MATH 105 ENGINEERING DATA ANALYSIS FOR CE

Chapter 4
CONTINUOUS PROBABILITY DISTRIBUTIONS

A link between statistics and physical phenomena is provided by the kinetic theory
of gases. The physicist James Maxwell used some basic assumptions to determine the
distribution of molecular velocity in a gas at equilibrium. As a result of molecular collisions
all directions of rebound are equally likely. From this concept he assumed equal
probabilities for velocities in all the x, y, and z directions and also independence of these
components of velocity. This alone is sufficient to show that the probability distribution of
the velocity in a particular direction x is the continuous probability distribution known as
the normal distribution. This fundamental probability distribution can be derived from
other directions (such as the central limit theorem to be discussed in a later chapter), but
the kinetic theory may be the most parsimonious. This role for the normal distribution
illustrates one example of the importance of continuous probability distribution
distributions within science and engineering.

Objectives:
After careful study of this chapter, you should be able to do the following:

1. Determine probabilities from probability density functions

2. Determine probabilities from cumulative distribution functions and cumulative
distribution functions from probability density functions, and the reverse
3. Calculate means and variances for continuous random variables
4. Understand assumptions for some common continuous probability distributions
5. Select an appropriate continuous probability distribution to calculate probabilities
in specific applications
6. Calculate probabilities, determine means and variances for some common
continuous probability distributions
7. Standardize normal random variables
8. Use the table for the cumulative distribution function of a standard normal
distribution to calculate probabilities
9. Approximate probabilities for some binomial and Poisson distributions

4.1 Continuous Random Variable

Suppose a dimensional length is measured on a manufactured part selected from a
day’s production. In practice, there can be small variations in the measurements due to
many causes, such as vibrations, temperature fluctuations, operator differences,
calibrations, cutting tool wear, bearing wear, and raw material changes. In an
experiment such as this, the measurement is naturally represented as a random variable
X and it is reasonable to model the range of possible values of X with an interval of real
numbers.
Recall from the previous chapter that a continuous random variable is a random
variable with an interval (either finite or infinite) of real numbers for its range.
Because the number of possible values of X is uncountably infinite, X has a distinctly
different distribution from the discrete random variables studied previously. But as in the
discrete case, many physical systems can be modeled by the same or similar continuous
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random variables. These random variables are described, and example computations of
probabilities, means, and variances are provided in the remaining sections of this
chapter.

4.2 Probability Distributions and Probability Density Functions

Density functions are commonly used in engineering to describe physical systems. For
example, consider the density of a loading on a long, thin beam as shown in Fig. 4-1. For
any point x along the beam, the density can be described by a function (in grams/cm).
Intervals with large loadings correspond to large values for the function. The total loading
between points a and b is determined as the integral of the density function from a to b.
This integral is the area under the density function over this interval, and it can be loosely
interpreted as the sum of all the loadings over this interval.

Figure 4-1 Density Function of a Figure 4-2 Density Function of a loading on a long,
loading on a long, thin beam thin beam

Similarly, a probability density function 𝑓(𝑥) can be used to describe the

probability distribution of a continuous random variable X. If an interval is likely to contain
a value for X, its probability is large and it corresponds to large values for 𝑓(𝑥). The
probability that X is between 𝑎 and 𝑏 is determined as the integral of 𝑓(𝑥) from 𝑎 to 𝑏.

Definition 4.1 Probability Density Function

For a continuous random variable X, a probability density function is a function such that
(1) 𝑓(𝑥) ≥ 0
∞
(2) ∫−∞ 𝑓(𝑥)𝑑𝑥 = 1
𝑏
(3) 𝑃(𝑎 ≤ 𝑋 ≤ 𝑏) = ∫𝑎 𝑓(𝑥)𝑑𝑥 = 𝑎𝑟𝑒𝑎 𝑢𝑛𝑑𝑒𝑟 𝑓(𝑥)𝑓𝑟𝑜𝑚 𝑎 𝑡𝑜 𝑏
For any 𝑎 and 𝑏

A probability density function provides a simple description of the probabilities

∞
associated with a random variable. As long as 𝑓(𝑥) is nonnegative and ∫−∞ 𝑓(𝑥)𝑑𝑥 = 1,
0 ≤ 𝑃(𝑎 < 𝑋 < 𝑏) ≤ 1 so that the probabilities are properly restricted. A probability density
function is zero for 𝑥 values that cannot occur and it is assumed to be zero wherever it is
not specifically defined.

