Special Continuous Probability Distributions

SPECIAL CONTINUOUS PROBABILITY
DISTRIBUTIONS
Gabriel Asare Okyere (Ph.D.)
September 18, 2017
Gabriel Asare Okyere (Ph.D.) () PROBABILITY DISTRIBUTIONS September 18, 2017 1 / 41

The Uniform Distribution
Outline of Presentation
1 The Uniform Distribution
2 The Exponential Distribution
3 The Gamma Distribution
4 Chi-square Distribution
5 Normal Distribution
6 TRIAL QUESTIONS FROM SPECIFIC TEXTBOOK(S)

CONTINUOUS DISTRIBUTIONS:The Uniform

Distribution
The uniform distribution provides a simple probability model to

describe a continuous random variable that can randomly assume any
value between two points a and b (a < b) on a line. It therefore
provides a good model for a continuous random variable whose values
are uniformly distributed over an interval. For example, if buses arrive
at a given bus stop over 20 minutes and you arrive at the bus stop at
a random time, the time you must wait for the next bus to arrive
could be described by the uniform distribution over the interval from
0 to 20 or [0, 20].

Continuous Uniform Distrribution

Graphical Representation
The probability density function is a horizontal line segment between
a and b at 1/(b − a).

Continuous Uniform Distrribution
Definition
A random variable X has a continuous uniform distribution over the
interval (a, b) if its p.d.f. is given by
 1

a≤x ≤b
f (x) = (b − a)
0 elsewhere

x −a
F (x) = a≤x ≤b
b−a

Continuous Uniform Distribution

Mean, Variance & of a Continuous Uniform Distribution
If X has a continuous uniform distribution over the interval (a, b),
then
b+a
E (X ) =
2
(b − a)2
Var (X ) =
12
e − e ta
tb
MX (t) = , t 6= 0
(b − a)t
e itb − e ita
φX (t) = , t 6= 0
(b − a)it

Example
A bus arrives every 20 minutes at a bus stop. It is assumed that the
waiting time for a particular individual is a random variable with
continuous uniform distribution.
(a) Compute the mean and standard deviation of an individual’s
waiting time.
(b) Find the probability that an individual waits more than 9
minutes.
(c) Find the probability that an individual waits between 2 and 10
minutes.

Solution
The probability distribution for the waiting time, X

 1 0 ≤ x ≤ 20
f (x) = 20
0 elsewhere
The mean and standard deviation of X are
b+a 0 + 20
E (X ) = = = 10
2 2
(b − a)2 (20 − 0)2
Var (X ) = = = 33.333
12 12

r
(20 − 0)2
SD(X ) = = 2.4
12
Z 20
1 x 20 20 9 11
P(X > 9) = dx = = − =
9 20 20 9 20 20 20
Z 10
1 x 10 10 2 8
P(2 < X < 10) = dx = = − =
2 20 20 2 20 20 20

The Exponential Distribution

CONTINUOUS DISTRIBUTIONS: Exponential

Distribution
The length of time within which we have occurrence of an event in a

Poisson process results in a random variable with Exponential
distribution. Examples are the length of time between arrivals at a
car wash, the length of time until a machine or a component of it
fails, length of time between successive filing of claims in an
insurance office and waiting time for service line or in a queue.
The Exponential distribution models situations in which the random
variable represents waiting time or measurement of length of time
between successive occurrences of an event.

Exponential Distribution
Definition
X is an exponential random variable with mean θ if
F (x) = 1 − e −x/θ
Often λ = 1/θ is called the rate of X
F (x) = 1 − e −x/θ = 1 − e −λx
d 1
f (x) = F (x) = e −x/θ = λe −λx for x > 0
dx θ

Mean, Variance, X’tic Function & MGF of Exponential Distribution
1
E [X ] = θ =
λ
2
2 1
Var (X ) = θ =
λ
1 λ
Mx (t) = =
1 + θt λ−t

The probability density function is skewed to the right. The tail of
the distribution is heavier for larger values of λ

Lack of Memory Property
If X has the exponential distribution, then for any positive numbers x
and a,
P(X > x + a|X > x) = P(X > a)
Proof
For any positive integer x,
Z ∞
P(X > x) = λ e −λt dt = e −λx .
x
P(X > x + a, X > x)

P(X > x + a|X > x) =
P(X > x)
P(X > x + a, X > x)

P(X > x + a|X > x) =
P(X > x)
P(X > x + a)
=
P(X > x)
−λ(x+a)
e
=
e −λx
= e −λa
= P(X > a)

Remark
This means that given that X > a, X − a has the same distribution
as the original variable X . For example, if the time between buses is
exponential with mean 15 minutes, the amount of time I need to wait
(X − a) is an exponential with mean 15 minutes no matter how long
it has been (a minutes) since the last bus.
Another example is that the remaining life of a device does not
depend on how long it has been used. The device is therefore as
good as new.

