CHAPTER III

CONTINUOUS RANDOM VARIABLES AND

PROBABILITY DISTRIBUTIONS

Department of Foundation Year

Institute of Technology of Cambodia

2019–2020

PROBABILITY & STATISTICS CHAPTER III ITC 0 / 33

Probability Distributions for Continuous Variables

Definition 1
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, b with a ≤ b,
Z b
P (a ≤ X ≤ b) = f (x)dx.
a

Property
For f (x) to be a legitimate pdf, it must satisfy the following two
conditions:
1 f (x) ≥ 0 for all x
Z ∞
2 f (x)dx = 1.
−∞

PROBABILITY & STATISTICS CHAPTER III ITC 1 / 33

Probability Distributions for Continuous Variables

Example 1
Suppose that X is a continuous rv whose pdf is given by
(
C(4x − 2x2 ), 0 < x < 2,
f (x) =
0, otherwise.

(a) Determine the value of C ?

(b) Find P (X > 1).

PROBABILITY & STATISTICS CHAPTER III ITC 2 / 33

Probability Distributions for Continuous Variables

Example 2
The current in a certain circuit as measured by an ammeter is a
continuous random variable X with the following density function:
(
0.075x + 0.2, 3 ≤ x ≤ 5,
f (x) =
0, otherwise.

(a) Graph the pdf and verify that the total area under the density
curve is indeed 1.
(b) Calculate P (X ≤ 4). How does this probability compare to
P (X < 4)?
(c) Calculate P (3.5 ≤ X ≤ 4.5) and P (4.5 < X).

PROBABILITY & STATISTICS CHAPTER III ITC 3 / 33

The Cumulative Distribution Function

Definition 2
The cumulative distribution function (cdf ) F (x) for a continuous
rv X is defined for every number x by
Z x
F (x) = P (X ≤ x) = f (y)dy.
−∞

PROBABILITY & STATISTICS CHAPTER III ITC 4 / 33

The Cumulative Distribution Function

For each x, F (x) is the area under the density curve to the left of x.
This is illustrated in figure above, where F (x) increases smoothly as x
increases.

PROBABILITY & STATISTICS CHAPTER III ITC 5 / 33

The Cumulative Distribution Function
Theorem 1
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)

PROBABILITY & STATISTICS CHAPTER III ITC 6 / 33

The Cumulative Distribution Function

Example 3
Suppose the pdf f (x) of the magnitude X of a dynamic load on a
bridge (in newtons) is given by
(
1
+ 3 x, 0 ≤ x ≤ 2,
f (x) = 8 8
0, otherwise.

Find the cumulative distribution function.

Theorem 2
If X is a continuous rv with pdf f (x) and cdf F (x), then

F 0 (x) = f (x)

provided that F 0 (x) exists.

PROBABILITY & STATISTICS CHAPTER III ITC 7 / 33

The Cumulative Distribution Function

Definition 3
Let p be a number between 0 and 1. The (100p)th percentile of the
distribution of a continuous rv X, denoted by η(p), is defined by
Z η(p)
p = F (η(p)) = f (y)dy
−∞

Definition 4
The median of a continuous distribution, denoted by µ
e, is the 50th
percentile, so µ
e satisfies 0.5 = F (e
µ). That is,
Z µ
1 e
= F (e
µ) = f (y)dy.
2 −∞

PROBABILITY & STATISTICS CHAPTER III ITC 8 / 33

The Cumulative Distribution Function

PROBABILITY & STATISTICS CHAPTER III ITC 9 / 33

Expected Values
Definition 5
Let X be a continuous rv with pdf f (x).
1 The expected or mean value of X is
Z ∞
µX = E(X) = xf (x)dx.
−∞

2 The variance of X is
Z +∞
V (X) = E[(X − µ)2 ] = (x − µ)2 f (x)dx
−∞

3 The standard deviation of X is

p
σX = V (X)

