Continuous Probability

Distributions
 Uniform Distribution
• The density function of the continuous uniform random variable X on the
interval [A, B] is

• often called the rectangular distribution

• 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].
• (a) What is the probability density function?
• (b) What is the probability that any given conference lasts at
least 3 hours?
• The appropriate density function for the uniformly distributed
random variable X in this situation is
 Normal Distribution
• The most important continuous probability distribution in the
entire field of statistics

• Approximately describes many phenomena that occur in

nature, industry, and research. For example, physical
measurements in areas such as meteorological experiments,
rainfall studies, and measurements of manufactured parts

• The normal distribution is often referred to as the Gaussian

distribution.
 Normal Curve

• A continuous random variable X having the bell-shaped distribution

of like above Figure is called a normal random variable.

• The mathematical equation for the probability distribution of the normal

variable depends on the two parameters μ and σ, its mean and standard
deviation, respectively. Hence, we denote the values of the density of X by
n(x; μ, σ).
 The Normal Distribution:
as mathematical function (pdf)

1 x 2
1  ( )
f ( x)  e 2 
 2
This is a bell shaped curve
Note constants: with different centers and
=3.14159 spreads depending on 
e=2.71828 and 
 Impact of μ and σ on shape and
location
• Normal curves with μ1 < μ2 and σ1 = σ2.
• Normal curves with μ1 = μ2 and σ1 < σ2.
• Normal curves with μ1 < μ2 and σ1 < σ2
 Properties of normal curve
1. The mode, which is the point on the horizontal axis where
the curve is a maximum, occurs at x = μ.
2. The curve is symmetric about a vertical axis through the
mean μ.
3. 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.
4. The normal curve approaches the horizontal axis
asymptotically as we proceed in either direction away from
the mean.
5. The total area under the curve and above the horizontal axis
is equal to 1.
 E(X) = μ
• To evaluate the mean, we first calculate

• Setting z = (x − μ)/σ and dx = σ dz, we obtain

since the integrand above is an odd function of z.

we conclude that E(X) = μ.
 Home Task
• Verify following
– It’s a probability function, so no matter what the
values of  and , must integrate to 1!
– Var(X)=2
Areas under the Normal Curve
 **The beauty of the normal curve:

No matter what  and  are, the area between - and

+ is about 68%; the area between -2 and +2 is
about 95%; and the area between -3 and +3 is
about 99.7%. Almost all values fall within 3 standard
deviations.
68-95-99.7 Rule

68% of
the data

95% of the data

99.7% of the data

 68-95-99.7 Rule
in Math terms…

  1 x 2
1  ( )

   2
e 2 
dx  0.68

  2 1 x 2
1  ( )

  2  2
e 2 
dx  0.95

  3 1 x 2
1  ( )

 3  2
e 2 
dx  0.997
 How good is rule for real data?

Check some example data:

The mean of the weight of the women = 127.8
The standard deviation (SD) = 15.5
Total participant = 120
 68% of 120 = 0.68x120 = ~ 82 runners
In fact, 79 runners fall within 1-SD of the mean.

112.3 127.8 143.3

25

20

P
e 15
r
c
e
n 10
t

0
80 90 100 110 120 130 140 150 160
POUNDS
 95% of 120 = 0.95 x 120 = ~ 114 runners
In fact, 115 runners fall within 2-SD’s of the mean.

96.8 127.8 158.8

25

20

P
e 15
r
c
e
n 10
t

0
80 90 100 110 120 130 140 150 160
POUNDS
 99.7% of 120 = 0.997 x 120 = 119.6 runners
In fact, all 120 runners fall within 3-SD’s of the mean.