Example
Suppose X has the exponential distribution with mean 10. Determine
te following:
(a) P(X > 10)
(b) P(X > 30)
(c) the value of x such that P(X < x) = 0.95

Solution
1 −x/10
f (x) = e , x ≥0
10
Z ∞ Z ∞
1
P(x > 10) = f (t)dt = e −t/10 dt
10 10 10
∞
−t/10 −1
= −e =e = 0.3678
10
P(X > 30) = 1 − P(X ≤ 30) = 1 − F (30) = 1 − (1 − e −30/10 )
= e −3 = 0.0498

P(X < x) = 0.95

F (x) = 0.95
−x/10
1−e = 0.95
e −x/10 = 0.05
x = −10 ln 0.05
x = 29.96

Example
A random variable Y has the
momentgenerating function given by
1
MY (t) = 4(4 − t)−1 . Find P Y <
4

Solution
4 1 1
MY (t) = 4(4 − t)−1 = = 1 = (1 − t)−1
4−t (1 − 4 t) 4
This is the moment generating function of the exponential
1
distribution with mean . The p.d.f of Y is therefor given by
4
(
4e −4y y ≥ 0
f (y ) =
0 elsewhere
Z 1 i 41
1 4
P Y < = 4e −4y = −e −4y = 1 − e −1 = 0.6321
4 0 0

The Gamma Distribution

Gamma Distribution
The Gamma distribution is useful in modelling many non-negative

continuous random variables whose probability distribution is skewed
to the right. Such random variables may arise in the study of waiting
times, for example, life time of electronic devices, waiting until death
occurs, length of time to complete maintenance on a vehicle.

Gamma Function
The gamma function
The function Γ defined by
Z ∞
Γ(a) = x a−1 e −x dx, a>0
0
is called the gamma function
Properties of the gamma function

(a) Γ(1) = 1
(b) For a > 1, Γ(a) = (a − 1)Γ(a − 1)
Theorem
√

1
Γ = π
2
Gamma Distribution
Definition
The continuous random variable, X is said to have a gamma
distribution with parameters α > 0 and β > 0 if its p.d.f is given by
 1 x α−1 e −x/β x ≥ 0

f (x) = Γ(a)β α
0 elsewhere

where β is the scale parameter and α the shape parameter

Gamma Distribution
The probability density function is skewed to the right. For fixed β
the tail becomes heavier as α increases.

Gamma Distribution
Mean, Variance, MGF & X’tic Func. of Gamma Distribution
E (X ) = αβ
Var (X ) = αβ 2
MX (t) = (1 − βt)−α , t < 1/β
φX (t) = (1 − βit)−α , t < 1/β

Gamma Distribution
Example
The lifetime in weeks of a certain type of transistor is known to
follow a gamma
√ distribution with mean 4 weeks and standard
deviation 8 weeks.
(a) Find the probability that the transistor will last at most 6 weeks.
(b) Find the probability that the transistor will not survive the first
10 weeks.

Gamma Distribution
Solution
E (X ) = αβ = 4 (1)
Var (X ) = αβ 2 = 8 (2)
Divide (2) by (1) to get β=2
22 α = 8
α = 8/4 = 2
∴ α = 2 and β = 2

Gamma Distribution
Solution
X has the p.d.f.
1 1

2
xe −x/2 = xe −x/2
 x ≥0
f (x) = Γ(2)2 4
0 elsewhere

Z 6
1 −x/2
P(X ≤ 6) = xe dx
0 4
Integrating by parts, we obtain
6 Z 6
1 1
P(X ≤ 6) = − xe −x/2 + e −x/2 dx = 0.8009
4 0 2 0

Gamma Distribution
Solution
Z 10
1 −x/2
P(X ≤ 10) = xe dx
0 4
Integrating by parts, we obtain
10
1 10 −x/2

Z
1 −x/2
P(X ≤ 10) = − xe + e dx
2 0 2 0
10
= −5e −5 + −e −x/2 0

= −5e −5 + 1 − e −5 = 0.9596

Chi-square Distribution

CONTINUOUS DISTRIBUTIONS:Chi-square
Distribution
Another very important special case of the gamma distribution is

v
obtained by letting α = and β = 2, where v is a positive integer.
2
The result is called the Chi-squared distribution. The distribution has
a single parameter, v , called degree of freedom. The chi-squared
distribution plays a vital role in statistical inference. It has
considerable application in both methodology and theory.

The continuous random variable X has the chi-square distribution ,

with v degrees of freedom, if its density function is given by
1


v /2
x v /2−1 e −x/2 x > 0
f (x) = 2 Γ(v /2)
0 elsewhere

where v is a positive integer.

The probability density function for a chi-square random variable is
positively skewed. As v tends to infinity, the density function
becomes more bell-shaped and symmetric.

Mean Variance, X’tic Func and MGF of a Chi-square Distribution
E (X ) = v
Var (X ) = 2v
1
MX (t) = (1 − 2t)−v /2 , t<
2
φX (t) = (1 − 2it)−v /2

Normal Distribution

Normal Distribution
CONTINUOUS DISTRIBUTIONS: Normal

Distribution

TRIAL QUESTIONS FROM SPECIFIC TEXTBOOK(S)

TRIAL QUESTIONS FROM SPECIFIC TEXTBOOK(S)
Try These
Ofosu, J. B. and Hesse, C. A. (2011), Elementary Statistical

Methods, pages 138 and 139, Exercise 4(d)

Special Continuous Probability Distributions

Uploaded by

Copyright:

Available Formats

Special Continuous Probability Distributions

Uploaded by

Document Information

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

Special Continuous Probability Distributions

Uploaded by

Copyright:

Available Formats

SPECIAL CONTINUOUS PROBABILITY

Gabriel Asare Okyere (Ph.D.)

