Module 6: Common Probability Models

Lecture 2: Probability Models using Log Normal and Exponential Distribution

1. Introduction
The previous lecture dealt with the pdf of Normal distribution, the normal curve and
probability calculation using Standard Normal Table. Some example problems were also
discussed. In this lecture, two other important probability distributions, namely, Lognormal
distribution and Exponential distribution are discussed. Some problems on the application of
these distributions are also presented here.
2. Log Normal Distribution
A random variable X is said to follow Log Normal distribution if its probability density
function is given by
( ) < < =
|
.
|

\
|

x e
x
x f
x
2
ln
2
1
2
2
1
, ;
o

t o
o (1)
The cumulative distribution function is given by
( )
|
.
|

\
|
u =
o

o
x
x F
ln
, ;
2
(2)
where u=standard normal CDF
If the RV X is log normally distributed, then the RV ( ) X Y ln = is normally distributed.
2.1 Mean and Variance for Log Normal Distribution
Mean of a log normally distributed RV is given by ( )
2
2
1
o

+
= = e X E
X

The sample mean for ( ) X Y ln = is given by
|
|
.
|

\
|
+
=
2
,
2
1
ln
2
1
X V
C
X
Y
Variance is given by ( ) ( ) 1
2
2 2
= =
o
o e X Var
X X

The sample variance for ( ) X Y ln = is given by ( )
2
,
2
1 ln
X V Y
C S + = where
X
S
C
X
X V
=
,

2.2 Application of Log normal distribution
In the context of Civil engineering, many real life problems can be modeled through log
normal distribution. The rate of flow in a pipe in a public water distribution system is
associated with many losses and the maximum rate of flow can be a log normally distributed
RV. The monthly rainfall over a catchment may follow log normal distribution. The time
between breakdowns of certain equipments can be a log normally distributed random
variable.
2.3 Problems on Log Normal Distribution
Q. A certain dataset of timber strength is known to have a mean of 39.5 N/mm
2
and a
coefficient of variation of 0.26. The dataset is expected to be log normally distributed.
(a) Determine the modulus of rupture that is exceeded 95% of the time.
(b) What is the probability that the strength of a randomly selected timber of the same type is
not less than 20 N/mm
2
?
Soln.
(a) Standard deviation
( ) | |
( ) | | 256 . 0 1 26 . 0 ln
1 ln
2
2
ln
= + =
+ =
X X
CV o


Mean
( )
( )
644 . 3
1 26 . 0
5 . 39
ln
1
ln
2
2
ln
=
|
|
.
|

\
|
+
=
|
|
.
|

\
|
+
=
X
X
X
CV

First we obtain the reduced variate corresponding to non exceedence probability of 0.05 from
the standard normal table,
( )
223 . 3
645 . 1
256 . 0
644 . 3
645 . 1
05 . 0
=
=

=
= s
y
y
z
z Z P

Now, ( ) X Y ln =
So, the modulus of rupture that is exceeded 95% of the time is
2
/ 1 . 25 mm N e x
y
= = .


(b) The probability that the strength of a randomly selected timber is not less than 20 N/mm
2

is given by
( ) ( )
( )
( ) | |
994 . 0
532 . 2 1 1
532 . 2 1
256 . 0
644 . 3 20 ln
1
20 1 20
=
s =
s =
|
.
|

\
|
s =
s = >
Z P
Z P
Z P
X P X P

Q. In a catchment, the monthly rainfall is estimated to be log normally distributed with a

mean of 10 cm and a standard deviation of 5 cm.
(a) What is the probability that the rainfall in a certain month is between 5 cm and 15 cm ?
(b) What is the probability that the rainfall in a certain month is at least 7 cm ?
(c) What is the 10
th
quantile monthly rainfall ?
Soln.
(a) The coefficient of variation 5 . 0
10
5
= =
X
CV .
The mean is
( )
( )
19 . 2
1 5 . 0
10
ln
1
ln
2
2
ln
=
|
|
.
|

\
|
+
=
|
|
.
|

\
|
+
=
X
X
X
CV

The standard deviation is
( ) | |
( ) | | 47 . 0 1 5 . 0 ln
1 ln
2
2
ln
= + =
+ =
X X
CV o

The probability that the rainfall in a certain month is between 5 cm and 15 cm is

( ) ( ) ( )
( ) ( )
( ) ( ) | |
( )
757 . 0
893 . 0 1 864 . 0
24 . 1 1 10 . 1
24 . 1 10 . 1
47 . 0
19 . 2 5 ln
47 . 0
19 . 2 15 ln
5 15 15 5
=
=
s s =
s s =
|
.
|

