CHAPTER 6

CONTINUOUS PROBABILITY
DISTRIBUTIONS
 Continuous Random Variables

A continuous random variable can take any numerical value in an

interval or in a collection of intervals.
Because there are infinitely many possible values,

P(X = x) = f(x) = 0

for every single value x.

Therefore, probabilities are assigned to intervals, not to individual points.

Examples
Waiting time between two calls
Distance from home to store
Lifetime of a battery
Time until a failure occurs

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 Continuous Random Variables

The distribution of a continuous random variable is described by a

probability density function (pdf) f(x).
∫
A pdf must satisfy: f(x) ≥ 0, ∀x and Range(X) f(x) dx = 1.
The probability over an interval is:
∫ x2
P(x1 ≤ X ≤ x2 ) = f(x) dx.
x1

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 Continuous Random Variables

Example. Suppose that X is a continuous random variable whose probability density func-
tion is given by {
cx, 0 ≤ x ≤ 1,
f(x) =
0, otherwise.

Find:
the value of c,
P(X > 0.5),

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 Continuous Random Variables

Expected value
∫
E(X) = µ = xf(x) dx
Range(X)

Variance ∫
Var(X) = (x − µ)2 f(x) dx
∫
= x2 f(x) dx − µ2

Example. Find E(X) and Var(X) when the density function of X is

{
2x, 0 ≤ x ≤ 1,
f(x) =
0, otherwise.

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 Uniform Distribution
A random variable has a uniform distribution on [a, b] if all intervals of
equal length have equal probability.

X ∼ U(a, b)

 1 , a ≤ x ≤ b,
f(x) = b − a
0, otherwise.

a+b (b − a)2
E(X) = , Var(X) =
2 12

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 Uniform Distribution

Example. Let T (years) be the time-until-death of a randomly selected newborn.

It is assumed that T follows a uniform distribution between ages 0 and 100.
Find the probability density function and the distribution function of T.
Find the probability that a newborn survives beyond age 72.
Find E(T), Var(T)
Find P(T > 55| T > 32)

Example. A bottle of cooking oil is labeled as containing 1.50 liters. Assume

that the actual volume is distributed according to the following probability density
function: {
4, 1.4 ≤ x ≤ 1.65,
f(x) =
0, otherwise.
A bottle is considered to meet the standard if its actual volume differs from the
labeled amount by no more than 0.05 liter. What is the probability that a bottle
fails to meet the standard?
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 Normal Distribution

The normal distribution is the most important continuous probability

distribution in statistics.
The normal is Everywhere:
Financial returns
Height, weight, and other biological traits
Measurement error
Natural and social phenomena
Statistical inference

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 Normal Distribution

If X ∼ N(µ, σ 2 ), then its density is

( )
1 (x − µ)2
f(x) = √ exp − .
σ 2π 2σ 2

Normal distributions range from minus infinity to plus infinity. The

normal distribution is bell shaped and symmetrical about the mean:
mean = median = mode = µ.
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 Normal distribution
A normal distribution whose mean is zero and standard deviation is one
is called the standard normal distribution or Z distribution.
1
Z ∼ N(0, 1) → f(z) = √ e−z /2
2

2π
We can use the following function to convert ANY normal random
variable to a standard normal random variable X.

X−µ
Z=
σ
( )
a−µ X−µ b−µ
P(a < X < b) = P < <
σ σ σ
X−µ
and since Z = , we have:
σ
( )
a−µ b−µ
P(a < X < b) = P <Z<
σ σ
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 Normal distribution

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 Normal Distribution

Example. The Bank of Connecticut issues Visa and MasterCard credit cards. It
is estimated that the balances on all Visa credit cards issued by the Bank of Con-
necticut have a mean of $845 and a standard deviation of $270. Assume that the
balances on all these Visa cards follow a normal distribution.
(a) What is the probability that a randomly selected Visa card issued by this
bank has a balance between $1000 and $1440?
(b) What percentage of the Visa cards issued by this bank have a balance of
$730 or more?

Example. Suppose the life span of a calculator manufactured by Texas Instruments

has a normal distribution with a mean of 54 months and a standard deviation of 8
months.
(a) The company guarantees that any calculator that starts malfunctioning
within 36 months of the purchase will be replaced by a new one. About what
percentage of calculators made by this company are expected to be replaced?
(b) What should the warranty period be to replace a calculator if the company
does not want to replace more than 1% of all the calculators sold?
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 Normal Distribution

Example. The American worker spent an average of 77 hours logged on to the

Internet while at work (CNBC, March 15, 2003). Assume the population mean is
77 hours, the times are normally distributed, and that the standard deviation is 20
hours.
(a) What is the probability that in January 2003 a randomly selected worker
spent fewer than 50 hours logged on to the Internet?
(b) Assume that a company has 1000 workers. How many workers do you expect
to spend fewer than 50 hours logged on to the Internet in January 2003?
(c) A person is classified as a heavy user if he or she is in the upper 20% of
usage. In January 2003, how many hours did a worker have to be logged on
to the Internet to be considered a heavy user?

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 Normal Approximation of Binomial Probabilities

Consider X as a binomial random variable with parameters n and p.

Then:
E(X) = np, Var(X) = np(1 − p)
When np → ∞, it can be shown that X can be approximated by a
normal random variable with

µ = np, σ 2 = np(1 − p)

Continuity Correction Factor: Use a continuity correction factor by

adding 0.5 and/or subtracting 0.5 from the value(s) of x when using
the normal distribution to approximate a binomial distribution, where
x is the number of successes in n trials.

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 Normal Approximation of Binomial Probabilities

Example. According to an American Laser Centers survey, 32% of adult men said
that their stomach is the least favorite part of their body (USA TODAY, March 10,
2009). Assume that this percentage is true for the current population of adult men.
What is the probability that 170 or more adult men in a random sample of 500 will
say that their stomach is the least favorite part of their body?

Example. If 10% of men are bald, what is the probability that a random sample of
800 men contains between 100 and 200 bald men?

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 Exponential Distribution

A random variable X has an exponential distribution with parameter λ > 0

if {
λe−λx , x ≥ 0,
f(x) =
0, x < 0.

F(x) = P(X ≤ x) = 1 − e−λx , x≥0

1 1
E(X) = , Var(X) =
λ λ2

The exponential distribution is widely used for waiting-time models.

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 Exponential Distribution

Example. The time intervals between successive barges passing a certain point on a busy
waterway have an exponential distribution with mean 8 minutes.
(a) Find the probability that the time interval between two successive barges is less
than 5 minutes.
(b) Find a time interval t such that we can be 95% sure that the time interval between
two successive barges will be greater than t.

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