Probability and Statistics (MATH F113)

Pradeep Boggarapu
Department of Mathematics
BITS PILANI K K Birla Goa Campus, Goa

February 8, 2018

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 Standard Examples for Continuous Random
Variables

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Standard examples of continuous randam variables

1 Uniform distribution
2 Gamma distribution
3 Exponential distribution
4 Chi-squared distribution
5 Normal distribution

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Uniform distribution
Definition 0.1.
We say that X is a uniform random variable on the interval
(a, b) if the probability density function of X is given by
1
f (x) = , a < x < b.
b−a

Note that the cdf of X is given by



 0 if x ≤ a

x−a
F (x) = b−a if a < x < b


1 if x ≥ b.


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Uniform distribution Cont.

Theorem 0.2.
Let X be uniformly destributed over an interval (a, b)
then
a+b
1 The mean is given by µ = .
2
(b − a)2
2 Var (X ) = σ 2 = .
12
3 The mgf of X is given by
 tb ta
 e −e if t 6= 0
t(b−a)
mX (t) =
1 if t = 0.

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 8, 2018 5 / 32

Problems

Example 1. If X is uniformly distributed over (0, 10),

calculate the probability that (a) X < 3, (b) X > 6, and
(c) 3 < X < 8.
Example 2. Buses arrive at a specified stop at 15-minute
intervals starting at 7 A.M. That is, they arrive at 7, 7:15,
7:30, 7:45, and so on. If a passenger arrives at the stop at
a time that is uniformly distributed between 7 and 7:30,
find the probability that he waits
(a) less than 5 minutes for a bus;
(b) more than 10 minutes for a bus.

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Problems

Example 3. Consider a random chord of a circle and

assume that the length of the chord is uniformly
distributed over (0, d) where d is the diameter of the
circle. What is the probability that the length of the chord
will be greater than the side of the equilateral triangle
inscribed in that circle ?
Example 4. A stick of length 1 is split at a point U that is
uniformly distributed over (0, 1). Determine the expected
length of the piece that contains the point p, 0 ≤ p ≤ 1.
Example 5. If X ∼ U(0, 1) and a < b, then find the
distribution of Y = a + (b − a)X .
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Gamma distribution

Definition 0.3 (Gamma function).

The function Γ defined by
Z ∞
Γ(α) = t α−1 e −t dt; α>0
0

is called the gamma function.

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Gamma function

Theorem 0.4 (Properties of the gamma function).

1 Γ(1) = 1.
2 For α > 1, Γ(α) = (α − 1)Γ(α − 1).
3 Γ(n + 1) = n! for positive integer n.

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Gamma distribution

Definition 0.5.
A random variable X with density
1
f (x) = α
x α−1 e −x/β ; x > 0, α > 0, β > 0
Γ(α)β

is said to have gamma distribution with parameters α and

β.

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Gamma distribution cont.

Theorem 0.6.
Let X be a gamma random variable with parameters α
and β, i.e., X ∼ Γ(α, β). Then
1 The moment generating function for X is given by

mX (t) = (1 − βt)−α , t < 1/β.

2 E [X ] = αβ.
3 Var (X ) = αβ 2 .

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Gamma distribution cont.

Example 6. Prove the following:

1 If Xi ∼ Γ(αi , β), i = 1, 2, 3, . . . , n are independent
Xn X n 
then Xi ∼ Γ αi , β .
i=1 i=1

2 If X ∼ Γ(α, β), then for any k > 0, kX ∼ Γ(α, kβ).

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Exponential distribution

Exponential distribution is a special case of Gamma

distribution with parameters α = 1 and β.

Definition 0.7.
A random variable X with density
1 −x/β
f (x) = e ; x > 0, α > 0, β > 0
β

is said to have exponential distribution with parameters β.

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Exponential distribution Cont.

Theorem 0.8.
Let X be an exponential random variable with parameter
β. Then
1 The moment generating function for X is given by

mX (t) = (1 − βt)−1 , t < 1/β.

2 E [X ] = β.
3 Var (X ) = β 2 .

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Exponential distribution Cont.

Example 7. Let the life time of a radio in years,

manufactured by a certain company follows exponential
distribution with average life 15 years. What is the
probability that, of eight such radios, at least two last
more than 15 years.

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Exponential distribution Cont.

