LECTURE NOTES NO.

4 M235
Chapter 4
Continuous
Probability Distributions
A continuous random variable is a variable
which has an infinite number of values.
Examples: weight, temperature, machine life
time, strength.

Continuous Probability
Distributions
 Since the continuous random variables
are uncountable, it is difficult to write
down probabilities of all possible events.
 Instead, an equation or formula is used to
describe a continuous probability
distribution.
1
The equation used to describe a continuous
probability distribution is called a
probability density function (p.d.f).
Properties of p.d.f
 The graph of the density function will be
continuous over that range.
 The area bounded by the curve of the
density function and the x-axis is equal to 1,
when computed over the domain of the
variable.
 The probability that a random variable
assumes a value between a and b is equal to
the area under the density function bounded
by a and b.
Definition: A function with values f(x)
defined over the set of real numbers is called
a probability density function (p.d.f) of the
continuous random variable X if and only if
2
 b
P(a≤X≤b)=∫ f ( x)dx
a
For any real constants a and b.
Properties of probability density function

1. f ( x)≥0 , for all values of x

∞
2. Total Area= ∫ f ( x)dx=1
−∞
Note that in the continuous case
P(X = c) = 0 for every constant c
c

∫ f ( x ) dx=0
c

This has a very useful consequence in the

continuous case:
P(a ≤ X≤ b)=P(a ≤ X< b)=P(a < X ≤ b)=P(a<X <b)
3
Example: Given
f ( x)  2 x  0  x  1
1. Verify that f(x) is a legitimate
probability density function
1 1
2. Find [
P −
2
<X<
2 ] ?
Solution:
1. Note that, by default, f (x) = 0 for all values
of x not mentioned in the definition.
On 0  x  1 , f (x) = 2x  0 . Elsewhere
f (x) = 0.  f (x)  0 x .
∞ 0 1 ∞
21
∫−∞ f (x ) dx = −∞∫ 0 dx + ∫ 2 x dx + ∫ 0 dx = 0 + [ ]
x 0+0 =1
0 1

4
2.

1 1
P − [ 2
<X<
2 ]
1/2 0 1/2
1 1 2 1/2 1
2[ 2 −1/2 ]
P − < X < = ∫ f ( x) dx = ∫
−1/2
0 dx + ∫ 2x dx = 0 + [
0
]
x 0 =
4

5
Example: Given the following p.d.f

2
f(x)=¿ {cx for 0<x<1 ¿} ¿ {}
a. Find the value of c?
Solution:
∞
∫−∞ f (x )dx=1
1 3
2 x 1
∫ cx dx=c 3 |0=1
0

c
=1
3
then c = 3

6
 b. Find P(0< X < ½)?
Solution:
1
2
1 2 x 3 1/2 1
p(0< X < )=∫ 3 x dx=3 | =
2 0 3 0 8
Example: Life expectancy (in days) of
electronic component has density

1
{ }
f (x)=¿ 2 x≥1 ¿ ¿ {}
x
a) Probability component lasts between 0 and
1 day?
1
P(0<X <1)=∫ f ( x )dx=0
0
b) Probability it lasts between 0 and 10 days?

7
 10 10
1
P(0<X <10)=∫ f ( x )dx=∫ 2 dx
1 1 x

1 10 1
x 10 ( )
=− |1 =− −1 =0.9

c) More than 10 days?

b
∞ 1 1
P( X >10 )=∫10 2 dx= lim b →∞∫ 2 dx
x 10 x

1b 1 1 1 1
x [ ] [ ]
=limb→∞ − |10=lim b→∞− − = lim b→∞ − =0.1
b 10 10 b

8
 Cumulative Distribution Function
(C.D.F)

Definition:
The cumulative distribution function of the
random variable X is given by
F( x )=P( X≤x ), for all values of x ∈ R
 If X is continuous random variable with
probability density function f(x) ,the
cumulative distribution function F(x) is
defined for every number x by
x
For each x, F(x)
P( X≤isx)=
the area
∫ under the
f (t )dt
density curve to the left
−∞ of x.

9
P [a < X < b ] = F ( b ) − F ( a )

=
10
Proposition:
Relation between p.d.f and CDF
If X is a continuous random variable with
probability density function f(x) and CDF
F(x), then at every x at which the derivative
of F(x) exists,
d
f (x )= F( x)
dx

11
 Properties of the CDF


 F(x) is a no decreasing function

of x.

