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2.6 Continuous distributions

2.6.1 The Gaussian or Normal distribution

The pdf of the Gaussian (normal) distribution is:

μX = the mean and

σX = standard deviation

Standarization

Z = (X − µX ) /σ X (this is a linear transformation)

Standard normal variable, Z

μ =0

σ=1

X can be recuperated as:

X = µX + σ X Z

ΦN (z) = cdf of a Gaussian distribution has no closed form.

The sum of a large number of independent variables, none of them dominating, is normal.
Computer software returns values for the pdf and cdf of a normal variable. Standard values
are also tabulated.

Example 2.13

X is normal with μ = 10 and σ = 2 ; what is the probability of X <14 ?

P( X < 14) = P(10 + 2Z < 14) = P(Z < 2) = ΦN (2) = 1− Φ(−2) = 0.977

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Example 2.14

A material has a mean strength µ (x) = 30MPa with a coefficient of variation of 13.3%. If
the strength is normal, find the probability that it is less or equal to 20 MPa?

The standard deviation is σ (X ) = µ (X ) ⋅V (X ) = 0.133 x 30 ≈ 4MPa, then:

Z = (20 – 30 )/ 4 = −2.5

From a table or from excel 0.62 ×10−2.

2.6.2 The uniform distribution

The uniform distribution assigns equal density to all outcomes within an interval [a, b]

Plots of the pdf and cdf for a uniform [a, b] random variable are presented above.

µX = E(X) = ( a + b )/2

σ X = ( b – a ) /√12

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Standarization

Z = (X – a ) / (b – a )

E( Z) =[ E(X) − a] / (b – a ) = [ 0.5a + 0.5bB – a] / (b – a ) = 0.5

(c) pdf (d) cdf

Figure 2.10: Probability density function (pdf) and cumulative distribution function
(cdf) for a uniformly distributed random variable in [0,1]

2.6.3 The triangular distribution

The triangular distribution has three parameters. It is defined on an interval [a, c] and it has
an extra parameter b which is the single mode (value where the density is highest) of the
distribution. Plots of the pdf and cdf for a triangular variable with a = 0, b = 1, c = 2 are in
Figure 2.11.

(a) pdf (b) cdf

Figure 2.11 pdf and cdf for a triangular variable

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2.6.4 Sums of continuous random variables

Let X and Y be two independent continuous random variables with pdfs f (x) and g( y) ,
respectively. The convolution ( f ⊗ g ) (z) of f and g is the pdf of Z = X + Y

f ⊗ g = ∫ f (z − y)g( y) dy = ∫ f ( y)g(z − y)dy (2.86)

Example 2.15

Let X and Y = uniformly distributed variables on [0, 1]. Find the pdf of Z = X + Y

The pdf of a uniform random variable on [a, b] is given by 1 /(b − a) Then:

f (x) = 1 for 0 ≤ x ≤ 1, zero otherwise

g( y) = 1 for 0 ≤ y ≤ 1, zero otherwise

z
fZ (z) = ( f X ⊗ fY ) (z) = ∫0 fX (z − y) fY ( y) dy
z
fY ( y) =1 for y ∈[0, 1] and hence fZ (z) = ∫0 fX (z − y) dy

The last expression = 1 for 0 ≤ z − y ≤ 1 (because z – y = x)

For 0 ≤ z ≤ 1 the integrand = 1 between 0 ≤ y ≤ z

z
fZ (z) = ∫0 dy = z
2
Now for 1 ≤ z ≤ 2 fZ (z) = ∫z fX (z − y) dy =1 for z −1 ≤ y ≤ 1
2
fZ (z) = ∫z dy = 2 − z .

2.6.5 Lognormal Distribution

X = exp(Y) X is lognormal if Y is normal

Y = ln(X)

The lognormal distribution is a nonlinear transformation of a normal distribution.

(2.90)

The lognormal distribution is usually used for variables that cannot be negative.

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Figure 2.13: Lognormal pdf and cdf.

Example 2.16

Consider example 2.14 but now X = material strength is lognormal with µ(x) = 30MPa and
coefficient of variation = 13.3%. Find the probability that the strength ≤ 20 MPa

σ (X ) = µ (X ) ⋅V (X ) = 0.133 × 30 ≈ 4MPa, then:

[σ(X )/E(X)]2 = exp{ σ 2 (Y) − 1 } = 0.1332

σ 2(Y ) = ln (1 + 0.1332 ) = 0.017534

σ (Y ) = √0.017534 = 0.1324

E(Y ) = ln [µ ( X ) −½ σ 2(Y ) ] = ln(30 – 0.5×0.017534] = 3.4009

The approximations are E(Y ) ≈ ln [µ ( X )] = ln(30) = 3.4012

σ (X ) ≈ µ ( X ) σ (Y ) = 30 ×0.133 =

σ (Y )≈ σ (X) / µ ( X ) = 4 / 30 = 0.1333

P( X < 20) = P{Y < ln(20)}

P( X < 20) = P{3.39 + 0.133Z < ln(20)}, ln(20) ≈ 3.0

P( X < 20) = P{Z < (3.00 − 3.39) / 0.133}

P( X < 20) = P{Z < −3.0} = 0.0013 (2.93)

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Example 2.17

The results of fatigue tests on welds indicate µX = 430000 cycles and σX = 215000 cycles.
Determine the pdf and cdf of the distribution of Y and calculate the 5th -percentile.

