Chapter 4:

CONTINUOUS RANDOM VARIALBES

AND
PROBABILITY DISTRIBUTION
Chapter outline
4.1 Continuous Random Variables
4.2 Probability Distributions and Probability Density
Functions
4.3 Cumulative Distribution Functions
4.4 Mean and Variance of a Continuous Random
Variable
4.5 Continuous Uniform Distribution
4.6 Normal Distribution
4.7 Normal Approximation to the Binomial and Poisson
Distributions
4.8 Exponential Distribution
Learning Objectives
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
Learning Objectives
5. Select an appropriate continuous probability distribution
to calculate probabilities in 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
 4.1 Continuous Random Variables
A continuous random variable is a random
variable with an interval (either finite or infinite)
of real numbers for its range.
Example:
Examples of continuous random variables:
length, temperature, time, weight,….
 4.2 Probability Distributions and
Probability Density Functions
Definition:
For a continuous random variable X, a probability
density function is a function such that


(a) (b)
f  x  0 f  x dx 1


(c) b
P a  X b  f  x dx
a
area under from for any and
 f x  a to b a b
 4.2 Probability Distributions and
Probability Density Functions

Probability determined from the area under f  x 

 4.2 Probability Distributions and
Probability Density Functions
Note: a

(a) P  X a  P a  X a  f  x dx 0

a

(b) P a  X b  P a  X  b 

 P a  X  b 

P a  X b 
 4.2 Probability Distributions and
Probability Density Functions
Example 1:
Let the continuous random variable Xdenote the
current measured in a thin copper wire in
milliamperes. Assume that the range of X is
 4.9,5.1 mA and assume that the probability
density function of X is f  x  5, x   4.9,5.1
P 4.95  X 5.1
a/
b/ What is the probability that a current
measurement is less than 5 milliamperes?
P 4.9  X 5.1
 4.2 Probability Distributions and
Probability Density Functions
Solution: 5.1

a/ P 4.95  X 5.1  5dx 0.75

4.95
5

b/ P  X  5   5dx 0.5
4.9

c/ P 4.9  X 5.1 1
 4.2 Probability Distributions and
Probability Density Functions
Example 2
Let the continuous random variable X denote the diameter
of a hole drilled in a sheet metal component. The target
diameter is 12.5 millimeters. Most random disturbances to
the process result in larger diameters.
Historical data show that the distribution of X can be
modeled by a probability density function
 20 x  12.5 
f  x  20e , x 12.5
a/ What proportion of parts is between 12.5 and 12.6
millimeters ?
 4.2 Probability Distributions and
Probability Density Functions

b/ If a part with a diameter greater than 12.60 mm

is scrapped, what proportion of parts is scrapped ?
 4.2 Probability Distributions and
Probability Density Functions
Solution 12.6
 20 x  12.5 
a/ P 12.5  X  12.6   20e dx 0.865
12.5

 20 x  12.5 
b/ P  X  12.6   20e dx 1  P  X 12.6 
12.6
12.6
 20 x  12.5 
1  20e
12.5
dx 0.135
 4.2 Probability Distributions and
Probability Density Functions
Example 3
Suppose that f  x  1.5 x ,  1  x  1 . Determine
2

the following:
a/ P 0  X  b/ P 0.5  X 

c/ P  X   2  d/ P  X  0 or X   0.5 

e/ x0 such that P  x0  X  0.05

 4.2 Probability Distributions and
Probability Density Functions
Solution: 1

a/ P 0  X  1.5 x dx 0.5
2

0
1

b/ P 0.5  X   1.5 x dx 0.4375

2

0.5

c/ P  X   2  0

d/ P  X  0 or X   0.5  P  1  X  1 1
 4.2 Probability Distributions and
Probability Density Functions
Solution:
e/ ( 
( )
1 x0 1
1
P  x0  X   1.5 x 2 dx 0.05
x0

31
 0.5 x x0
0.05  0.5  0.5 x03 0.05
 x0 0.965
 4.2 Probability Distributions and
Probability Density Functions
Example 4:

The diameter of a particle of contamination (in

micrometers) is modeled with the probability

2
density function f  x   3 , x  1.
x
a/ P  X  2  b/ P  X  5 

c/ P 4  X  8  d/ P  X  4 or X  8 
e/ x such that P  X  x  0.95
 4.2 Probability Distributions and
Probability Density Functions
Answer
a/ P  X  2  0.75 b/ P  X  5  0.04