Example:
Find the cumulative distribution function for
f ( x)  2 x  0  x  1 .

12
 x
F(x) = ∫ f (t) dt
−∞
x

 0 dt  0
x < 0  F (x) = 

0≤x≤1 0 x

2t dt  F  0   t 2 
x


0 dt  
0
0
 F (x) =
 0   x2  0  x2

x>1
1 x

 f  t  dt  1 0 dt  F  1  0  12  1
 F (x) = 

 0  x  0

 F  x    x2  0  x  1
 1  x  1


13
Note how the c.d.f. is a non-decreasing
continuous function between F = 0 and F = 1.

Example:

3 2
{
f (x )=¿ x
8 }
0≤x≤2 ¿ ¿ {}
(i) Sketch the probability density function
f(x)?

14
(ii) Find F(1)?
F ( 1 )= P ( X ≤1)

1
3 2 3 x3 1 1 3 1 1
=∫ x dx= |0 = x | =
0 8 8 3 8 0 8
(iii) Find the cumulative distribution
function F(x)?
Solution:
Consider 0 ≤ x ≤ 2
F ( x )= P ( X ≤ x )
15
 x 3
3 2 3t x 1 3
=∫ t dt= |0 = x
0 8 83 8

13
{ }
F(x)=¿ {0 x≤0¿} x 0≤x≤2 ¿ ¿ {}
8
Example: Life expectancy (in days) of
electronic component has density

1
{ }
f (x)=¿ 2 x≥1 ¿ ¿ {}
x
a) Find the CDF for the life expectancy
of the electronic component?

16
The C.D.F is

F( x)=P( X≤x ), for x∈ R

if x ≥ 1
x x
1
F( x )=P( X≤x )= ∫ f (t )dt=∫ 2 dt
−∞ 1 t

1x 1 1
t x ( )
=− |1 =− −1 =1−
x

F(x)=¿{0 x <0¿}¿{}

17
Expected Value (Mean)
Definition: Let X be continuous random
variable with p.d.f f(x). The expected
value of X is the number, denoted by
E(X), defined by
∞
E( X )= ∫ xf ( x )dx
−∞
Provided that the integral exists.
The expected value of a random variable X,
E(X) is more commonly referred its mean µ
(or µx)
Example: Given the following p.d.f

2
f (x)=¿ {3 x for 0<x<1 ¿ }¿ {}
Find E(X)

18
 1 1 4
2 x 1 3
3
∫ x(3 x )dx=∫ 3 x dx=3 4 |0= 4
0 0
Definition:
Let X be a random variable. Let g(X) be
a function of X. Then the expected value
of g(X) is defined by
∞
E( g( X ))= ∫ g( x)f ( x)dx
−∞
Provided that the integral exists.
Example:
∞
2 2
E( X )= ∫ x f ( x )dx
−∞

Result: E(a+bX) = a + b E(X)

19
Result: If X and Y are random variables,
then
E(X+Y) = E(X) + E(Y)

Variance:
σ 2 =E( X−μ )2=∫ ( x−μ)2 f ( x )dx

Result:

2 2 2
σ =E( X )−( μ)
Where
σ: standard deviation of X (or σX)

Example: Given the following p.d.f

20
 2
f(x)=¿ {3 x for 0<x<1 ¿ }¿ {}
Find σ2?
2 2 2
σ =E( X )−( E( X ))
1 1
2 x4 1 3 3
E( X )=∫ x (3 x )dx=∫ 3 x dx=3 |0 =
0 0 4 4
1 5 1
2 2 2 4 x 1 3
E( X )=∫ x (3 x )dx=∫ 3 x dx=3 |0 =
0 0 5 5
2 3 3 2
2 2
σ =E( X )−( μ ) = −( ) =0 . 0375
5 4

Result:
2
Var(a+bX) = b Var(X)
21
 Where a and b are real constants
Proof: Using
Var(a+bX)=E[(a+bx)-E(a+bX)]2
=E[a+bx-a-bE(x)]2
=E[bX-bE(X)]2
=E[b(X-E(X)]2
=E[b2(X-E(X)2]
=b2 E[(X-E(X)2]=b2 Var(X)

Some Continuous Distributions

1- Uniform Distribution
22
 2- Normal Distribution
3- Exponential Distribution
4- Gamma Distribution

[Link] Distribution
The probability density function of the uniform
random variable X over the interval [a, b] is:

