5 ContinuousDiscributions

Some Continuous Probability Distributions
5-Some Continuous Probability Distributions
TeacherµQiang Ma(êr)
[email protected]
Contents
1 Uniform Distribution
2 Normal Distributions
3 Areas under the Normal Curve
4 Normal Approximation to the Binomial
5 Gamma and Exponential Distributions
6 Chi-Squared Distribution
Uniform Distribution
One of the simplest continuous distributions in all of statistics is the

continuous uniform distribution.
This distribution is characterized by a density function that is “flat”,
and thus the probability is uniform in a closed interval, say [A, B].
Definition 1 (Uniform Distribution)

The density function of the continuous uniform random variable X on
the interval [A, B] is
1
, A ≤ x ≤ B,
f (x; A, B) = B−A (1)
0, elsewhere.
The density function forms a rectangle with base B − A and constant

1
height B−A .
Figure 1.1: The density function for a random variable on the interval [1, 3].
Theorem 2
The (cumulative)distribution function F (x) of the uniform random
variable is 
0, x < A
x−A
F (x; A, B) = B−A , A≤x<B
1, x ≥ B

Example 3
Suppose that a large conference room at a certain company can be
reserved for no more than 4 hours. Both long and short conferences
occur quite often. In fact, it can be assumed that the length X of a
conference has a uniform distribution on the interval [0, 4].
1 What is the probability density function?
2 What is the probability that any given conference lasts at least 3
hours?
Example 3
Suppose that a large conference room at a certain company can be
reserved for no more than 4 hours. Both long and short conferences
occur quite often. In fact, it can be assumed that the length X of a
conference has a uniform distribution on the interval [0, 4].
1 What is the probability density function?
2 What is the probability that any given conference lasts at least 3
hours?
1
, 0 ≤ x ≤ 4,
1 f (x; A, B) = 4
0, elsewhere.
R4
2 P (x ≥ 3) = 3 41 dx = 14 .
Theorem 4
The mean and variance of the uniform distribution are
A+B 2 (B − A)2
µ= ,σ = .
2 12
Theorem 4
The mean and variance of the uniform distribution are
A+B 2 (B − A)2
µ= ,σ = .
2 12
Proof.
The mean is computed by
Z +∞ Z B x 1 B A+B
µ= xf (x)dx = dx = x2 = .
−∞ A B−A 2(B − A) A 2
Then the variance is evaluated as
Z +∞ (A + B)2
σ 2 = µ x2 − µ 2 = x2 f (x)dx −
−∞ 4
B 3 − A3 A2 + 2AB + B 2
= −
3(B − A) 4
(B − A)2
= .
12
Normal Distributions
Normal distribution
The most important continuous probability distribution in the entire

field of statistics is the normal distribution.
The normal distribution is often referred to as the Gaussian
distribution, in honor of Karl Friedrich Gauss.
Definition 5 (Normal Distribution)

The density of the normal random variable X, with mean µ and variance
σ 2 , is
1 (x−µ)2
n(x; µ, σ) = √ e− 2σ2 , −∞ < x < ∞,
2πσ
where π = 3.14159 . . . and e = 2.71828 . . ..
Normal Curve
Figure 2.1: The bell-shaped normal curve
Physical measurements in areas such as meteorological experiments,

rainfall studies, and measurements of manufactured parts are often
more than adequately explained with a normal distribution
Errors in scientific measurements are extremely well approximated by
a normal distribution
Once µ and σ are specified, the normal curve is completely determined.
Figure 2.2: Normal curves with µ1 < µ2 and σ1 = σ2 .
Figure 2.2 shows two normal curves having the same standard
deviation but different means.
These two curves are identical in form but are centered at different
positions along the horizontal axis.
Figure 2.3: Normal curves with µ1 = µ2 and σ1 < σ2 .
Figure2.3 shows two normal curves with the same mean but different
standard deviations.
Two curves are centered at exactly the same position on the
horizontal axis, but the curve with the larger standard deviation σ is
lower and spreads out farther.
Figure 2.4: Normal curves with µ1 < µ2 and σ1 < σ2 .
Figure 2.4 shows shows two normal curves having different means
and different standard deviations.
They are centered at different positions on the horizontal axis and
their shapes reflect the two different values of σ.
Properties of the normal curve
The mode, which is the point on the horizontal axis where

the curve is a maximum, occurs at x = µ.
The curve is symmetric about a vertical axis through the
mean µ.
The curve has its points of inflection at x = µ ± σ; it is
concave downward if µ − σ < X < µ + σ and is concave
upward otherwise.
The normal curve approaches the horizontal axis
asymptotically as we proceed in either direction away from
the mean.
The total area under the curve and above the horizontal
axis is equal to 1
Theorem 6
The mean and variance of n(x; µ, σ) are µ and σ 2 ,
respectively. Hence, the standard deviation is σ.
The normal distribution finds enormous application as a

limiting distribution.
Under certain conditions, the normal distribution provides
a good continuous approximation to the binomial and
hypergeometric distributions.
It turns out that the limiting distribution of sample
averages is normal. This provides a broad base for
statistical inference that proves very valuable to the data
analyst interested in estimation and hypothesis testing.
Areas under the Normal Curve