PROBABILITY & STATISTICS CHAPTER III ITC 10 / 33

Expected Values

Definition 6
The moment-generating function (mgf ) of a continuous rv X, if it
exists, is Z +∞
M (t) = E etX = etx f (x)dx


−∞

Theorem 3
If X is a continuous rv with pdf f (x) and h(X) is any function of X,
then Z ∞
E[h(X)] = h(x).f (x)dx
−∞

PROBABILITY & STATISTICS CHAPTER III ITC 11 / 33

Expected Values

Theorem 4
Let X is a continuous rv. Then
1 E(aX + b) = aE(X) + b
2 V (x) = E(X 2 ) − E 2 (X)
3 V (aX + b) = a2 V (X)
4 σaX+b = |a|σX
5 M (n) (t) = E[X n etX ]
6 E[X] = M 0 (0)
7 V (X) = M 00 (0) − [M 0 (0)]2

PROBABILITY & STATISTICS CHAPTER III ITC 12 / 33

Expected Values
Example 4
The weekly demand for propane gas (in 1000s of gallons) from a
particular facility is an rv X with pdf
(
2 1 − x12 , 1 ≤ x ≤ 2,


f (x) =
0, otherwise.

(a) Compute the cdf of X.

(b) Obtain an expression for the (100p)th percentile. What is the
value of µ
e?
(c) Compute E(X) and V (X).
(d) If 1.5 thousand gallons are in stock at the beginning of the week
and no new supply is due in during the week, how much of the 1.5
thousand gallons is expected to be left at the end of the week?
[Hint: Let h(x)= amount left when demand=x.]
PROBABILITY & STATISTICS CHAPTER III ITC 13 / 33
The Uniform Distribution

Definition 7
A continuous rv X is said to have a uniform distribution on the
interval [a, b] if the pdf of X is
(
1
, a ≤ x ≤ b,
f (x) = b−a
0, otherwise

In this case, we write X ∼ U(a, b).

Theorem 5
If X ∼ U(a, b), then
etb −eta
(
a+b (b − a)2 t(b−a) , t 6= 0
E(X) = , V (X) = , M (t) =
2 12 1, t=0

PROBABILITY & STATISTICS CHAPTER III ITC 14 / 33

The Uniform Distribution

Example 5
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.

PROBABILITY & STATISTICS CHAPTER III ITC 15 / 33

The Normal Distribution
Definition 8
A continuous rv X is said to have a normal distribution with
parameters µ and σ (or µ and σ 2 ), where −∞ < µ < ∞ and 0 < σ, if
the pdf of X is
!2
1 x−µ
1 −
f (x) = √ e 2 σ , −∞ < x < ∞
2πσ 2

In this case, we write X ∼ N(µ, σ 2 ).

Theorem 6
If X ∼ N(µ, σ 2 ), then

σ 2 t2
 
2
E(X) = µ, V (X) = σ , M (t) = exp µt + .
2

PROBABILITY & STATISTICS CHAPTER III ITC 16 / 33

The Standard Normal Distribution

Definition 9
The normal distribution with parameter values µ = 0 and σ = 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 ∼ N(0, 1) is
1 2
f (z) = √ e−z /2 , −∞ < z < ∞
2π
The graph of f (z) is called the standard normal (or z) curve. Its
inflection points are at 1 and −1. The cdf of Z is
Z z
Φ(z) = P (Z ≤ z) = f (y)dy.
−∞

PROBABILITY & STATISTICS CHAPTER III ITC 17 / 33

Nonstandard Normal Distributions

Theorem 7
X −µ
Let X ∼ N(µ, σ 2 ). If Z = , then Z ∼ N(0, 1). Thus
σ
 
a−µ b−µ
P (a ≤ X ≤ b) = P ≤Z≤
σ σ
   
b−µ a−µ
=Φ −Φ
σ σ
 
a−µ
P (X ≤ a) = Φ
σ
 
b−µ
P (X ≥ b) = 1 − Φ
σ

PROBABILITY & STATISTICS CHAPTER III ITC 18 / 33

Nonstandard Normal Distributions

Example 6
In each case, determine the value of the constant c that makes the
probability statement correct:
(a) Φ(c) = .9838
(b) P (0 ≤ Z ≤ c) = .291
(c) P (c ≤ Z) = .121
(d) P (−c ≤ Z ≤ c) = .668
(e) P (c ≤ |Z|) = .016