81.3 127.8 174.3

25

20

P
e 15
r
c
e
n 10
t

0
80 90 100 110 120 130 140 150 160
POUNDS
 Example

• Suppose SAT scores roughly follows a normal

distribution in the U.S. population of college-
bound students (with range restricted to 200-
800), and the average math SAT is 500 with a
standard deviation of 50, then:
– 68% of students will have scores between 450 and
550
– 95% will be between 400 and 600
– 99.7% will be between 350 and 650
 Example

• BUT…
• What if you wanted to know the number of
students who scores less than equal to 575
P(X≤575)

575 1 x 500 2
1  ( )
200 (50) 2  e 2 50
dx
 The Standard Normal (Z):

The formula for the standardized normal probability

density function is

1 Z 0 2 1
1  ( ) 1  ( Z )2
p( Z )  e 2 1
 e 2
(1) 2 2
The Standard Normal Distribution (Z)
All normal distributions can be converted into
the standard normal curve by subtracting the
mean and dividing by the standard deviation:

X 
Z

• Whenever X assumes a value x, the corresponding value of Z is given by z =
(x − μ)/σ. Therefore, if X falls between the values x = x1 and x = x2, the
random variable Z will fall between the corresponding values z1 = (x1
−μ)/σ and z2 = (x2 − μ)/σ. Consequently, we may write
Comparing X and Z units

100 200 X ( = 100,  = 50)

0 2.0 Z ( = 0,  = 1)
 Example
• For example: What’s the probability of getting a math SAT score of
575 or less, =500 and =50?

575  500
Z  1.5
50
i.e., A score of 575 is 1.5 standard deviations above the mean

575 1 x 500 2 1.5 1

1  ( ) 1  Z2
 P( X  575)   (50)
200
2
 e 2 50 dx   

2
 e 2 dz

Yikes!
But to look up Z= 1.5 in standard normal chart = 0.9332
 Practice problem
If birth weights in a population are normally
distributed with a mean of 109 oz and a
standard deviation of 13 oz,
a. What is the chance of obtaining a birth
weight of 141 oz or heavier when sampling
birth records at random?
b. What is the chance of obtaining a birth
weight of 120 or lighter?
 Answer
a. What is the chance of obtaining a birth
weight of 141 oz or heavier when sampling
birth records at random?

141  109
Z  2.46
13

From the chart Z of 2.46 corresponds to a right tail (greater than) area
of: P(Z≥2.46) = 1-(0.9931)= 0.0069 or 0.69 %
 Answer
b. What is the chance of obtaining a birth
weight of 120 or lighter?

120  109
Z  0.85
13

From the chart Z of 0.85 corresponds to a left tail area of:

P(Z≤0.85) = 0.8023= 80.23%
• 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.
(a) The area in Figure (a) to the right of z = 1.84 is equal to 1
minus the area in normal Table to the left of z = 1.84, namely,
1 − 0.9671 = 0.0329.

(b) The area in Figure (b) between z = −1.97 and z = 0.86 is equal
to the area to the left of z = 0.86 minus the area to the left of
z = −1.97. From normal Table we find the desired area to be
0.8051 − 0.0244 = 0.7807.
• 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.
(a) In Figure (a), we see that the k value leaving an area of
0.3015 to the right must then leave an area of 0.6985 to
the left. From normal Table it follows that k = 0.52.

(b) From normal Table we note that the total area to the left of
−0.18 is equal to 0.4286. In Figure (b), we see that the area
between k and −0.18 is 0.4197, so the area to the left of k
must be 0.4286 − 0.4197 = 0.0089. Hence, from normal
Table, we have k = −2.37.
• Gauges are used to reject all components for which a certain
dimension is not within the specification 1.50 ± d. It is known
that this measurement is normally distributed with mean 1.50
and standard deviation 0.2. Determine the value d such that
the specifications “cover” 95% of the measurements.
• P(-z1<Z<z1) =0.95
• P(Z<z1) = 0.95/2+0.5 = 0.975
• z1=1.96
• (x1-µ)/=z1 =>x1=z1*  + µ = 1.96*0.2 + 1.5=0.392+1.5=1.892

• Negative side = 1.5 – 0.392=1.018

• A certain machine makes electrical resistors having a mean
resistance of 40 ohms and a standard deviation of 2 ohms.
Assuming that the resistance follows a normal distribution
Find the percentage of resistances exceeding 43 ohms
resistance is measured to the nearest ohm.
• We assign a measurement of 43 ohms to all resistors whose
resistances are greater than 42.5 and less than 43.5. We are
actually approximating a discrete distribution by means of a
continuous normal distribution.
• z =(43.5 − 40)/2= 1.75.
• P(X >43.5) = P(Z > 1.75) = 1 − P(Z < 1.75) = 1 − 0.9599 = 0.0401.
Are my data normally distributed?

