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Continuous R.V.

s
Named Continuous R.V.s

Quantitative Techniques - 1
Prof. Pritam Ranjan
OM & QT, IIM Indore
Email: pritamr@iimidr.ac.in
Oce: A - 102, Phone: 512

Session - 7: Continuous random variables


Textbook coverage: Not in the book

Prof. Pritam Ranjan

QT - 1 (July 26, 2016)

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Continuous R.V.s
Named Continuous R.V.s

Examples
Let X be a continuous random variable

au

2 2
2au+a
FX (u) =
6

u b6

with the CDF given by


u<0
0u<1
1u<2
2u<3
u 3.

Find the constants a and b.

Find the mean and median of this distribution.

Prof. Pritam Ranjan

QT - 1 (July 26, 2016)

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Continuous R.V.s
Named Continuous R.V.s

Examples - HW
Let X be a random variable with the CDF given by

0
u<0

u
0u<1
3
FX (u) =
2u1
1u<2

3
1
u 2.

Plot the CDF and nd the median of the distribution


Is X a continuous random variable? Explain.

Prof. Pritam Ranjan

QT - 1 (July 26, 2016)

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Continuous R.V.s
Named Continuous R.V.s

Examples
Suppose X has p.d.f. fX (x) and Y = aX + b for constants a and b.
Find the p.d.f. fY (y ) of Y .

Prof. Pritam Ranjan

QT - 1 (July 26, 2016)

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Continuous R.V.s
Named Continuous R.V.s

Examples - Reliability: HW
The lifetime of lightbulbs (X ) manufactured by a particular company follows
the following distribution (mean: = E (X ) = 100 hrs)
1
u
exp( 100
)
u>0
100
fX (u) =
0
otherwise.

(a) What is the probability that a random lightbulb will last at least 65 hours?
(b) What is the standard deviation of the lifetime of a lightbulb?

Prof. Pritam Ranjan

QT - 1 (July 26, 2016)

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Continuous R.V.s
Named Continuous R.V.s

Examples - Customer Service


The waiting time between customer arrivals at a bank has an exponential
distribution with a mean time between arrivals of three minutes. If a customer
has just arrived, what is the probability that another customer will not arrive for
at least two minutes?

Prof. Pritam Ranjan

QT - 1 (July 26, 2016)

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Continuous R.V.s
Named Continuous R.V.s

Examples - Customer Service: HW


A major ski resort in the eastern United States closes in late May. Closing day
varies from year to year depending on when the weather becomes too warm for
making and preserving snow. The day in May and the number of years in which
closing occurred that day are reported in the table:
Day
Number of Years
21
2
22
5
23
1
24
3
25
3
26
1
27
2
28
1
(a) Based only on this information, estimate the probability that you could ski at
this resort after May 25 next year.
(b) What is the average closing day based on history?

Prof. Pritam Ranjan

QT - 1 (July 26, 2016)

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Continuous R.V.s
Named Continuous R.V.s

Popular named continuous R.V.s


Uniform Beta

Exponential Gamma
Weibull
Pareto
Normal
Students t
Chi-square
Fishers F
..
.
https://en.wikipedia.org/wiki/Category:Continuous distributions
Continuous Univariate Distributions- Johnson, Kotz & Balakrishnan
Prof. Pritam Ranjan

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Continuous R.V.s
Named Continuous R.V.s

Uniform distribution

Prof. Pritam Ranjan

QT - 1 (July 26, 2016)

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Continuous R.V.s
Named Continuous R.V.s

Uniform distribution
Notation: X unif (a, b) (popular: standard uniform a = 0, b = 1)
pdf
fX (u) =

1
(ba)

u (a, b)
otherwise.

cdf

Prof. Pritam Ranjan

QT - 1 (July 26, 2016)

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Continuous R.V.s
Named Continuous R.V.s

Uniform distribution
Expectation

Variance

Prof. Pritam Ranjan

QT - 1 (July 26, 2016)

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Continuous R.V.s
Named Continuous R.V.s

Uniform - example
A packaging line consistently packages 200 cartons per hour. After weighing
every package variation was found in weights ranging from 18.2 lbs - 20.4 lbs.
The customer requires <20.0 lbs for ergonomic reasons.
(a) Find the mean and standard deviation
(b) Find the probability that a package weigh less than 18.0 lbs
(c) Find the probability that a package exceeds the customer requirement.

Prof. Pritam Ranjan

QT - 1 (July 26, 2016)

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Continuous R.V.s
Named Continuous R.V.s

Uniform - example: HW
According to the National Association of Insurance Commissioners, the average
annual cost for automobile insurance in the United States in a recent year was
$691. Suppose automobile insurance costs are uniformly distributed in the
United States with a range of $200 to $1,182.
What is the probability that a persons annual cost for automobile insurance
in the United States is between $410 and $825?

Prof. Pritam Ranjan

QT - 1 (July 26, 2016)

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Continuous R.V.s
Named Continuous R.V.s

Uniform - example: HW
If X Unif (0, 1), nd the distribution of Y = aX + b.