PROBABILITY & STATISTICS CHAPTER III ITC 19 / 33

Nonstandard Normal Distributions

Example 7
Scores on an examination are assumed to be normally distributed with
mean 65 and variance 36.
1 What is the probability that a person taking the examination
scores higher than 70?
2 Suppose that students scoring in the top 10% of this distribution
are to receive an A grade. What is the minimum score a student
must achieve to earn an A grade?
3 What must be the cutoff point for passing the examination if the
examiner wants only the top 75% of all scores to be passing?
4 Approximately what proportion of students have scores 5 or more
points above the score that cuts off the lowest 15%?
5 If it is known that a student’s score exceeds 72, what is the
probability that his or her score exceeds 84?

PROBABILITY & STATISTICS CHAPTER III ITC 20 / 33

Approximating the Binomial Distribution

Theorem 8
Let X be a binomial rv based on n trials with success probability p.
Then if the binomial probability histogram is not too skewed, X has
√
approximately a normal distribution with µ = np and σ = npq. In
particular, for x =a possible value of X,
 
area of the normal curve
P (X ≤ x) = B(x; n, p) ≈
to the left of x + 0.5
 
x + 0.5 − np
=Φ √
npq
In practice, the approximation is adequate provided that both np ≥ 10
and nq ≥ 10, since there is then enough symmetry in the underlying
binomial distribution. B(x; n, p) is the cdf of Bin(n, p).

PROBABILITY & STATISTICS CHAPTER III ITC 21 / 33

Approximating the Binomial Distribution

Example 8
Suppose only 75% of all drivers in a certain state regularly wear a seat
belt. A random sample of 500 drivers is selected. What is the
probability that
(a) Between 360 and 400 (inclusive) of the drivers in the sample
regularly wear a seat belt?
(b) Fewer than 400 of those in the sample regularly wear a seat belt?

PROBABILITY & STATISTICS CHAPTER III ITC 22 / 33

The Exponential Distribution

Definition 10
A continuous rv X is said to have an exponential distribution with
parameter λ(λ > 0) if the pdf of X is
x
(
1 −λ
λ e , x > 0,
f (x) =
0, otherwise

In this case, we write X ∼ Exp(λ).

Theorem 9
If X ∼ Exp(λ), then
(
0, x < 0,
1 F (x) = x
1 − e− λ , x ≥ 0.
1
2 E(X) = λ, V (X) = λ2 , M (t) = 1−λt , t < λ1 .

PROBABILITY & STATISTICS CHAPTER III ITC 23 / 33

The Exponential Distribution

Example 9
Suppose that the length of a phone call in minutes is an exponential
random variable with parameter λ = 10. If someone arrives
immediately ahead of you at a public telephone booth, find the
probability that you will have to wait
(a) more than 10 minutes;
(b) between 10 and 20 minutes.

PROBABILITY & STATISTICS CHAPTER III ITC 24 / 33

The Gamma Function

Definition 11
The gamma function and the incomplete gamma function are
defined respectively by
Z ∞
Γ(α) = tα−1 e−t dt, α > 0.
0
Z x
Γ(x, α) = tα−1 e−t dt, α > 0, x > 0.
0

Theorem 10
1 Γ(α) = (α − 1)Γ(α − 1), α > 1.
2 Γ(n) = (n − 1)!, n ∈ N.

