4.

1 Continuous Random Variables

and their Probability Distribution
A continuous random variable has a
probability of zero of assuming exactly any of its
values. Consequently, its probability distribution
cannot be given in tabular form. At first this may
seem startling, but it, becomes more plausible
when we consider a particular example. Let us
discuss a random variable whose values are the
heights of all people over 21 years of age.
Between any two values, say 163.5 and 164.5
centimeters, or even 163.99 and 164.01
centimeters, there are an infinite number of
heights, one of which is 164 centimeters. The
probability of selecting a person at random who
is exactly 164 centimeters tall and not one of the
infinitely large set of heights so close to 164
centimeters that you cannot humanly measure
the difference is remote, and thus we assign a
probability of zero to the event. This is not the
case, however, if we talk about the probability of
selecting a person who is at least 163
centimeters but not more than 165 centimeters
tall. Now we are dealing with an interval rather
than a point value of our random variable.
We shall concern ourselves with
computing probabilities for various intervals of
continuous random variables such as P(a < X <
b), P(W > c), and so forth. Note that when X is
continuous,
Simply the density function of A'. Since X is defined
over a continuous sample space, it is possible for
f(x) to have a finite number of discontinuities.
However, most density functions that have practical
applications in the analysis of statistical data are
continuous and their graphs may take any of
several forms, some of which are shown in Figure
4.1. Because areas will be used to represent
probabilities and probabilities arc positive numerical
values, the density function must lie entirely above
the x axis. A probability density function is
constructed so that the area under its curve
bounded by the x axis is equal to 1 when computed
over the range of X for which f(x) is defined. Should
this range of X be a finite interval, it is always
possible to extend the interval to include the entire
sot of real numbers by defining f(x) to be zero at all
points in the extended portions of the interval. In
Figure 4.2, the probability that X assumes a value
between a and /; is equal to the shaded area under
the density function between the ordinates at. x = a
and x = b, and from integral calculus is given by

P(a < X < b) = P(a < X < b) + P(X = b) =

P(a < X < b).

That is, it does not matter whether we

include an endpoint of the interval or not. This is
not true, though, when X is discrete. Although
the probability distribution of a continuous
random variable cannot be presented in tabular
form, it can be stated as a formula. Such a
formula would necessarily be a function of the Example 4.1
numerical values of the continuous random
variable X and as such will be represented by
the functional notation f(x). In dealing with
continuous variables, f(x) is usually called the
probability density function, or
For the density

Let’s see how this compares with the formula for a

function , find f(x), discrete random variable:
and use it to evaluate P(0 < X ≤ 1).

The discrete formula says to take a weighted

sum of the values xi of X, where the weights are
Therefore, the probabilities p(xi). Recall that f(x) is a
probability density. Its units are prob/(unit of X).

So f(x) dx represents the probability that X is in

an infinitesimal range of width dx around x. Thus
we can interpret the formula for E(X) as a
weighted integral of the values x of X, where the
weights are the probabilities f(x) dx.

The cumulative distribution function F(x) is

expressed graphically in Figure 4.3. As before, the expected value is also called
the mean or average.
Now,

Example 4.2

Let X ∼ uniform(0, 1). Find E(X).

SOLUTION:

Since X has a range of [0, 1] and a density of

f(x) = 1:

Not surprisingly, the mean is at the midpoint of

4.2 Expected Values of Continuous the range.
Random Variables
Let X be a continuous random variable with Example 4.3
range [a, b] and probability density function f(x).
The expected value of X is defined by
Let X have range [0, 2] and density . Find E(X).

Does it make sense that this X has mean is in
the right half of its range?
Yes. Since the probability density increases as
x increases over the range, the average value of
x should be in the right half of the range.
µ is “pulled” to the right of the midpoint 1
because there is more mass to the right.
Properties of E(X)
The properties of E(X) for continuous random
variables are the same as for discrete ones:
1. If X and Y are random variables on a sample
space Ω then
E(X = Y) = E(X) + E(Y)
2. If a and b are constants then
E(aX + b) = aE(X) + b
Expectation of Functions of X
This works exactly the same as the discrete
case. if h(x) is a function then Y = h(X) is a
random variable and
Example 4.4
Let X ∼ exp(λ). Find E(X2).
4.3 Normal Distribution
The Normal Distribution is the most important
and most widely used continuous probability
distribution. It is the cornerstone of the
application of statistical inference in analysis of
data because the distributions of several
important sample statistics tend towards a
Normal distribution as the sample size
increases.
Empirical studies have indicated that the Normal
distribution provides an adequate
approximation to the distributions of many
physical variables. Specific examples include
meteorological data, such as temperature and
rainfall, measurements on living organisms,
scores on aptitude tests, physical
measurements of manufactured parts, weights
of contents of food packages, volumes of liquids
in bottles/cans, instrumentation errors and other
deviations from established norms, and so on.
The graphical appearance of the Normal
distribution is a symmetrical bell-shaped curve
that extends without bound in both positive and
negative directions.
The probability density function is given by
where μ and σ are parameters. These turn out
to be the mean and standard deviation,
respectively, of the distribution. As a shorthand Example 4.5
notation, we write X ~ N(μ,σ2).

