < 3
18
Determine the mean and variance of X.

Example 2: The cumulative distribution function of the random

variable X is
ì0, if x <1
ï
F(x) =í0.5x - 0.5, if 1 £ x < 3
ï1, if x ³ 3
î

Find the standard deviation of X.

Continuous uniform distribution
 1
 , a xb
pdf: f ( x)   b  a
 0 otherwise

Mean and Variance:

a b (b  a ) 2
  EX  ,   V (X ) 
2

2 12

cdf: 0 xa
xa

F ( x)   a xb
b  a
1 bb
Continuous uniform distribution
Example 1: Suppose X has a continuous uniform distribution
over the interval [1;10].
• Determine the mean, variance and standard deviation of X.
• Find P(X<6.5).
• Determine the cumulative distribution function of X.

Example 2: Suppose X has a continuous uniform distribution

over [5;15]. What is the mean and variance of Y=8X?
 Normal distribution
Notation: X = N(µ, σ2)
1 x 2
1 ( )

pdf: f (x)  e 2 
,    x  
2 2

Mean and Variance: E(X) = µ V(X) = σ2

01/06/2022
 Standard normal distribution
Notation: Z = N(0,1)
 x2
1
pdf: f ( x)  e 2
,    x  
2
 x2
z
e 2

cdf: ( z )  
 2
dx .

Example
Example 1:
1: Find
Find the
the standard
standard normal-curve
normal-curve area
area between
between zz == −1
−1 and
and zz == −0.4?
−0.4?

Hint:
Hint: Use
Use Appendix
Appendix Table
Table III
III or
or NORM.S.DIST(a;1)
NORM.S.DIST(a;1) in
in Excel
Excel to
to find
find P(z<a).
P(z<a).

Example
Example 2:
2: Assume
Assume that
that zz scores
scores are
are normally
normally distributed
distributed with
with aa mean
mean of
of 00 and
and aa standard
standard
deviation
deviation of
of 1.
1. If
If P(z
P(z << a)
a) == 0.1487,
0.1487, find
find a.
a.

Hint:
Hint: Use
01/06/2022 Use Appendix
Appendix Table
Table III
III or
or NORM.S.INV(p)
NORM.S.INV(p) in
in Excel
Excel to
to find
find aa such
such that
that
 Normal distribution
Standardizing
If X = N(µ, σ2) then
X 
Z

is a standard normal random variable N(0, 1).

Example
Example 1:
1: A
A machine
machine pours
pours beer
beer into
into 16
16 oz.
oz. bottles.
bottles. Experience
Experience has
has shown
shown that
that the
the
number
number of
of ounces
ounces poured
poured is
is normally
normally distributed
distributed with
with aa standard
standard deviation
deviation of
of 1.3
1.3
ounces.
ounces. Find
Find the
the probabilities
probabilities that
that the
the amount
amount of
of beer
beer the
the machine
machine will
will pour
pour into
into the
the
next
next bottle
bottle will
will be
be more
more than
than 16.25
16.25 ounces.
ounces.

Example
Example 2:
2: The
The tread
tread life
life of
of aa particular
particular brand
brand of
of tire
tire is
is aa random
random variable
variable best
best
described
described by
by aa normal
normal distribution
distribution with
with aa mean
mean of
of 65,000
65,000 miles
miles and
and aa standard
standard
deviation
deviation of
of 1,500
1,500 miles.
miles. What
What warranty
warranty should
should the
the company
company use
use ifif they
they want
want 95%
95% of
of
Approximation using Normal distribution
Normal Approximation to the Binomial Distribution
If X has a Binomial distribution B(n, p) then random variable
X  np
Z
np (1  p )
is approximately a standard random variable N(0,1).

x  0.5  np
P( X  x)  P( Z  )
We have np (1  p )
x  0.5  np
P( X  x)  P( Z  )
np (1  p)

Remark: The approximation is good for np > 5 and n(1-p) > 5.

Approximation using Normal distribution

Example: The manufacturing of semiconductor chips produces

3% defective chips. Assume the chips are independent and that
a lot contains 800 chips. Approximate the probability that
more than 30 chips are defective.

Hint: X~B(n = 800; p = 0.03). Use Normal approximation.

Remark: Can use BINOM.DIST in Excel to find actual value.

Approximation using Normal distribution
Normal Approximation to the Poisson Distribution
   If X then random variable
X 
Z

is approximately a standard random variable N(0,1).

We have   𝑥 +0.5− λ
𝑃 ( 𝑋 ≤ 𝑥)≈ 𝑃 (𝑍 ≤ )
√λ
  𝑥 − 0.5 − λ
𝑃 ( 𝑋 ≥ 𝑥)≈ 𝑃 (𝑍 ≥ )
√λ
Remark: The approximation is good for λ > 5.
Approximation using Normal distribution

Example: The number of customers that arrive at a fast-food

business during a one-hour period is known to be Poisson
distributed with a mean equal to 9.6. What is the probability
that more than 10 customers will arrive in a one-hour period?

Hint: X~P(9.6). Use Normal approximation

Remark: Can use POISSON.DIST in Excel to find actual value.

 Exponential distribution
Definition
The random variable X that equals the distance between two
consecutive events 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) =l e- l x , x ³ 0

Remark: If a random variable X has exponential distribution

1 2 1
with parameter λ then m =E(X) = ; s =V (X) = 2
l l
Exponential distribution
Example 1: The time between customer arrivals at a furniture
store has an approximate exponential distribution with mean of
9 minutes. If a customer just arrived, find the probability that
the next customer will not arrive for at least 15 minutes.

Example 2: The time between patients arriving at an outpatient

clinic follows an exponential distribution at a rate of 15
patients per hour. What is the probability that a randomly
chosen arriving interval will not exceed 6 minutes?