Example 8. The life length X of an electronic component

follows exponential distribution. There are two processes
by which component may be manufactured. The expected
life length of the component is 100 hours, if the process I
is used to manufacture, while 150 hours, if the process II
is used. The cost of manufacturing a single component by
process I is Rs 10/- while it is Rs 20/- for process II.
Moreover if the component last less than the guaranteed
life of 200 hours, a loss of Rs 50/- is to borne by the
manufacturer. Which process is advantageous to
manufacturer ?

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Exponential distribution Cont.

Theorem 0.9.
Consider a Poisson process with parameter λ. Let W
denote the time of the occarance of the first event. W
has an exponential distribution with β = 1/λ.

Example 9. If number of calls received in a call center

follows Poisson distribution with mean number of calls
received is one every 5 minutes, then find the probability
that we must wait at most four minutes before the first
call is received.

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Exponential distribution Cont.

Example 10. The time to failure of an electrical

component has an exponential distribution and it is
known that 20 percent of the components have failed by
10 hours. What is the probability that a component is still
working after 100 hours ?

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Chi-squared distribution

Definition 0.10 (Chi-squared distribution).

A random variable X is said to have Chi-squared
distribution with γ > 0 degrees of freedom, if X follows
the Gamma distribution with parameter α = γ/2 and
β = 2. We denote this variable by Xγ2 .

The density function of Chi-squared random variable with

degree of freedom γ is given by
1
f (x) = γ/2
x γ/2−1 e −x/2 .
Γ(γ/2)2

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Chi-squared distribution Conti.

Theorem 0.11.
1 The moment generating function for Xγ2 is given by

mX (t) = (1 − 2t)−γ/2 , t < 1/2.

2 E [Xγ2 ] = γ.
3 Var (Xγ2 ) = 2γ.

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Chi-squared distribution Table.
Notation : For any r ∈ [0, 1], χ2γ,r is a nonnegative real
number such that P[Xγ2 ≥ χ2γ,r ] = r .

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Chi-squared distribution Conti.

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Chi-squared distribution Conti.

Example 11. Find the following:

1 P[X32 ≤ 0.352]
2
2 P[X10 ≤ 3.25]
3 If P[X52 ≤ x] = 0.5, then what is the value of x?
4 What are the value of χ24,0.9 and χ25,0.975 ?

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Chi-squared distribution Conti.

Example 12. If life length of certain kind of device follows

chi-squared distribution with dof 10. Find the probability
that exactly 2 of 6 such devices in a system will have to
be replaced within the first 16 hours of operation. Assume
that life of the devices are independent.
Example 13. If Xi , i = 1, 2, . . . , n are independent
chi-squared random variablesP with dof γi , i = 1, 2, . . . , n
respectively,
Pn then show that ni=1 Xi is chi-squared with
dof i=1 γi .

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 8, 2018 24 / 32

Normal distribution

Definition 0.12 (Normal distribution).

A random variable X with density
1 2
f (x) = √ e −(1/2)[(x−µ)/σ] , −∞<x <∞
2πσ
where −∞ < µ < ∞, σ > 0, is said to have a normal
distribution with parameters µ and σ.

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Normal distribution conti.

Theorem 0.13.
Let X be normally distributed with parameters µ and σ.
1 The moment generating function for X is given by
2 2
mX (t) = e µt+σ t /2
.

2 E [X ] = µ.
3 Var [X ] = σ 2 .

Notation: We use the notation X ∼ N(µ, σ 2 ) to say that

X follows normal distribution with mean µ and variance σ 2
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Normal distribution conti.

Definition 0.14 (Standard Normal Distribution).

The random variable following normal distribution with
mean µ = 0 and variance σ 2 = 1 is called standard normal
random variable, usually it is denoted by Z .

Theorem 0.15 (Standardization theorem).

Let X be normal with mean µ and standard deviation σ.
The random variable (X − µ)/σ is standard normal.

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Graph of density function of normal rv

Notation : For given r ∈ [0, 1], zr is a real number such

that P[Z ≥ zr ] = r .

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Standard distribution-Table

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Standard distribution-Table

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Standard distribution-Table

Example 14. Find the following:

1 P[Z ≤ −2.95]
2 P[Z ≤ −2.62]
3 Z0.9956
4 Z0.33
5 Z0.1515

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 Thank you for your attention

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