Chapter 4. Continuous Random Variables and Probability Distribution

Chapter 4.
Continuous Random Variables and

Probability Distribution
Session 12
PhD. Tri Tuyen Luc
December 21, 2021

4.6.1 Normal distribution
4.6.2 Standard normal random variable
4.6 Normal Distribution
4.6.3 Standardizing a Normal Random Variable
4.6.4 Standardizing to Calculate a Probability

Definition 1 (Normal distribution).
A random variable X with probability density function
−(x − µ)2
1
f (x) = √ e 2σ 2 , −∞ < x < ∞ (1)
2πσ
is a normal random variable with parameters µ, where −∞ < µ < ∞ and
σ > 0.
Also,
E(X) = µ and V (X) = σ 2 . (2)
2
The notation N (µ, σ ) is used to denote the distribution.
PhD. Tri Tuyen Luc Chapter 4. Continuous Random Variables and Probability Distr

Example 4.10: Assume that the current measurements in a strip of
wire follow a normal distribution with a mean of 10 milliamperes
and a variance of 4 (milliamperes)2 . What is the probability that a
measurement exceeds 13 milliamperes?
Solution:
There is no closed-form expression for the integral of a normal

probability density function.
Definition 2 (Standard normal random variable).

A normal random variable with
µ = 0 and σ 2 = 1
is called a standard normal random variable and is denoted by Z.

The cumulative distribution function of a standard normal random
variable is denoted as
Φ(z) = P (Z ≤ z).
Notice: Appendix Table III provides cumulative probabilities for a standard
normal random variable. Cumulative distribution functions for normal random
variables are also widely available in computer packages.

Example 4.11: Assume Z is a standard normal random variable.
Appendix Table III provides probabilities of the form Φ(z) = P (Z ≤ z).
Read down the z column to the row that equals 1.5, we have
P (Z ≤ 1.5) = Φ(1.5) = 0.93319
The column headings refer to the hundredths digit of the value of z in

P (Z ≤ z). For example, P (Z ≤ 1.53) = Φ(1.53) = 0.93699.

Example 4.12: The calculations of probabilities based on standard normal
distribution can be shown pictorially as follows,
(1) P (Z > 1.26) = 1 − P (Z ≤ 1.26)
= 1 − Φ(1.26) = 1 − 0.89616 = 0.10384.
(2) P (Z > −1.37) = P (Z < 1.37)

= 0.91465.
(3) P (−1.25 < Z < 0.37) = P (Z < 0.37) − P (Z ≤ −1.25) =
0.64431 − 0.10565 = 0.53866.
(4) Find the value z such that

P (Z < z) = 0.05.
(5) Find the value of z such that
P (−z < Z < z) = 0.99
Standardizing a Normal Random Variable

If X is a normal random variable with E(X)µ and V (X) = σ 2 ,
then the random variable
X −µ
Z= (3)
σ
is a normal random variable with E(Z) = 0 and V (Z) = 1. That
is, Z is a standard normal random variable.
Notice: The random variable Z represents the distance of X from

its mean in terms of standard deviations.
It is the key step to calculating a probability for an arbitrary
normal random variable.

Example 4.13 (Normally Distributed Current): Suppose the current
measurements in a strip of wire are assumed to follow a normal
distribution with a mean of 10 milliamperes and a variance of 4
(milliamperes)2 . What is the probability that a measurement will
exceed 13 milliamperes?
Solution: We have µ = 10, σ 2 = 4 ⇒ σ = 2.
X − 10 13 − 10
P (X > 13) = P ( > ) = P (Z > 1.5)
2 2
= 1 − P (Z ≤ 1.5) = 1 − Φ(1.5) = 1 − 0.93319 = 0.06681
Standardizing to Calculate a Probability

Suppose X is a normal random variable with mean and variance
σ 2 . Then,

X −µ x−µ
P (X ≤ x) = P ≤ = P (Z ≤ z) (4)
σ σ
x−µ
where Z is a standard normal random variable, and z = is
σ
the z-value obtained by standardizing X. The probability is
obtained by using Appendix Table III with z = (x − µ)/σ.