3 61
c/ P 4  X  8   d/ P  X  4 or X  8  
64 64

e/ x 2 5
 4.3 Cumulative Distribution Functions
Definition
The cumulative distribution function of a
continuous random variable X is
x
F  x  P  X x   f u du ,    x  

 4.3Cumulative Distribution Functions
Example 1:
Suppose that the cumulative distribution function
of the random variable X is
0, x0

F  x  0.25 x, 0 x  4
1, x 4

Determine the following:
a/ P  X  2.8  b/ P  X  1.5 

c/ P  X   2  d/ P  X  6 
 4.2 Probability Distributions and
Probability Density Functions
Solution:
a/ P  X  2.8  P  X 2.8  F 2.8 
0.25 2.8 0.7

b/ P  X  1.5  1  P  X 1.5 
1  0.25 1.5 0.625
c/ P  X   2  P  X  2  F  2  0

d/ P  X  6  1  P  X 6  1  1 0
 4.3Cumulative Distribution Functions

Example 2:
Let the continuous random variable X denote the
current measured in a thin copper wire in
milliamperes. Assume that the range of X is
 4.9,5.1 mA and assume that the probability
density function of X is f  x  5, x   4.9,5.1 .
Find the cumulative distribution function F  x  ?
 4.3Cumulative Distribution Functions
Solution
For x  4.9 ,
4.9 4.9
F  x  P  X  4.9   f  x dx 0dx 0
 

For 4.9 x  5.1

x x
F  x  P  X  x   f u du 5du
 4.9

u x
5u u 4.9 5 x  24.5
 4.3Cumulative Distribution Functions
Solution
Finally x 5.1,
x 5.1
F  x  P  X  x   f u du 5du 1
 4.9

Therefore,
0, x  4.9

F  x  5 x  24.5, 4.9 x  5.1
1, x 5.1

 4.3Cumulative Distribution Functions
Probability Density Function from
the Cumulative Distribution Function
The given F  x 

f  x  F  x 

as long as the derivative exists.

 4.3Cumulative Distribution Functions
Example 3
The time until a chemical reaction is complete (in
milliseconds) is approximated by the cumulative
distribution function
0, x0
F  x    0.01 x
1  e , 0 x

a/ Determine the probability density function of X.

b/ What proportion of reactions is complete within
200 milliseconds?
 4.3Cumulative Distribution Functions
Solution:
a/ x  0 : f  x  0
x 0 : f  x  F  x  0.01e  0.01x
So, f  x  0.01 e  0.01 x
, x 0
b/ Method 1: P  X 200  F 200 
1  e  0.01200 0.865
Method 2:
200 200
P  X 200    f  x dx  0.01e  0.01x dx 0.865
0 0
 4.4 Mean and Variance of a Continuous
Random Variable
Definition: Suppose that isXa continuous random
variable with probability density function  x  mean
.f The
or expected value of , Xdenoted as or E, isX  

 E  X   x  f  x dx

The variance of denoted as or 2 , is
X  V X 
 
 V  X    x    f  x dx x 2 f  x dx   2
2 2

 
The standard deviation of is
X   2
 4.4 Mean and Variance of a Continuous
Random Variable

Example 1
Let the continuous random variable X denote the
current measured in a thin copper wire in
milliamperes. Assume that the range of X is
 4.9,5.1 mA and assume that the probability
density function of X is f  x  5, x   4.9,5.1 .
Find E  X , V  X  and  ?
 4.4 Mean and Variance of a
Continuous Random Variable
Solution
The mean of X is
5.1 5.1
E  X   xf  x dx 5 xdx 5
4.9 4.9
The variance of X is
5.1
V  X   5  x  5  dx 0.0033
2

4.9

  V  X  0.057
 4.4 Mean and Variance of a
Continuous Random Variable
Example 2:
Let the continuous random variable X denote the
diameter of a hole drilled in a sheet metal component.
The target diameter is 12.5 millimeters. Most random
disturbances to the process result in larger diameters.
Historical data show that the distribution of X can be
modeled by a probability density function
 20 x  12.5 
f  x  20e , x 12.5
Find E  X , V  X and  ?
 4.4 Mean and Variance of a
Continuous Random Variable
Solution:
The mean of X is