The curve of any continuous probability distribution or density function is
constructed so that the area under the curve bounded by the two
ordinates x = x1 and x = x2 equals the probability that the random
variable X assumes a value between x = x1 and x = x2 .
Z x2 Z x2
1 (x−µ)2
P (x1 < X < x2 ) = n(x; µ, σ)dx = √ e− 2σ2 dx.
x1 x1 2πσ
Figure 3.1: P (x1 < X < x2 ) = area of the shaded region

The difficulty encountered in solving integrals of normal density

functions necessitates the tabulation of normal curve areas for quick
reference.
It would be a hopeless task to attempt to set up separate tables for
every conceivable value of µ and σ.
Fortunately, we are able to transform all the observations of any
normal random variable X into a new set of observation of a normal
random variable Z with mean 0 and variance 1, by
x−µ
Z= .
σ
We may write
Z x2 Z z2
1 (x−µ)2 1 1 2
P (x1 < X < x2 ) = √ e− 2σ2 dx = √ e− 2 z dz
x1 2πσ 2π z1
Zz2
= n(z; 0, 1)dz = P (z1 < Z < z2 ).
z1
Definition 7
The distribution of a normal random variable with mean 0 and variance 1
is called a standard normal distribution.
1 x2
n(z; 0, 1) = √ e− 2 .
2π
P (x1 < X < x2 ) = P (z1 < Z < z2 ).

We can use the table of the normal distributions in the appendix in any
textbook for Probability and Statistics to find the probability for the
values of z. Conventionally, we use Φ(·) to denote the probability
Φ(z) = P (Z < z)
then
P (x1 < X < x2 ) = Φ(z2 ) − Φ(z1 ).
Since the density function n(z; 0, 1) is an even function, we have
Φ(−z) = 1 − Φ(z).
Example 8
Given a standard normal distribution, find the area under the curve that
lies (a) to the right of z = 1.84 and (b) between z = −1.97 and z = 0.86.
Example 8
(a) P (z ≥ 1.84) = 1 − Φ(1.84) = 1 − 0.9671 = 0.0329.

Example 8
(a) P (z ≥ 1.84) = 1 − Φ(1.84) = 1 − 0.9671 = 0.0329.

(b)
P (−1.97 < z ≤ 0.86) = Φ(0.86)−Φ(−1.97) = 0.8051−0.0244 = 0.7807.
Example 9
Given a standard normal distribution, find the value of k such that (a)
P (Z > k) = 0.3015 and (b) P (k < Z < −0.18) = 0.4197.
Example 9
P (Z > k) = 0.3015 and (b) P (k < Z < −0.18) = 0.4197.
(a) P (z > k) = 1 − P (z ≤ k) = 0.3015 = 1 − Φ(k), then

Φ(k) = 0.6985, k = 0.52.
Example 9
P (Z > k) = 0.3015 and (b) P (k < Z < −0.18) = 0.4197.
(a) P (z > k) = 1 − P (z ≤ k) = 0.3015 = 1 − Φ(k), then

Φ(k) = 0.6985, k = 0.52.
(b) P (k < z < −0.18) = Φ(−0.18) − Φ(k) = 0.4197, Φ(z) = 0.0089,
k = −2.37.
Example 10
Given a random variable X having a normal distribution with µ = 50 and
σ = 10, find the probability that X assumes a value between 45 and 62.
Example 10
Given a random variable X having a normal distribution with µ = 50 and
σ = 10, find the probability that X assumes a value between 45 and 62.
45 − 50 X − 50 62 − 50
P (45 < X < 62) = P ( < < ) = P (−0.5 < Z < 1.2)
10 10 10
= Φ(1.2) − Φ(−0.5) = 0.8849 − 0.3085 = 0.5764
Using the Normal Curve in Reverse

Example 11
Given a normal distribution with µ = 40 and σ = 6, find the value of x
that has (a) 45% of the area to the left and (b) 14% of the area to the
right.