The volume of water in commercially supplied

The curve never actually reaches the horizontal fresh drinking water containers is approximately
axis buts gets close to it beyond about 3 Normally distributed with mean 70 litres and
standard deviations each side of the mean. standard deviation 0.75 litres. Estimate the
proportion of containers likely to contain

For any Normally distributed variable:

(i) in excess of 70.9 litres, (ii) at most 68.2
litres, (iii) less than 70.5 litres.
68.3% of all values will lie between μ −σ
and μ + σ (i.e. μ ± σ )
SOLUTION
95.45% of all values will lie within μ ± 2
σ
99.73% of all values will lie within μ ± 3 Let X denote the volume of water in a container,
σ in litres. Then X ~ N(70, 0.752 ), i.e. μ = 70, σ =
0.75 and Z = (X − 70)/0.75

The graphs below illustrate the effect of

changing the values of μ and σ on the shape of  X = 70.9 ; Z = (70.9 − 70)/0.75 = 1.20
the probability density function. Low variability P(X > 70.9) = P(Z > 1.20) = 0.1151 or 11.51%
(σ = 0.71) with respect to the mean gives a
pointed bell-shaped curve with little spread.
Variability of σ = 1.41 produces a flatter  X = 68.2 ; Z = −2.40
bellshaped curve with a greater spread.
P(X < 68.2) = P(Z < −2.40) = 0.0082 or 0.82%

 X = 70.5 ; Z = 0.67
P(X > 70.5) = 0.2514 ; P(X < 70.5) = 0.7486 or
74.86%

4.4 Normal Approximation to

Binomial and Poisson Distribution
Binomial Approximation
The normal distribution can be used as an
approximation to the binomial distribution, under
certain circumstances, namely:

If X ~ B(n, p) and if n is large and/or p is close to

½, then X is approximately N(np, npq)
(where q = 1 - p)
Suppose we toss a fair coin 20 times. What is
the probability of getting between 9 and 11
In some cases, working out a problem using the
heads?
Normal distribution may be easier than using a
Binomial.
SOLUTION
Poisson Approximation
Let X be the random variable representing the
number of heads thrown.
The normal distribution can also be used to
X ~ Bin(20, ½)
approximate the Poisson distribution for large
values of l (the mean of the Poisson
distribution).
Since p is close to ½ (it equals ½!), we can use
the normal approximation to the binomial. X ~
N(20 × ½, 20 × ½ × ½) so X ~ N(10, 5) .
If X ~ Po(l) then for large values of l, X ~ N(l, l)
approximately.
In this diagram, the rectangles represent the
binomial distribution and the curve is the normal
Continuity Correction
distribution:

The binomial and Poisson distributions are

discrete random variables, whereas the normal
distribution is continuous. We need to take this
into account when we are using the normal
distribution to approximate a binomial or
Poisson using a continuity correction.

In the discrete distribution, each probability is

represented by a rectangle (right hand
diagram):
We want P(9 ≤ X ≤ 11), which is the red shaded area.
Notice that the first rectangle starts at 8.5 and the
last rectangle ends at 11.5 . Using a continuity
correction, therefore, our probability becomes P(8.5
< X < 11.5) in the normal distribution.

4.5 Exponential Distribution

When working out probabilities, we want to
include whole rectangles, which is what
continuity correction is all about.
Example 4.6
The exponential distribution obtains its name
from the exponential function in the probability
density function. Plots of the exponential
distribution for selected values of are shown in
Fig. 4.4. For any value of , the exponential
distribution is quite skewed.

Figure 4.4 Probability density function of exponential
random variables for selected values of λ
If the random variable X has an exponential
distribution with parameter λ,
It is important to use consistent units in the
calculation of probabilities, means, and
variances involving exponential random
variables. The following example illustrates unit
conversions.
Example 4.7
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.
What is the probability that there are no logons
in an interval of 6 minutes?
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 log-ons per hour.
We are interested in the probability that X
exceeds 6 minutes. Because is given in log-ons
per hour, we express all time units in hours. That
is, 6 minutes 0.1 hour. The probability requested
is shown as the shaded area under the
probability density function in Fig. 4.5.
Therefore,
In the previous example, the probability that
there are no log-ons in a 6-minute interval is
0.082 regardless of the starting time of the
interval. A Poisson process assumes that
events occur uniformly throughout the interval of
observation; that is, there is no clustering of
events. If the log-ons are well modeled by a
Poisson process, the probability that the first
log-on after noon occurs after 12:06 P.M. is the
same as the probability that the first log-on after
3:00 P.M. occurs after 3:06 P.M. And if
someone logs on at 2:22 P.M., the probability
the next log-on occurs after 2:28 P.M. is still
0.082.
Our starting point for observing the system does
not matter. However, if there are high-use
periods during the day, such as right after 8:00
A.M., followed by a period of low use, a Poisson
process is not an appropriate model for log-ons
and the distribution is not appropriate for
computing probabilities. It might be reasonable
to model each of the highand low-use periods
by a separate Poisson process, employing a
larger value for during the high-use periods and
a smaller value otherwise. Then, an exponential
distribution with the corresponding value of can
be used to calculate log-on probabilities for the
high- and low-use periods.