 20 x  12.5 
E  X   20 xe dx 12.55
12.5
The variance of X is

 20 x  12.5 
V  X   20  x  12.55  e
2
dx 0.0025
12.5

  V  X  0.05
 4.5 Continuous Uniform
Random Variable

A continuous random variable X with probability

1
density function f  x   , a x b
b a
is a continuous uniform random variable.
ba
Mean: E  X  
2

b  a
2

Variance: V  X  
12
 4.5 Continuous Uniform
Random Variable

The complete description of the cumulative

distribution function of a continuous uniform

random variable is
0, xa
 x  a
F  x   , a x  b
b  a
1, b x
 4.6 Normal Distribution
Definition
A random variable X with probability density
2
 x  
function 1
f x   e 2 2
,    x  
 2
is a normal random variable with parameters
 E  X ,      
 V  X ,   0
2

The notation    
2
N ,
 4.6 Normal Distribution

Fig: Normal probability density functions for

selected values of the parameters μ and 
2
 4.6 Normal Distribution

Some useful results concerning a normal

distribution. For any normal random variable,
P     X      0.6827
P   2  X    2  0.9545
P   3  X    3  0.9973
 4.6 Normal Distribution

Probabilities associated with a normal distribution.

 4.6 Normal Distribution
Standardizing a Normal Random Variable
If X is a normal random variable with E  X  
and    2
V X  , the random variable
X 
Z


is a normal random variable with E Z  0;V Z  1

The cumulative distribution function of a standard
normal random variable is denoted as
  z  P  Z  z 
 4.6 Normal Distribution
Definition
A random variable X with probability density
z2
function 1 2
f z   e ,    z  
2
is a standard normal random variable with
parameters
 0
 1
2

The notation N 0,1

 4.6 Normal Distribution

Normal Standard
Normal  x  
2
z2
1 1 
f x   e 2 2 f z   e 2

 2 X  2
Z

E  X   E  X  0
V  X   2
V  X  1

N  , N 0,1
2

 4.6 Normal Distribution
Problem 1: Find p0 .
P  X x0   p0

Problem 2: Find x0 .
P  X  x0   p0

Problem 3: Find  , (see assignment).

 4.6 Normal Distribution
Example 1: Assume that Z is a standard normal
random variable. Find:
(1) P Z   0.86 
(2) P Z  1.26 
(3) P  1.25  Z  1.37 
(4) P Z  4.66 
(5) P Z  z  0.05
(6) P  z  Z  z  0.99
 4.6 Normal Distribution
Solution
(1) P Z   0.86  0.1949
 4.6 Normal Distribution
Solution
(2) P Z  1.26  1  P Z 1.26  0.10383
 4.6 Normal Distribution
Solution
(3) P  1.25  Z  1.37 
P Z 1.37   P Z  1.25  0.809



 1.25 1.37
P Z  1.25  P Z 1.37 
 4.6 Normal Distribution
Solution
(4) P Z  4.66  0
 4.6 Normal Distribution
Solution P Z z  area
(5) P Z  z  0.05  inverse
Hint: z
P Z  z  0.05  P Z z  1  P Z  z  0.95

Ngược pp chuẩn ( inverse)

Using casio:
1/ fx-570VN plus
2/ fx-580VN
 4.6 Normal Distribution
Solution
(6) P  z  Z  z  0.99
Hint:
1/ P Z z  ???
0.99  0.005 0.995

2/ inverse
area=0995
 z 2.58
 4.6 Normal Distribution
Example 2: Assume that the current measurements
in a strip of wire follow a normal distribution with
a meanof 10 milliamperes and a variance of 4
(milliamperes)2.
a/ What is the probability that a measurement
exceeds 13 milliamperes ?
b/ P 9  X  11
c/ Determine the value for which the probability
that a current measurement is less than this value is
0.98.
 4.6 Normal Distribution
Solution:
a/ Meth 1: Using the normal distribution.
Let X denote the current in milliamperes. The
requested probability can be represented as
2
  x  10 
 10  1
  f  x   e 8
 4 
2
2 2
2
  x  10 
1 
P  X  13   e 8
dx
13 2 2

Casio
 0.0668
 4.6 Normal Distribution
Solution:
Meth 2: Using the standard normal distribution.
Let X denote the current in milliamperes.
The requested probability can be represented as
X  10 13 10
Z  1.5
2 2
P  X  13  P Z  1.5 
1  P Z 1.5 
Casio
 0.0668
 4.6 Normal Distribution
b/ P 9  X  11 0.383