√
3 Γ 21 = π

PROBABILITY & STATISTICS CHAPTER III ITC 25 / 33

The Gamma Distribution

Definition 12
A continuous rv X is said to have a gamma distribution with
parameters α > 0 and β > 0 if the pdf of X is
(
α
1
xα−1 e−x/β , x > 0
f (x) = β Γ(α)
0, otherwise

In this case, we write X ∼ Gam(α, β). If β = 1, we call standard

gamma distribution.

PROBABILITY & STATISTICS CHAPTER III ITC 26 / 33

The Gamma Distribution

Theorem 11
If X ∼ Gam(α, β), then
1 1
E(X) = αβ, V (X) = αβ 2 , M (t) = , t< .
(1 − βt)α β

Theorem 12
Let X ∼ Gam(α, β). Then for any x > 0, the cdf of X is given by
 
x
F (x) = P (X ≤ x) = Γ ,α
β

PROBABILITY & STATISTICS CHAPTER III ITC 27 / 33

The Chi-squared Distribution

Definition 13
Let ν be a positive integer. Then a random variable X is said to have a
chi-squared distribution with parameter ν, we write X ∼ χ2 (ν), if
the pdf of X is the gamma density with α = ν2 and β = 2.

 ν 1 x ν2 −1 e− x2 , x > 0,
ν
f (x) = 2 2 Γ( 2 )
0, otherwise.

The parameter ν is called the number of degree of freedom of X.

PROBABILITY & STATISTICS CHAPTER III ITC 28 / 33

The Chi-squared Distribution

Theorem 13
If X ∼ χ2 (ν), then
ν 1
E(X) = ν, V (X) = 2ν, M (t) = (1 − 2t)− 2 , t< .
2

Theorem 14
If the random variable X ∼ N(µ, σ 2 ), σ 2 > 0, then the random variable
2
V = (X−µ)
σ2
= Z 2 ∼ χ2 (1).

PROBABILITY & STATISTICS CHAPTER III ITC 29 / 33

Beta Distribution

Definition 14
The beta function is defined by
Z 1
Γ(α)Γ(β)
B(α, β) = xα−1 (1 − x)β−1 dx = , α, β > 0
0 Γ(α + β)

where Γ is the gamma function.

Definition 15
The continuous rv X has a beta distribution with parameters α > 0
and β > 0 if its density function is given by
(
1
xα−1 (1 − x)β−1 , 0 < x < 1
f (x) = B(α,β)
0, otherwise

We write X ∼ Bet(α, β).

PROBABILITY & STATISTICS CHAPTER III ITC 30 / 33
Beta Distribution

Theorem 15
If X ∼ Bet(α, β), then

α αβ
E(X) = and V (X) =
α+β (α + β)2 (α + β + 1)

PROBABILITY & STATISTICS CHAPTER III ITC 31 / 33

Lognormal Distribution
Definition 16
The continuous rv X has a lognormal distribution if the random
variable Y = ln(X) has a normal distribution with mean µ and
standard deviation σ. The resulting density function of X is
( 1 2
√ 1
2πσx
e− 2σ2 [ln(x)−µ] , x > 0
f (x; µ, σ) =
0 , otherwise

We write X ∼ Log(µ, σ 2 ).

Theorem 16
If X ∼ Log(µ, σ 2 ), then
2 /2 2 2
E(X) = eµ+σ and V (X) = e2µ+σ (eσ − 1)

PROBABILITY & STATISTICS CHAPTER III ITC 32 / 33

Weibull Distribution

Definition 17
The continuous rv X has a Weibull distribution, with parameters α
and β, if its density function is given by
( β
αβxβ−1 e−αx , x > 0
f (x; α, β) = , α > 0, β > 0.
0, otherwise.

We write X ∼ Wei(α, β).

Theorem 17
If X ∼ Wei(α, β), then
  (     2)
1 2 1
E(X) = α−1/β Γ 1 + , V (X) = α−2/β Γ 1 + − Γ 1+
β β β

PROBABILITY & STATISTICS CHAPTER III ITC 33 / 33