Chap 4

STAT355 - Probability & Statistics
Chapter 4:
Continuous Random Variables and Probability
Distributions
Instructor: Ko Placid Adragni
Fall 2011
Instructor: Ko Placid Adragni () STAT355 - Probability & Statistics Chapter 4: Continuous Random Variables and Probability Distributions Fall 2011 1 / 21
Chap 4 - Continuous Random Variables and Probability
Distributions
1
4.1 Probability Density Function
2
4.2 The Cumulative Distribution Function and Expected Values
3
4.3 The Normal Distribution
4
4.4 The Exponential and Gamma Distributions
Probability Density Function
A discrete random variable (rv) is one whose possible values either
constitute a nite set or else can be listed in an innite sequence (a list in
which there is a rst element, a second element, etc.).
A random variable whose set of possible values is an entire interval of
numbers is not discrete.
Denition
Let X be a continuous rv. Then a probability distribution or probability
density function (pdf) of X is a function f (x) such that for any two
numbers a and b with a b,
P(a X b) =
b
a
f (t)dt
Remark: The graph of f (x) is often referred to as the density curve.
Probability Density Function
For f (x) to be a legitimate pdf, it must satisfy the following two
conditions:
1
f (x) 0 for all x
2
f (t)dt = 1
Exercise
(4.1) 2
Suppose the reaction temperature X (in

C) in a certain chemical process
has a uniform distribution with a = 5 and b = 5.
1
Compute P(X < 0).
2
Compute P(2.5 < X < 2.5).
3
Compute P(2 X 3).
4
For k satisfying 5 < k < k + 4 < 5, compute P(k < X < k + 4).
The Cumulative Distribution Function and Expected Values
Denition
The cumulative distribution function F(x) for a continuous rv X is dened
for every number x by
F(x) = P(X x) =
f (t)dt
Proposition
Let X be a continuous rv with pdf f (x) and cdf F(x). Then for any
number a,
P(X > a) = 1 F(a)
and for any two numbers a and b with a < b,
P(a X b) = F(b) F(a)
Example
Let X, the thickness of a certain metal sheet, have a uniform distribution
on [a, b]. Recall that the pdf of X is
f (x) =
1
ba
if a x b
0 otherwise
Find the cdf and graph it.
More on CDF
Proposition
If X is a continuous rv with pdf f (x) and cdf F(x), then at every x at
which the derivative F
(x) exists, F
(x) = f (x).
Denition
Let p be a number between 0 and 1. The (100p)
th
percentile of the
distribution of a continuous rv X, denoted by (p), is dened by
p = F((p)) =
(p)
F(y)dy
Example
The distribution of the amount of gravel (in tons) sold by a particular
construction supply company in a given week is a continuous rv X with pdf
f (x) =
3
2
(1 x
2
) if 0 x 1
0 otherwise .
The cdf of sales for any x between 0 and 1 is
F(x) =
3
2
(x
x
3
3
)
The (100p)
th
percentile of this distribution satises the equation
p = F((p)) =
3
2
((p)
(p)
3
3
)
To obtain the median (50
th
percentile, p = 0.50), solve the equation
3
3 + 1 = 0
Expected Values
Denition
The expected or mean value of a continuous rv X with pdf f (x) is
X
= E(X) =
t f (t)dt.
Proposition
If X is a continuous rv with pdf f (x) and h(X) is any function of X, then
E[h(X)] =
h(X)
=
h(x)f (x)dx
Example: Let X be a rv with an uniform distribution on [a, b]. Find the
expected value of X.
Variance
Denition
The variance of a continuous random variable X with pdf f (x) and mean
value
2
X
is
2
X
= V(X) =
(x )
2
f (x)dx = E[(X )
2
]
The standard deviation (SD) of X is
X
=
V(X)
Proposition
V(X) = E(X
2
) [E(X)]
2
Exercise
(4.2) 11
Let X denote the amount of time a book on two-hour reserve is actually
checked out, and suppose the cdf is
F(x) =
0 if x < 0
x
2
4
if 0 x < 2
1 if 2 x
Use the cdf to obtain the following:
1
P(X 1)
2
P(0.5 X 1)
3
P(X > 1.5)
4
The median checkout duration [ solve 0.5 = F( )]
5
F
(x) to obtain the density function f (x)

6
E(X)
7
V(X) and
X
8
If the borrower is charged an amount h(X) = X
2
when checkout
duration is X, compute the expected charge E[h(X)].
The Normal Distribution
Denition
A continuous rv X is said to have a normal distribution with parameters
and
2
where < < infty and > 0, if the pdf of X is
f (x; ,
2
) =
1
2
exp{
1
2
2
(x )
2
} < x <
Notation: X is N(,
2
) or X N(,
2
).
Remarks:
f (x; ,
2
) 0
f (x; ,
2
)dx = 1
It can be shown that E(X) = and V(X) =
2
Remarks on the Normal Curve
Each density curve is symmetric about and bell-shaped, so the
center of the bell (point of symmetry) is both the mean of the
distribution and the median.
The value of is the distance from to the inection points of the
curve (the points at which the curve changes from turning downward
to turning upward).
Large values of yield graphs that are quite spread out about ,
whereas small values of yield graphs with a high peak above and
most of the area under the graph quite close to .
Thus a large implies that a value of X far from may well be
observed, whereas such a value is quite unlikely when is small.
The Standard Normal
Denition
The normal distribution with parameter values = 0 and = 1 is called
the standard normal distribution. A random variable having a standard
normal distribution is called a standard normal random variable and will be
denoted by Z. The pdf of Z is
f (z; ,
2
) =
1
2
exp{
1
2
z
2
} < z <
The cumulative distribution function of Z is often denoted by
(z) = P(Z z) =
2
exp{
1
2
t
2
}dt
There is no analytical expression of (z). For specied values of z, Table
A-3 in Textbook provides the values of (z).
Examples
Find:
P(Z 0)
P(Z < 1.5)
P(Z 1.5)
P(Z < 1.5)
P(Z 3)
P(Z > 2)
Remark: P(Z z) = 1 P(Z z)
Notation: z
will denote the value on the z axis for which of the area
under the z curve lies to the right of z
.
Nonstandard Normal Distributions
Proposition
If X has a normal distribution with mean and standard deviation , then
Z =
X
has a standard normal distribution. Thus

P(X a) = (
a
)
P(X b) = 1 (
b
)
P(a X b) = P(
a
Z
b
) = (
b
) (
a
)
The Exponential Distribution
Denition
X is said to have an exponential distribution with parameter ( > 0) if
the pdf of X is
f (x; ) =
e
x
if x 0
0 otherwise .
Proposition
If X is a rv with an Exponential() distribution, then its mean and
variance are
=
1
and
2
=
1
2
The Gamma Function
Denition
For > 0, the gamma function () is dened by
() =

0
x
1
e
x
dx
Some properties of ()
For any > 1, () = ( 1)( 1)
For any positive integer, n, (n) = (n 1)!
(
1
2
) =
The Gamma Distribution
Denition
A continuous random variable X is said to have a gamma distribution if
the pdf of X is
f (x; , ) =
()
x
1
e
x/
if x 0
0 otherwise .
where the parameters and satisfy > 0, > 0.
Proposition
Let X be a rv with a gamma(, ) distribution. Then the mean and
variance of X are
= E(X) = ;
2
= V(X) =
2
More Distributions
The chi-square
The Weibull
Lognormal
Beta
...

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STAT355 - Probability & Statistics

(x) to obtain the density function f (x)

has a standard normal distribution. Thus

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