Example 4.14: Continuing the Example 4.13,
(a) What is the probability that a current measurement is between 9 and
11 milliamperes?
9 − 10 X − 10 11 − 10
P (9 < X < 11) = P < <
2 2 2
= P (−0.5 < Z < 0.5) = P (Z < 0.5) − P (Z < −0.5)
= 0.69146 − 0.30854 = 0.38292.
(b) Determine the value for which the
probability that a current measurement
is below this value is 0.98.
P (X < x) = 0.98
x − 10
⇒ P (Z < z) = 0.98 where z = .
2
P (z < z) = 0.98 ⇔ Φ(z) = 0.98
⇒ z = 2.05.
⇒ (x − 10)/2 = 2.05 ⇒ x = 14.1.

Example 4.15 (Shaft Diameter): The diameter of a shaft in an optical
storage drive is normally distributed with mean 0.2508 inch and standard
deviation 0.0005 inch. The specifications on the shaft are 0.2500 ± 0.0015
inch. What proportion of shafts conforms to specifications?
Solution:
− 0.0015 < X < 0.2500 + 0.0015) = P (0.2485 <X < 0.2515)
P (0.2500
0.2485 − 0.2508 X − 0.2508 0.2515 − 0.2508
=P < <
0.0005 0.0005 0.0005
= P (−4.6 < Z < 1.4) = Φ(1.4) − Φ(−4.6)
= 0.91924 − 0.0000 = 0.91924.
If the process is centered so that the process
mean is equal to the target value of 0.2500,
P (0.2485 < X < 0.2515)

0.2485 − 0.2500 X − 0.2500 0.2515 − 0.2500
=P < <
0.0005 0.0005 0.0005
= P (−3 < Z < 3) = Φ(3) − Φ(−3) = 0.99865 − 0.00135 = 0.9973.

Example 4.16: The compressive strength of samples of cement can
be modeled by a normal distribution with a mean of 6000 Kg/cm2
and a standard deviation of 100 Kg/cm2 .
2
(a) What is the probability
that a sample’s strength
is less than 6250 Kg/cm ?
X − 6000 6250 − 6000
P (X < 6250) = P < = P (Z < 2.5) = 0.99379.
100 100
(b) What is the probability that a sample’s strength is between 5800 and 5900
Kg/cm2 ?
P (5800 < X < 5900) = P (z1 < Z < z2 ) = Φ(z2 ) − Φ(z1 ) where
z1 = (5800 − 6000)/100 = −2, z1 = (5900 − 6000)/100 = −1.
Hence
P (5800 < X < 5900) = Φ(−1) − Φ(−2) = 0.158655 − 0.022750 = 0.13591.
(c) What strength is exceeded by 95% of the samples?
P (X > x) = 0.95 ⇒ P (Z > z) = 0.95, where z = (x − 6000)/100.
Then P (Z ≤ z) = 1 − 0.95 = 0.05 ⇒ z = −1.644854
⇒ x = 6000 + 100z = 5835.515.
Thank you!

Chapter 4. Continuous Random Variables and Probability Distribution

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Chapter 4.

Continuous Random Variables and

PhD. Tri Tuyen Luc

December 21, 2021

4.6.1 Normal distribution

4.6.1 Normal distribution

There is no closed-form expression for the integral of a normal

4.6.2 Standard normal random variable

Definition 2 (Standard normal random variable).

is called a standard normal random variable and is denoted by Z.

4.6.2 Standard normal random variable

P (Z ≤ 1.5) = Φ(1.5) = 0.93319

The column headings refer to the hundredths digit of the value of z in

4.6.2 Standard normal random variable

(2) P (Z > −1.37) = P (Z < 1.37)

(4) Find the value z such that

4.6.3 Standardizing a Normal Random Variable

Standardizing a Normal Random Variable

Notice: The random variable Z represents the distance of X from

4.6.3 Standardizing a Normal Random Variable

4.6.4 Standardizing to Calculate a Probability

Standardizing to Calculate a Probability

4.6.4 Standardizing to Calculate a Probability

4.6.4 Standardizing to Calculate a Probability

4.6.4 Standardizing to Calculate a Probability

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