\
|
s
|
.
|

\
|
s =
s s = s <
Z P Z P
Z P Z P
Z P Z P
X P X P X P

(b) The probability that the rainfall in a certain month is at least 7 cm is given by
( ) ( )
( )
( ) | |
698 . 0
52 . 0 1 1
52 . 0 1
47 . 0
19 . 2 7 ln
1
7 1 7
=
s =
s =
|
.
|

\
|
s =
s = >
Z P
Z P
Z P
X P X P

(b) Let
10
x be the 10
th
quantile rainfall value. So,
( )
1 . 0
47 . 0
19 . 2 ln
,
1 . 0
10
10
= |
.
|

\
|
s
= s
x
Z P or
x X P

From the standard normal table, the value of the reduced variate Z corresponding to the non
exceedence probability of 0.9 is 1.28. So, the value of Z corresponding to the non
exceedence probability of 0.1 is -1.28.
cm x x or
x
9 . 4 588 . 1 ln , 28 . 1
47 . 0
19 . 2 ln
10 10
10
= = =

3. Exponential Distribution
A RV X is said to follow Exponential distribution if its probability density function is given
by

<
>
=

0 0
0
) ; (
x
x e
x f
x
x

The cumulative distribution function is given by

<
>
=

0 0
0 1
) ; (
x
x e
x F
x
x

3.1 Application of Exponential distribution
In the context of Civil engineering, many real life variables can be modeled as exponential
variates. The daily concentration of a pollutant in a stream can be modeled as an
exponentially distributed RV. The time of operation of a construction equipment until
breakdown can follow exponential distribution. The daily rainfall depth at a station can be an
exponentially distributed RV.
3.2 Problems on Exponential Distribution
Q. In a stream, the daily concentration of a pollutant follows an exponential distribution
given by ( )
x
X
e x f

= . The mean daily concentration of the pollutant is 0.0025 mg/L.
(a) Considering that pollution problem is said to occur if the concentration is greater than
0.005 mg/L, what is the probability of pollution problem on a particular day ?
(b) What is the return period associated with the pollution concentration of 0.005 mg/L?
Soln.
Mean daily concentration L mg / 0025 . 0 =
The parameter mg L/ 400
0025 . 0
1 1
= = =

(a) The probability of pollution problem on a particular day is
| | | | ( )
( )
135 . 0
1 1
1 005 . 0 1 005 . 0
005 . 0 400
=
=
=
=
= s = >

e
e
e
x F X P X P
x
x
X

(b) The return period associated with the pollution concentration of 0.005 mg/L is
days
P
T 4 . 7
135 . 0
1 1
= = =
Q. The interarrival time between successive accidents on a highway is an exponentially
distributed RV. If the mean interarrival time is 40 days and one accident has taken place
today,
(a) What is the probability that there will be no accidents in the next 45 days?
(b) What is the probability that another accident will take place within one month?
Soln.
Mean inter arrival time =40 days
So 025 . 0
40
1 1
= = =

Therefore, the interarrival time between accidents can be expressed as ( )
x
X
e x f
025 . 0
025 . 0

=
The cumulative distribution is given by ( )
x
X
e x F
025 . 0
1

=
(a) The probability that there will be no accidents in the next 45 days is
| | | |
325 . 0
) 1 ( 1
45 1 45
45 025 . 0
45 025 . 0
= =
=
s = >


e
e
X P X P

(b) The probability that the interarrival between accidents will not exceed 15 days is
| |
5276 . 0
1 30
30 025 . 0
=
= s

e X P

Q. The dailly rainfall (in cm) over a catchment can be expressed as a mixed probability
distribution as follows:
( )
( )( ) 0 4 . 0 65 . 0
0 35 . 0
4 . 0
> =
= =

X for e
X for x f
x
X

(a) What is the probability that the rainfall will exceed 3 cm for a particular day ?
(b) What is the 90
th
quantile rainfall value ?
Soln.
(a) The cumulative distribution is given by
( )
( ) 0 1 65 . 0 35 . 0
0 35 . 0
4 . 0
> + =
= =

X for e
X for x F
x
X

The probability that the rainfall will exceed 30 cm for a particular month is
| | | |
( ) { }
1958 . 0
1 65 . 0 35 . 0 1
3 1 3
3 4 . 0
=
+ =
s = >

e
X P X P

(c) Let
90
x be the
th
90 quantile rainfall value.
| |
( )
cm x or
e or
e or
x X P
x
x
68 . 4 ,
1538 . 0 ,
9 . 0 1 65 . 0 35 . 0 ,
9 . 0
90
4 . 0
4 . 0
90
90
90
=
=
= +
= s

The rainfall value which has non exceedence probability of 0.9 is 4.68 cm.
4. Concluding Remarks
The pdfs of Lognormal and Exponential distributions, along with some application problems,
are discussed in detail in this lecture. The next lecture will present some more continuous
probability models.