Denoted, X:U(a,b)

23
It is easy to chek it is a p.d.f
∞ b
1 x b
∫ f (x )dx=∫ dx= |a =1
−∞ a b−a b−a
The cumulative Distribution Function
If x < a,then F(x) = 0
If a ≤ x < b
x
1 x−a
F( x )=P( X≤x )=∫ dt =
a b−a b−a
If x > b, then F(x) = 1
Then the cumulative Distribution Function:
24
 x−a
{ }
F(x)=¿ {0 x<1¿ } a≤x<b ¿ ¿{}
b−a

Result:
a+b
1. E ( X )=
2
2
( b−a)
2. Var ( X )=
12

25
 Proof:
∞
E( X )= ∫ xf ( x)dx
−∞
b
1 x2
E( X )=∫ x dx=
a b−a 2( b−a)
2 2
b −a ( b−a )( b+ a)
E( X )= =
2( b−a ) 2( b−a )
( b+ a)
E( X )=
2
Standard uniform distribution
Restricting a=0 and b=1, the resulting
distribution U(0,1) is called a standard
uniform distribution, it is very important in
generating random numbers.

26
Example: Spinning a Dial
Suppose that you spin the dial shown in the
figure so that it comes to rest at a random
position. Model this with a suitable probability
density function, and use it to find the
probability that the dial will land somewhere
between 5° and 300°.

Solution
We take X to be the angle at which the
pointer comes to rest, so we use the interval
[0 360] as its range.
Since all angles are equally likely, the
probability density function should not
27
depend on x and therefore should be
constant. That is, we take f to be uniform.

1 1 1
f (x )= = =
b−a 360−0 360
300
1
P(5≤ X≤300 )= ∫ dx
5 360

300−5
= =0. 8194
360

28
2. Normal Distribution

Applications in civil engineering:

Consider the strength of concrete cubes, if a number
of concrete cube prepared through the identical
methods and cured under the identical circumstances
are tested for their crushing strength it is observed

29
that their crushing strength is a normally distributed
random variable.

Many cases in civil engineering where the data

tends to be around a central value with no bias
left or right, and it gets close to a "Normal
Distribution" like this:

A Normal Distribution
The "Bell Curve" is a Normal Distribution.
And the yellow histogram shows some data that
follows it closely, but not perfectly.
Many things closely follow a Normal
Distribution:
30
  Heights or heights of people.
 Size of things produced by machines.
 Errors in measurements.
A continuous random variable X follows a
normal distribution if it has the following
probability density function (p.d.f.):
( x−μ) 2
− 2
1 2σ
f (x )= 2
e , −∞< x<∞,
√2 π σ
−∞<μ <∞ , σ 2 >0

The parameters of the distribution are µ and σ2 ,

We write X ~ N(µ ,σ2)
Result: It can be shown that the area under the
normal curve equals one.
31
 ∞
∫ f ( x )dx=1
−∞
Result: It can be shown that, if X ~ N(µ ,σ2)
E(X) = µ
Var(X) = σ2
So µ is the mean (expectation) of the
distribution and σ2 is the variance.
Properties of Normal Distribution:

- Bell-shaped
- Unimodal
- Extends to +/- infinity.

32
 - Area under the curve = 1
- Symmetric about the center (mean)
- Mean = Median = Mode
The mean determines the location of the center
of the graph, and the standard deviation
determines the height and width of the graph.
When the standard deviation is large, the curve
is short and wide (left graph) ; when the
standard deviation is small, the curve is tall and
narrow (right graph).

33
34
 The Standard Normal Distribution
A standard normal distribution is a normal
distribution with mean 0 and standard deviation
1, Z: N(0,1). The probability density function is
z2
1 −
2
f (z )= e -∞<z<∞
√2 π

35
Example 1: Find P(Z ≤ 1.18)?

36
From table directly

z .00 .01 ... .08 .09

0.0 .5000 .5040 ... .5319 .5359

0.1 .5398 .5438 ... .5714 .5753

... ... ... ... ... ...

1.0 .8413 .8438 ... .8599 .8621

1.1 .8643 .8665 ... .8810 8830

1.2 .8849 .8869 ... .8997 .9015

... ... ... ... ... ...

Then P(Z ≤ 1.18) = 0.8810

37
Example 2: Find P(Z >-1.48)?

P(Z >-1.48) = 1- P(Z <-1.48) = 1 - 0.0694

= 0.9306.
Example 3: Find P(-1.65<Z <1.65)?