The parameters of the lognormal distribution are calculated similarly as in Example 2.16:

2.6.6 Extreme Value Distributions

X = largest or smallest values of a large group of random variables

Examples: a big wave, maximum wind speed or the lowest strength.

The first book by Gumbel (1958)

Extreme value distributions are classified in three types:

• Type I, defined for (−∞, +∞);

• Type II, bounded for maxima by a lower bound and for minima by an upper bound;

• Type III is precisely in an opposite relation.

Example 2.18

Let Y1 ,...,Yn be independent identically distributed Frèchet (extreme value distributed of a

type II maximum) random variables.

Define X = max(Y1 ,...,Yn ) . What is the distribution of X ?

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Example 2.19

Measurements of the annual maximum flow rate (X) in a river over a long time have
resulted in µX = 10 m³/s and σ X = 5 m³/s. Experience and previous statistical analysis
suggests that the distribution of X is well approximated by a Type I (Gumbel). The parameters
of the distribution of interest according to Table 2.3 are:

The probability that the maximum flow rate exceeds 20 m³/s is:

The probability density function is visualized in Figure 2.15b. This graph indicates that
there is a significant probability of obtaining negative minimum flow rates, which is
impossible. The model is not recommended.

2.6.7 The Gamma distribution

The gamma distribution is of interest in the mathematical theory of reliability.

It the foundation of the gamma process to be briefly discussed later in Chapter 10.

The pdf is:

E( X ) = a ⋅ k, σ( X ) = a ⋅ √ k

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pdf cdf

Figure 2.16 Gamma distribution

2.7 Two random variables X and Y

2.7.1 Two dimensional probability density function

The two dimensional probability density f unction of two random variables X and Y is

fXY (x, y)dxdy = P(x < X < x + dx and y < Y < y + dy)

Properties:

If the variables x and y are independent:

f XY (x, y)dxdy = f X (x) fY ( y)dxdy (2.107)

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Figure 2.17: The two dimensional probability density function

2.7.2 Expected Value, Mean, Variance

Properties:

E(a) = a (2.109)
E(a ⋅ g) = a ⋅ E(g) (2.110)

E(g + h) = E(g) + E(h) (2.111)

If x and y are independent:

E{g(x) ⋅ h( y)} = E{g(x)}⋅ E{h( y)}

μ( X ) = E( X ); σ 2 ( X ) = E[{X − μ(X )}2 ] (2.114)

μ(Y ) = E(Y ); σ 2 (Y ) = E[{Y − μ(Y )}2 ] (2.115)

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2.7.3 Covariance

A third measure is:

cov( X ,Y ) = Ε[ {E [ {X − E( X ) } {( Y − E(Y) ] (2.116)

a) Perfect positive linear dependence b) Perfect negative linear dependence

c) Positive dependence d) Negative dependence

𝜌𝜌XY = 𝜌𝜌(X, Y) = Pearson’s correlation coefficient

Properties:

• X and Y are independent: 𝜌𝜌XY = 0

• X and Y are completely linearly dependent: 𝜌𝜌XY = ±1

• −1 ≤ 𝜌𝜌XY ≤ +1

For complete linear dependency

Y = aX + b .

E(Y ) = aE( X ) + b and σ(Y ) = a σ( X ) .

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Note: if X and Y are independent r = 0, but from 𝜌𝜌 = 0 it cannot be concluded that X and Y
are independent; some other non-linear dependencies can be in play. If X and Y are normal
and 𝜌𝜌 = 0, X and Y are independent.

The correlation coefficients are ρXY = 0.5 and ρST = −0.2

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2.7.4 Function of two variables

• Z = g(X ,Y )

• If the mutual pdf of X and Y is known then the pdf of Z can be calculated

• Often, it suffices to determine the expected value and the standard deviation.

If Z = X + Y, then

E(Z) = E(X + Y ) = E(X ) + E(Y ) (2.133)

Linear function Z = a + b X + c Y

E(Z) = a+ b E(X ) + c E(Y )

σ 2 (Z ) = b2σ 2( X ) + 2bc cov( XY ) + c2σ 2(Y ) (2.135)

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If X and Y are independent

cov( XY ) = 0

σ 2 (Z ) = b2σ 2( X ) + c2σ 2(Y )

Approximation of a nonlinear function

If Z = g( X Y ) = nonlinear function o f X a n d Y

The following linearization approximation can be used:

g′X and g'X partial derivative 𝛿𝛿𝑔𝑔/𝛿𝛿 and 𝛿𝛿𝛿𝛿/𝛿𝛿

(X0 Y0) = (X0, Y0 ) is the linearization point.

Sometimes (X0, Y0 ) is taken as (E(X ), E(Y )) (the mean value approximation)

Example 2.22

Examine Z = XY, with X and Y being independent.

Choose

X0 = E(X ) and Y0 = E(Y ) :

E(Z) = E(X )E(Y ) + { X − E( X )}E(Y ) + {Y − E(Y )} E( X )

E(Z ) = E( X )E(Y )

σ 2(Z ) = {E(Y )σ ( X )}2 + { E( X )σ(Y )}2 (2.140)

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