Example 11
right.
Solution: (a) When P (Z < −0.13) = Φ(z) = 0.45, so the desired z value
is −0.13. Hence, z = x−µ
σ , ⇒ x = σ(−0.13) + µ = 39.22

Example 11
right.
Solution: (a) When P (Z < −0.13) = Φ(z) = 0.45, so the desired z value
is −0.13. Hence, z = x−µ
σ , ⇒ x = σ(−0.13) + µ = 39.22
(b) 1 − Φ(z) = 0.14, ⇒ Φ(z) = 0.86, z = 1.08, then
x = 6 × 1.08 + 40 = 46.48.
Normal Approximation to the Binomial
Theorem 12
If X is a binomial random variable with mean µ = np and variance
σ 2 = npq, then the limiting form of the distribution of
X − np
Z= √ ,
npq
as n → ∞, is the standard normal distribution n(z; 0, 1).
Figure 4.1: Normal approximation of b(x; 15, 0.4)

Gamma and Exponential Distributions
Gamma function
Definition 13
The gamma function is defined by
Z ∞
Γ(α) = xα−1 e−x dx, α > 0.
0
Properties of gamma function:

(a) Γ(n) = (n − 1)(n − 2) · · · (1)Γ(1), n ∈ N+ .
Z ∞ Z ∞
Γ(α) = xα−1 e−x dx = − xα−1 d(e−x )
0 0
Z ∞
∞
= − e−x xα−1 − e−x d(xα−1 )
0 0
Z ∞
∞
−x α−1
=−e x + (α − 1) xα−2 e−x dx
0 0
Z ∞
=(α − 1) xα−2 e−x dx = (α − 1)Γ(α − 1)
0
√
(b) Γ(n) = (n − 1)!, n ∈ N+ , Γ(1) = 1, Γ(1/2) = π.
Gamma distribution and exponential distribution
Definition 14
The continuous random variable X has a gamma distribution, with
parameters α and β, if its density function is given by
x
(
α
1
xα−1 e− β , x > 0,
f (x; α, β) = β Γ(α) , α > 0 and β > 0.
0, elsewhere,
When α = 1, we have the the exponential distribution.

Definition 15
The continuous random variable X has an exponential distribution, with
parameter β, if its density function is given by
(
1 −x/β
e ,x > 0
f (x; β) = β , β > 0.
0, elsewhere.
Figure 5.1: Gamma distributions
The exponential and gamma distributions play an important role in

both queuing theory and reliability problems.
Time between arrivals at service facilities and time to failure of
component parts and electrical systems often are modeled by the
exponential distribution.
Chi-Squared Distribution
Chi-Squared(χ2 ) Distribution
Definition 16
The continuous random variable X has a chi-squared distribution, with v
degrees of freedom, if its density function is given by
(
1 −x/2
v/2 v/2−1 e , x>0
f (x; v) = 2 Γ(v/2)x
0, elsewhere
where v is a positive integer.
The chi-squared distribution is a special case of the gamma

distribution with α = v/2 and β = 2.
The chi-squared distribution plays a vital role in statistical inference
and is an important component of statistical hypothesis testing and
estimation.
Topics dealing with sampling distributions, analysis of variance, and
nonparametric statistics involve extensive use of the chi-squared
distribution.

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Some Continuous Probability Distributions

5-Some Continuous Probability Distributions

3 Areas under the Normal Curve

4 Normal Approximation to the Binomial

5 Gamma and Exponential Distributions

One of the simplest continuous distributions in all of statistics is the

Definition 1 (Uniform Distribution)

The density function forms a rectangle with base B − A and constant

The most important continuous probability distribution in the entire

Definition 5 (Normal Distribution)

Figure 2.1: The bell-shaped normal curve

Physical measurements in areas such as meteorological experiments,

Once µ and σ are specified, the normal curve is completely determined.

Figure 2.2: Normal curves with µ1 < µ2 and σ1 = σ2 .

Figure 2.3: Normal curves with µ1 = µ2 and σ1 < σ2 .

Figure 2.4: Normal curves with µ1 < µ2 and σ1 < σ2 .

Properties of the normal curve

The mode, which is the point on the horizontal axis where

The normal distribution finds enormous application as a

Areas under the Normal Curve

Figure 3.1: P (x1 < X < x2 ) = area of the shaded region

The difficulty encountered in solving integrals of normal density

P (x1 < X < x2 ) = P (z1 < Z < z2 ).

(a) P (z ≥ 1.84) = 1 − Φ(1.84) = 1 − 0.9671 = 0.0329.

(a) P (z ≥ 1.84) = 1 − Φ(1.84) = 1 − 0.9671 = 0.0329.

(a) P (z > k) = 1 − P (z ≤ k) = 0.3015 = 1 − Φ(k), then

(a) P (z > k) = 1 − P (z ≤ k) = 0.3015 = 1 − Φ(k), then

Using the Normal Curve in Reverse

Using the Normal Curve in Reverse

Using the Normal Curve in Reverse

as n → ∞, is the standard normal distribution n(z; 0, 1).

Figure 4.1: Normal approximation of b(x; 15, 0.4)

Properties of gamma function:

Gamma distribution and exponential distribution

When α = 1, we have the the exponential distribution.

Figure 5.1: Gamma distributions

The exponential and gamma distributions play an important role in

where v is a positive integer.

The chi-squared distribution is a special case of the gamma

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