P(-1.65<Z <1.65)= P(Z < 1.65) – P(Z<-1.65)

= 0.9505 – 0.0495 = 0.9010

38
Example 4: Find the z value such that
P(Z>z) = 0.20

Then P(Z ≤ z) = 0.8000

Look up an area of 0.8000. Areas are
found on the inside of the table. There is no
value exactly equal to 0.8000, choose the
closest one 0.7995.
Now, from the margins, find the value z
that accompanies this area. That value is
0.84.

39
Result:
If X ~ N(µ ,σ2)then

X−μ
=Z : N ( 0,1)
σ
Example 5: Scores on MATH 235 have a mean
of 85 and a standard deviation of 5. Let X
represents students test result on the exam
(assume X is a random normal variable).
What is the probability that a randomly selected
student will get a grade of:

40
[Link] than 90?
X−85 90−85
P( X<90)=P( < )=P(Z<1)=0.8413
5 5 (from table)

b. Higher than 85
P( X >85 )=1−P ( X <85 )
X −85 85−85
=1−P ( < )=1−P( Z<1)=1.−0.5000=0.5
5 5
[Link] 90 and 95?
P(90<X <95)=P( X <95 )−P( X<90 )
X−85 95−85 X −85 90−85
=P( < )−P ( < )
5 5 5 5

=P( Z<2)−P( Z <1)

= 0.9772 – 0.8413 (from table)
= 0.135
d. Find the 90-th percentile?

i.e. find c such that P(X ≤ c) = 0.9

41
 X−85 c−85
P( ≤ )=0 . 9
5 5
c−85
P(Z≤a)=0.9, where a=
5
From z-table a = 1.28

c −85
1. 28= , then c=90−th precentile=91 . 4
5
Empirical Rule:
Let X ~ N(µ ,σ2)
1. About 68% of the area under the curve falls

within 1 standard deviation.

P( μ−σ < X < μ+ σ )
μ−σ −μ X −μ μ+σ−μ
P( < < )
σ σ σ
P(−1<Z <1)=P (Z <1)−P(Z <−1 )
= 0.8413 – 0.1587 = 0.6826

42
2. About 95% of the area under the curve falls
within 2 standard deviations.

P( μ−2 σ < X <μ+2 σ )

μ−2 σ−μ X−μ μ+2 σ−μ
P( < < )
σ σ σ
P(−2<Z <2)=P(Z <2 )−P(Z <−2 )
= 0.9772 – 0.0228 = 0.9544
3. About 99.7% of the area under the curve falls
within 3 standard deviations.
P( μ−3 σ < X <μ+3 σ )
μ−3 σ−μ X −μ μ+3σ −μ
P( < < )
σ σ σ

P(−3<Z <3 )=P( Z<3)−P (Z <−3 )

=
0.9987 – 0.0013 = 0.9974

43
 3: Exponential Distribution
The probability density function of the
exponential distribution with parameter λ>0 is
given by:

f(x)=¿ { λe if x≥0 ¿} ¿ {}
−λx
Denoted X: Exp(λ)

Rate of decay to zero depend on λ

If λ is large, decay to zero faster

44
Applications:
- Modeling machine life times.
- Queuing Systems
- The exponential distribution it is the
probability distribution that describe the
time between events in an experiment where
the outcomes occur continuously and
independently at a constant average rate.
The cumulative distribution function (C.D.F) is:
If x < 0, FX(x) = 0
If x ≥ 0, then
x
F X ( x)=P( X≤x)=∫ λe− λt dt=1−e−λx
0

FX (x)=¿ {0 if x<0¿}¿ {}
45
Mean:

Integration by parts
∞ ∞
∫ udv=uv −∫ vdu
0 0

integration by parts with

u=−x
v=e−λx.
We see that du=-1dx
and dv=−λe−λx.

