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You are on page 1of 29

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

Textbook coverage: Not in the book

1/31

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

u<0

0u<1

1u<2

2u<3

u 3.

2/31

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.

Is X a continuous random variable? Explain.

3/31

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 .

4/31

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?

5/31

Continuous R.V.s

Named Continuous R.V.s

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?

6/31

Continuous R.V.s

Named Continuous R.V.s

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?

7/31

Continuous R.V.s

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

8/31

Continuous R.V.s

Named Continuous R.V.s

Uniform distribution

9/31

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

10/31

Continuous R.V.s

Named Continuous R.V.s

Uniform distribution

Expectation

Variance

11/31

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.

12/31

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?

13/31

Continuous R.V.s

Named Continuous R.V.s

Uniform - example: HW

If X Unif (0, 1), nd the distribution of Y = aX + b.

14/31

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.

15/31

Continuous R.V.s

Named Continuous R.V.s

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.

16/31

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)

17/31

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 .

1

x <p

0 otherwise.

18/31

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 .

19/31

Continuous R.V.s

Named Continuous R.V.s

Exponential distribution

20/31

Continuous R.V.s

Named Continuous R.V.s

Exponential distribution

Notation: X Exp() for > 0

Motivating examples:

(e.g., customers arrival time, hurricanes, )

lifetime of a lightbulb (extensively used in reliability)

fX (u) =

cdf

e u

0

u>0

otherwise.

21/31

Continuous R.V.s

Named Continuous R.V.s

Exponential distribution

Expectation

Variance

22/31

Continuous R.V.s

Named Continuous R.V.s

Exponential distribution

Memoryless property

1 u/

u>0

e

fX (u) =

0

otherwise.

23/31

Continuous R.V.s

Named Continuous R.V.s

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?

24/31

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?

25/31

Continuous R.V.s

Named Continuous R.V.s

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?

26/31

Continuous R.V.s

Named Continuous R.V.s

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?

27/31

Continuous R.V.s

Named Continuous R.V.s

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?

28/31

Continuous R.V.s

Named Continuous R.V.s

Homework

Finish unsolved examples from todays lecture

29/31

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