1. Look at the histogram! Does it appear bell

shaped?
2. Compute descriptive summary measures—are
mean, median, and mode similar?
3. Do 2/3 of observations lie within 1 std dev of the
mean? Do 95% of observations lie within 2 std dev
of the mean?
Approximation of Binomial distribution
using Normal Distribution
• If X is a binomial random variable with mean μ
= np and variance σ2 = npq, then the limiting
form of the distribution of
• It turns out that the normal distribution with μ
= np and σ2 = np(1 − p) not only provides a
very accurate approximation to the binomial
distribution when n is large and p is not
extremely close to 0 or 1 but also provides a
fairly good approximation even when n is
small and p is reasonably close to 1/2.
Example comparison of binomial and
normal distribution
 Thumb Rule

If n, p, and q are such that:

np and nq
are both greater than 5.
Mean and Standard Deviation:
Binomial Distribution

  np and   npq
Experiment: tossing a coin 20 times

Problem: Find the probability of getting

exactly 10 heads.
Distribution of the number of heads appearing should look like:

0 10 20
Using the Binomial Probability
Formula

n= 20

x= 10
P(10) = 0.176197052
p= 0.5

q = 1  p = 0.5
Normal Approximation of the Binomial
Distribution

First calculate the mean

and standard deviation:

 = np = 20 (0.5) = 10

  np(1  p )  20(.5)(.5)  5  2.24

 The Continuity Correction

Continuity Correction: to compute the

probability of getting exactly 10 heads, find
the probability of getting between 9.5
and 10.5 heads.
 The Continuity Correction
Continuity Correction is needed because
we are approximating a discrete
probability distribution with a
continuous distribution.
 The Continuity Correction
We are using the area under the
curve to approximate the area of the
rectangle.

9.5 - 10.5
 Using the Normal Distribution

P(9.5 < x < 10.5 ) = ?

for x = 9.5: z =  0.22

P(z <  0.22 ) = .4129

Using the Normal Distribution

for x = 10.5: z = = 0.22

P( z < .22) = 0.5871

P(9.5 < x < 10.5 ) =0.5871 - 0.4129 = 0.1742

Application of Normal Distribution

If 22% of all patients with high blood pressure

have side effects from a certain medication,
and 100 patients are treated, find the
probability that at least 30 of them will
have side effects.
Using the Binomial Probability Formula we would need
to compute:
P(30) + P(31) + ... + P(100) or 1  P( x < 29)
Using the Normal Approximation
to the Binomial Distribution

Is it appropriate to use the

normal distribution?
Check: n p =
nq=
 Using the Normal
Approximation to the
Binomial Distribution

n p = 22
n q = 78
Both are greater than five.
Find the mean and standard deviation

 = 100(0.22) = 22

and  = 100(0.22)(0.78) 

17.16  4.14
 Applying the Normal Distribution

To find the probability that at least 30 of

them will have side effects, find P( x  29.5)

Find this area

22 29.5
 Applying the Normal
Distribution
z = 29.5 – 22 = 1.81 The probability that
4.14 at least 30 of the
patients will have
Find P( z  1.81) side effects is 0.0351.

0.9649
= 0.0351

0 1.81
 Reminders:
• Use the normal distribution to approximate
the binomial only if both np and nq are
greater than 5.

• Always use the continuity correction when

approximating the binomial distribution.
The Gamma Function
 The Gamma Function
• To define the family of gamma distributions,
we first need to introduce a function that
plays an important role in many branches of
mathematics.