46
Variance:

Example: So, if we take that daily rainfall depth

and the probability density is highest for this 0
rainfall we know that most of the days, if in
case, the most of the days are dry days then it is
47
the maximum probability is concentrated as
zero. The probability density becomes
progressively lesser for the higher values of the
rainfall depth and it is very less for the
extremely high rainfall depths. Thus this may
follow again, it should now may should be
follow for daily rainfall depth may follow and
exponential distribution
Example: The waiting time X for the next
customer follows an exponential distribution
with a mean waiting time of 15 minutes.
-Find the probability that the next customer
waits more than ten minutes?
Mean=E(X)= 1/λ = 10, then λ=1/10=0.1
Need P(X>15) ?
Solution:

P( X >15 )=1-P( X≤15 )

48
 15
-0. 1x
P( X >15 )=1- ∫ 0 . 1e dx=1−. 78=0 .22
0

or use CDF

FX (x)=¿ {0 if x<0¿}¿ {}
1
− 15
10
P( X >15 )=1- F (15)=1-[ 1-e ]
1
− 15
10
=e =e−3/2 =0 .22
-
Find the probability that the next customer
waits between 10 and 20 minutes?
P( 10< X <20 )=F ( 20)−F( 10 )

49
 1 1
− 20 − 10
10 10
=[1-e ]−[1-e ]
1 1
− 10 − 20
10 10
=e −e =e−1−e−2 =0 . 23
4. Gamma distribution:
For any real number α, The gamma function
Γ(α) is defined as
∞
Γ(α )=∫ x α−1 e−x dx , for α>0
0

Note for α = 1, we can write

∞
−x
Γ(1)=∫ e dx=1
0
Result: It can be shown that

Γ(α +1)=αΓ (α ), for α>0

50
Note that if α is a positive integer, nϵ{1,2,3,…},
then

Γ(n+1)=nΓ (n)
Γ(n+1)=n( n−1)Γ( n−1)
Γ(n+1)=n( n−1)( n−2)Γ( n−2)
.

Γ(n+1)=n( n−1)( n−2)...(2)(1)

Γ(n+1)=n!
or

Γ(n)=(n−1)!
where

51
 (n−1)!=(n−1)(n−2)...(2)(1)
then
∞
n−1 −x
Γ(n)=∫ x e dx=(n−1)!
0
Examples
∞
2−1 −x
Γ(2)=∫ x e dx=1!=1
0
∞
3−1 −x
Γ(3)=∫ x e dx=2!=2
0
∞
4−1 −x
Γ(4)=∫ x e dx=3!=6
0

52
 Gamma function for some real values α
Result:
∞
Γ (α ) α−1 − λy
α
=∫ y e dy
λ 0
Proof
∞
Γ(α )=∫ x α−1 e−x dx , for α>0
0

Using the change of variable x=λy, (dx=λdy)

53
 ∞
α−1 −λy
Γ(α )=∫ ( λy ) e λdy
0
∞
Γ(α )=∫ λα y α−1 e−λy dy
0
∞
Γ(α )
α−1 −λy
∫ y e dy= λ α
0

Properties of the gamma function

∞
Γ(α )=∫ x α−1 e−x dx , for α>0
1. 0
∞
Γ (α )
α−1 −λx
∫ x e dx= λα
2. 0

3. .
Γ(α +1)=αΓ (α )
54
 4.
Γ(n)=(n−1)!, for n=1,2,3,...
1
5.
Γ =√π
2 ()
Example:
Find

7
Γ ()
2
Solution:

55
 7 5 5
() ()
Γ = Γ
2 2 2
(using property 3)

7 53 3
Γ ( )= Γ ( ) (using property 3)
2 22 2
7 531 1
Γ ( )= Γ ( ) ( using property 3)
2 222 2
7 531 1
Γ ( )= Γ ( ) ( using property 3)
2 222 2
7 15
Γ ( )= √ π
2 8

56
Example:

Find the value of the following integral

∞
6 −5 x
I=∫ x e dx
0

Solution
∞
6 −5 x
I=∫ x e dx
0
Γ (7)
I= 7
5
6!
I= 7 (using property 4 )
5
I≈0.0092

57
Definition: A continuous random variable X is
said to have a Gamma distribution with
parameters α>0 and λ>0, shown as
X:Gamma(α,λ), if its probability density
function is given by

1 −λx α−1
{
f (x)=¿ λe (λx) x>0 ¿ ¿ {}
Γ(α) }
Where Γ(α) is called the gamma function.

58
 Probability density function of the gamma
distribution for some values of α α and λ

If we let α=1, we obtain

f(x)=¿ { λe if x≥0 ¿} ¿ {}
−λx

Which is the exponential distribution, thus we

conclude Gamma(1,λ)=Exponential(λ)
Result: Mean an variance for the gamma
distribution
α
E( X )=μ=
λ
α
Var ( X )=σ 2 =
λ2

59