c/ P Z  z  0.98  z 14.107
 4.7 Standard Normal Approximation to
the Binomial and Poisson Distributions
4.7.1 Standard Normal Approximation to the
Binomial
Under certain conditions, the normal distribution
can be used to approximate the binomial
distribution and the Poisson distribution.
 4.7.1 Standard Normal Approximation to
the Binomial Distributions
X B n, p   Z  N 0,1 Correction
Factor
Condition: np  5, n 1  p   5
x  0.5  np
 P  X x  P Z z , z 
np 1  p 
x  0.5  np
 P  x  X  P  z Z , z 
np 1  p 
 P  X  x  P  x  X  x 
 4.7.1 Standard Normal Approximation to
the Binomial Distributions
Example 1:
To judge how well the normal approximation works,
assume that only n = 50 bits are to be transmitted
and that the probability of an error is p = 0.1 .
a/ The exact probability that two or fewer errors
occur.
b/ P 8  X 

c/ P  X 5 
 4.7.1 Standard Normal Approximation to
the Binomial Distributions
Solution:
a/ Use the binomial distribution:
P  X 2  P  X 0   P  X 1  P  X 2 
C 0.9  C 0.10.9   C 0.1 0.9 
50 50 50 49 50 2 48
0 1 2

0.112
 4.7.1 Standard Normal Approximation to
the Binomial Distributions
Solution:
a/ Use the standard normal distribution
x  0.5  np 2  0.5  np
z   1.18
np 1  p  np 1  p 
P Z  1.118  0.119
 8.5  np 
b/ P 8  X  P 9  X  P  Z 
 np 1  p  
 
P 1.65 Z  0.05
 4.7.1 Standard Normal Approximation to
the Binomial Distributions
c/ P  X 5  P 5  X 5 
 4.5  np 5.5  np 
P  Z  
 np 1  p  np 1  p  
 
P  0.24 Z 0.24  0.19

and this compares well with the exact answer of

0.1849.
Practical Interpretation: Even for a sample as small
as 50 bits, the normal approximation is reasonable,
when p = 0.1
 4.7.2 Standard Normal Approximation to
the Poisson Distributions
X P    Z  N 0,1 Correction
Factor
Condition:   5
x  0.5  
 P  X x  P Z z , z 

x  0.5  
 P  x  X  P  z Z , z 

 P  X  x  P  x  X  x 
 4.7.2 Standard Normal Approximation to
the Poisson Distributions
Example 2:
Assume that the number of asbestos particles in a
squared meter of dust on a surface follows a
Poisson distribution with a mean of 1000. If a
squared meter of dust is analyzed.
What is the probability that 950 or fewer particles
are found ?
 4.7.1 Standard Normal Approximation to
the Binomial Distributions
Solution:
This probability can be expressed exactly as
950  1000 x
e 1000
P  X 950  
x 0 x!
The computational difficulty is clear. The
probability can be approximated as
P  X 950  P  X 950.5 
P Z  1.57  0.058
 4.8 Exponential Distributions
The random variable X that equals the distance
between successive events from 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   .e  x
, 0 x  ,   0

If the random variable X has an exponential

distribution with parameter λ,
E  X  1/  , V  X  1/  2
 4.8 Exponential Distributions
Example:
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.
a/ What is the probability that there are no log-ons in an
interval of six minutes ?
b/ What is the probability that the time until the next log-on is
between two and three minutes ?
c/ Determine the interval of time such that the probability that
no log-on occurs in the interval is 0.90 ?
 4.8 Exponential Distributions
Solution:
Let X denote the time in hours from the start of the
interval until the first log-on.
Then X has an exponential distribution with λ = 25
log-ons per hour.

a/ 6 minutes 0.1 hour


P  X  0.1  25e  25 x
dx 0.082
0.1
 4.8 Exponential Distributions
Solution:
b/ 2 minutes 0.033 hour
3 minutes 0.05 hour
0.05
P 0.033  X  0.05    25e  25 x
dx 0.152
0.033
 4.8 Exponential Distributions
Solution:
c/ Find x such that P  X  x  0.9

P  X  x   25e  25t
dt
x
 25t t 
 e 0  e  25 x e  25 x
t x
Then  25 x
e 0.9   25 x ln 0.9
x = 0.00421 hour =0.25 minute
 4.8 Exponential Distributions
Practical Interpretation: Organizations make
wide use of probabilities for exponential random
variables to evaluate resources and staffing levels
to meet customer service needs.
 4.8 Exponential Distributions
Lack of Memory Property

For an exponential random variable X,

P  X  t1  t2 | X  t1  P  X  t2 
 4.8 Exponential Distributions
Example:
Suppose that X has an exponential distribution
with a mean of 10. Determine the following:
a/ P  X  5 

b/ P  X  15 | X  10 

c/ Compare the results in parts (a) and (b) and

comment on the role of the lack of memory property.