• Definition For  > 0, the gamma function

is defined by
 The Gamma Function
•The most important properties of the gamma
function are the following:

•1. For any  > 1, Γ() = ( – 1)  Γ ( –1)

[via integration by parts]

•2. For any positive integer, n, Γ(n) = (n – 1)!

•3.
 The Gamma Function
• By earlier expression, we can say that

• then f(x; )  0 and ,

• so f(x; a) satisfies the two basic properties of a

pdf.
The Gamma Distribution
 Exponential Distribution
• Poisson distribution is used to compute the probability of
specific numbers of “events” during a particular period of
time or span of space.

• In many applications, the time period or span of space is

the random variable.

• For example, an industrial engineer may be interested in

modeling the time T between arrivals of cars at a
congested intersection during rush hour in a large city.
• Poisson distribution was developed as a single-parameter
distribution with parameter λ, where λ may be interpreted as
the mean number of events per unit time.
• Consider now the random variable described by the time
required for the first event to occur.
• Using the Poisson distribution, we find that the probability of
no events occurring in the span up to time t is given by
• let X be the random variable representing time to the first
Poisson event.
• The probability that the length of time until the first event will
exceed x is the same as the probability that no Poisson events
will occur in x.
P(X >x) = e−λx.
• Thus, the cumulative distribution function for X is given by
P(0 ≤ X ≤ x) = 1 − e−λx
• We can differentiate the above to achieve the pdf
f(x) = λe−λx,
• In exponential distribution, often we are
provided gap between two successive events
in terms of parameter β
• Where λ=1/β
• f(x) = 1/βe−x/β
 Example
• Suppose that a system contains a certain type of component
whose time, in years, to failure is given by T. The random
variable T is modeled nicely by the exponential distribution
with mean time to failure β = 5. If 5 of these components are
installed in different systems, what is the probability that at
least 2 are still functioning at the end of 8 years?
 The Gamma Distribution
• Definition : A continuous random variable X is
said to have a gamma distribution if the pdf of X
is

• where the parameters  and  satisfy  > 0,  >

0. The standard gamma distribution has  = 1.
 The Gamma Distribution
• The exponential distribution results from taking  = 1 and
 = 1/. Figure (a) illustrates the graphs of the gamma pdf f(x;
, ) for several (, ) pairs, whereas Figure (b) presents
graphs of the standard gamma pdf.

Gamma density curves standard gamma density curves

Figure (a) Figure (b)

 The Gamma Distribution
• For the standard pdf, when   1, f(x; ) , is
strictly decreasing as x increases from 0; when
 > 1, f(x; ) rises from 0 at x = 0 to a
maximum and then decreases.

• The parameter  is called the scale parameter

because values other than 1 either stretch or
compress the pdf in the x direction.
 The Gamma Distribution
• The mean and variance of a random variable X
having the gamma distribution f(x; , ) are

• E(X) =  =  V(X) = 2 = 2

• When X is a standard gamma rv, the cdf of X,

•
Application of Gamma Distribution
• Gamma distribution is related the exponential
distribution (related to the Poisson process). If
the events are occurring according to the
Poisson distribution the time till the
occurrence of the first event is described by
the exponential distribution. The time till the
occurrence of the kth event is described by the
Gamma distribution.
• Suppose that telephone calls arriving at a particular
switchboard follow a Poisson process with an average of 5
calls coming per minute. What is the probability that up to a
minute will elapse by the time 2 calls have come in to the
switchboard?
• The Poisson process applies, with time until 2 Poisson events
following a gamma distribution with β = 1/5 and α = 2. Denote
by X the time in minutes that transpires before 2 calls come.
The required probability is given by
 Chi-Squared Distribution
• Another very important special case of the gamma distribution is obtained
by letting α = v/2 and β = 2, where v is a positive integer. The result is
called the chi-squared distribution. The distribution has a single
parameter, v, called the degrees of freedom.