Prof. Pritam Ranjan

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Continuous R.V.s
Named Continuous R.V.s

Uniform - example
Suppose X Unif [5, 10]. Find the probability that X 2 5X 6 is
greater than zero.

Prof. Pritam Ranjan

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Continuous R.V.s
Named Continuous R.V.s

Uniform - example: HW*


A stick of length 1 is split at a point U that is uniformly distributed
over (0, 1). Determine the p.d.f. of the longer piece.

Prof. Pritam Ranjan

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Continuous R.V.s
Named Continuous R.V.s

Important remarks
Random number generator on your calculator are supposedly
uniform (actually they are quasi random)
Basis for generating numerous other random numbers
discrete
continuous
Probability integral transformation
Let X be a random variable and Y = FX (X ) such that FX () is
invertible, then Y Unif (0, 1)

Prof. Pritam Ranjan

QT - 1 (July 26, 2016)

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Continuous R.V.s
Named Continuous R.V.s

Uniform - example: HW
Suppose X U[0, 1] and
Y =
Find the p.m.f. of Y .

Prof. Pritam Ranjan

1
x <p
0 otherwise.

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Continuous R.V.s
Named Continuous R.V.s

Uniform - example
Suppose X U[0, 1] and Y = ln(X ). Find the p.d.f. of Y .

Prof. Pritam Ranjan

QT - 1 (July 26, 2016)

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Continuous R.V.s
Named Continuous R.V.s

Exponential distribution

Prof. Pritam Ranjan

QT - 1 (July 26, 2016)

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Continuous R.V.s
Named Continuous R.V.s

Exponential distribution
Notation: X Exp() for > 0
Motivating examples:

waiting time between two occurrences of a Poisson event


(e.g., customers arrival time, hurricanes, )
lifetime of a lightbulb (extensively used in reliability)
pdf
fX (u) =
cdf

Prof. Pritam Ranjan

e u
0

u>0
otherwise.

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Continuous R.V.s
Named Continuous R.V.s

Exponential distribution
Expectation

Variance

Prof. Pritam Ranjan

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Continuous R.V.s
Named Continuous R.V.s

Exponential distribution
Memoryless property

Alternative representation: X Exp() for > 0


1 u/
u>0
e
fX (u) =
0
otherwise.

Prof. Pritam Ranjan

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Continuous R.V.s
Named Continuous R.V.s

Waiting time - example


A student takes the campus shuttle bus to reach the classroom building. The
shuttle bus arrives at his stop every 15 minutes but the actual arrival time at
the stop is random. The student allows 10 minutes waiting time for the shuttle
in his plan to make it in time to the class.
(a) What is the expected waiting time? What is the variance?
(b) What is the probability that the student will be in time for the class?
(c) If he wants to be 95% condent of being on time for the class, how much
time should he allow for waiting for the shuttle?

Prof. Pritam Ranjan

QT - 1 (July 26, 2016)

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Continuous R.V.s
Named Continuous R.V.s

Reliability - example: HW
Laptop computers produced by a company have an average life of 38.36
months. Assume that the life of a computer is exponentially distributed (which
is a good assumption).
(a) What is the probability that a computer will fail within 12 months?
(b) If the company wants not more than 5% of the computers to fail during the
warranty period, what should be the warranty period?
(c) If he wants to be 95% condent of being on time for the class, how much
time should he allow for waiting for the shuttle?

Prof. Pritam Ranjan

QT - 1 (July 26, 2016)

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Continuous R.V.s
Named Continuous R.V.s

CCTV footage - example: HW


The time interval between two successive customers entering a store in a mall is
exponentially distributed with a mean of 6.55 seconds.
(a) On a particular day a security camera is installed. Using an entry sensor, the
camera takes pictures of every customer entering the shop. It needs 0.75
second after a picture is taken to get ready for the next picture. What is the
probability that the camera will miss an entering customer?
(b) How quick should the camera be if the store owner wants to photograph at
least 95% of entering customers?

Prof. Pritam Ranjan

QT - 1 (July 26, 2016)

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Continuous R.V.s
Named Continuous R.V.s

Air trac management - example


Data collected at Toronto Pearson International Airport suggests that an
exponential distribution with mean value 2.725 hours is a good model for
rainfall duration
What is the probability that rainfall duration exceeds the mean value by more
than 2 standard deviations?

Prof. Pritam Ranjan

QT - 1 (July 26, 2016)

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Continuous R.V.s
Named Continuous R.V.s

Memoryless property - example


Let X be the time between two successive arrivals at the branch managers desk
of the IIM branch of SBI, which follows an exponential distribution with = 10
mins. Given that no one visited the branch manager in the last 30 mins, what is
the probability of waiting additional 10 minutes before the next arrival?

Prof. Pritam Ranjan

QT - 1 (July 26, 2016)

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Continuous R.V.s
Named Continuous R.V.s

Homework

Next topic: Normal distribution


Finish unsolved examples from todays lecture

Prof. Pritam Ranjan

QT - 1 (July 26, 2016)

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