September 18, 2017

Gabriel Asare Okyere (Ph.D.) () PROBABILITY DISTRIBUTIONS September 18, 2017 1 / 41

1 The Uniform Distribution

2 The Exponential Distribution

3 The Gamma Distribution

6 TRIAL QUESTIONS FROM SPECIFIC TEXTBOOK(S)

Gabriel Asare Okyere (Ph.D.) () PROBABILITY DISTRIBUTIONS September 18, 2017 2 / 41

CONTINUOUS DISTRIBUTIONS:The Uniform

The uniform distribution provides a simple probability model to

Gabriel Asare Okyere (Ph.D.) () PROBABILITY DISTRIBUTIONS September 18, 2017 3 / 41

Continuous Uniform Distrribution

Gabriel Asare Okyere (Ph.D.) () PROBABILITY DISTRIBUTIONS September 18, 2017 4 / 41

Continuous Uniform Distrribution

Gabriel Asare Okyere (Ph.D.) () PROBABILITY DISTRIBUTIONS September 18, 2017 5 / 41

Continuous Uniform Distribution

Gabriel Asare Okyere (Ph.D.) () PROBABILITY DISTRIBUTIONS September 18, 2017 6 / 41

Continuous Uniform Distribution

Gabriel Asare Okyere (Ph.D.) () PROBABILITY DISTRIBUTIONS September 18, 2017 7 / 41

Continuous Uniform Distribution

The mean and standard deviation of X are

Gabriel Asare Okyere (Ph.D.) () PROBABILITY DISTRIBUTIONS September 18, 2017 8 / 41

Continuous Uniform Distribution

Gabriel Asare Okyere (Ph.D.) () PROBABILITY DISTRIBUTIONS September 18, 2017 9 / 41

1 The Uniform Distribution

2 The Exponential Distribution

3 The Gamma Distribution

6 TRIAL QUESTIONS FROM SPECIFIC TEXTBOOK(S)

Gabriel Asare Okyere (Ph.D.) () PROBABILITY DISTRIBUTIONS September 18, 2017 10 / 41

CONTINUOUS DISTRIBUTIONS: Exponential

The length of time within which we have occurrence of an event in a

Gabriel Asare Okyere (Ph.D.) () PROBABILITY DISTRIBUTIONS September 18, 2017 11 / 41

F (x) = 1 − e −x/θ = 1 − e −λx

Gabriel Asare Okyere (Ph.D.) () PROBABILITY DISTRIBUTIONS September 18, 2017 12 / 41

Mean, Variance, X’tic Function & MGF of Exponential Distribution

Gabriel Asare Okyere (Ph.D.) () PROBABILITY DISTRIBUTIONS September 18, 2017 13 / 41

Gabriel Asare Okyere (Ph.D.) () PROBABILITY DISTRIBUTIONS September 18, 2017 14 / 41

P(X > x + a, X > x)

P(X > x + a, X > x)

Gabriel Asare Okyere (Ph.D.) () PROBABILITY DISTRIBUTIONS September 18, 2017 16 / 41

Gabriel Asare Okyere (Ph.D.) () PROBABILITY DISTRIBUTIONS September 18, 2017 17 / 41

Gabriel Asare Okyere (Ph.D.) () PROBABILITY DISTRIBUTIONS September 18, 2017 18 / 41

Gabriel Asare Okyere (Ph.D.) () PROBABILITY DISTRIBUTIONS September 18, 2017 19 / 41

P(X < x) = 0.95

Gabriel Asare Okyere (Ph.D.) () PROBABILITY DISTRIBUTIONS September 18, 2017 20 / 41

Gabriel Asare Okyere (Ph.D.) () PROBABILITY DISTRIBUTIONS September 18, 2017 21 / 41

Gabriel Asare Okyere (Ph.D.) () PROBABILITY DISTRIBUTIONS September 18, 2017 22 / 41

1 The Uniform Distribution

2 The Exponential Distribution

3 The Gamma Distribution

6 TRIAL QUESTIONS FROM SPECIFIC TEXTBOOK(S)

Gabriel Asare Okyere (Ph.D.) () PROBABILITY DISTRIBUTIONS September 18, 2017 23 / 41

The Gamma distribution is useful in modelling many non-negative

Gabriel Asare Okyere (Ph.D.) () PROBABILITY DISTRIBUTIONS September 18, 2017 24 / 41

is called the gamma function

Properties of the gamma function

where β is the scale parameter and α the shape parameter

Gabriel Asare Okyere (Ph.D.) () PROBABILITY DISTRIBUTIONS September 18, 2017 26 / 41

Gabriel Asare Okyere (Ph.D.) () PROBABILITY DISTRIBUTIONS September 18, 2017 27 / 41