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Definition 4.2
If X is a continuous random variable, for any 𝑥1 and 𝑥2 ,
𝑷(𝒙𝟏 ≤ 𝑿 ≤ 𝒙𝟐 ) = 𝑷(𝒙𝟏 < 𝑿 ≤ 𝒙𝟐 ) = 𝑷(𝒙𝟏 ≤ 𝑿 < 𝒙𝟐 ) = 𝑷(𝒙𝟏 < 𝑿 < 𝒙𝟐 )

Example 4.1 Electric Current

Let the continuous random variable X denote the current measured in a thin
copper wire in milliamperes. Assume that the range of X is [0, 20 𝑚𝐴], and assume that the
probability density function of X is 𝑓(𝑥) = 0.05 for 0 ≤ 𝑥 ≤ 20. What is the probability that a
current measurement is less than 10 milliamperes?

Example 4.2 Hole Diameter

Let the continuous random variable X denote the diameter of a hole drilled in a sheet
metal component. The target diameter is 12.5 millimeters. Most random disturbances to
the process result in larger diameters. Historical data show that the distribution of X can
be modeled by a probability density function 𝑓(𝑥) = 20𝑒 −20(𝑥−12.5) , 𝑥 ≥ 12.5.

4.3 Cumulative Distribution Functions

An alternative method to describe the distribution of a discrete random variable
can also be used for continuous random variables.

Definition 4.3 Cumulative Distribution Function

The cumulative distribution function of a continuous random variable X is
𝑥
𝐹(𝑥) = 𝑃(𝑋 ≤ 𝑥) = ∫ 𝑓(𝑢) 𝑑𝑢
−∞
For −∞ < 𝑥 < ∞.

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Example 4.3
For the copper current measurement in Example 4.1, the cumulative distribution function
of the random variable X consists of three expressions. If 𝑥 < 0, 𝑓(𝑥) = 0. Therefore,
𝐹(𝑥) = 0, for 𝑥 < 0
and

Finally,

Therefore,

Plotting 𝐹(𝑥), we have,

Example 4.4
For the drilling operation in Example 4.2, 𝐹(𝑥) consists of two expressions.

and for 12.5 ≤ 𝑥,

Therefore,

Plotting the 𝐹(𝑥),

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4.4 Mean and Variance of a Continuous Random Variable

The mean and variance can also be defined for a continuous random variable.
Integration replaces summation in the discrete definitions. If a probability density function
is viewed as a loading on a beam as in Figure 4.1, the mean is the balance point.

Definition 4.4 Mean and Variance

Suppose X is a continuous random variable with probability density function 𝑓(𝑥).

The mean or expected value of X, denoted as 𝜇 or 𝐸(𝑋), is

∞
𝜇 = 𝐸(𝑋) = ∫ 𝑥𝑓(𝑥)𝑑𝑥
−∞
The variance of X, denoted as 𝑉(𝑋) or 𝜎 2 , is
∞ ∞
𝜎 2 = 𝑉(𝑋) = ∫ (𝑥 − 𝜇)2 𝑓(𝑥)𝑑𝑥 = ∫ 𝑥 2 𝑓(𝑥)𝑑𝑥 − 𝜇2
−∞ −∞
The standard deviation of X is 𝜎 = √𝜎 2 .

Example 4.5
Find the mean and variance of the copper current measurement in Example 4.1.

The expected value of a function ℎ(𝑋) of a continuous random variable is also

defined in a straightforward manner.

Definition 4.5 Expected Value of a Function of a Continuous Random Variable

If X is a continuous random variable with probability density function 𝑓(𝑥),
∞
𝐸[ℎ(𝑋)] = ∫ ℎ(𝑥)𝑓(𝑥)𝑑𝑥
−∞

Example 4.6
In Example 4.1, X is the current measured in milliamperes.

Example 4.7
In Example 4.2, find the mean and variance of the drilling operation.

4.5 Continuous Uniform Distribution

The simplest continuous distribution is analogous to its discrete counterpart.

Definition 4.6 Continuous Uniform Distribution

A continuous random variable X with probability density function
1
𝑓(𝑥) = , 𝑎≤𝑥≤𝑏
(𝑏 − 𝑎)

is a continuous uniform random variable.

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Definition 4.7 Mean and Variance

If 𝑋 is a continuous uniform random variable over 𝑎 ≤ 𝑥 ≤ 𝑏,
(𝑎 + 𝑏) (𝑏 − 𝑎)2
𝜇 = 𝐸(𝑋) = 𝑎𝑛𝑑 𝜎 2 = 𝑉(𝑋) =
2 12

Example 4.8
Let the continuous random variable X denote the current measured in a thin copper wire
in milliamperes. Assume that the range of X is [0,20 𝑚𝐴], and assume that the probability
density function of X is 𝑓(𝑥) = 0.05, 0 ≤ 𝑥 ≤ 20. What is the probability that a measurement
of current is between 5 and 10 milliamperes?

4.6 Normal Distribution

The most important continuous probability distribution in the entire field of statistics is
the normal distribution. Its graph, called the normal curve, is the bell-shaped curve of
Figure 4.3, which approximately describes many phenomena that occur in nature,
industry, and research.

Figure 4.3 The Normal Curve

For example, 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. In addition, errors in scientific
measurements are extremely well approximated by a normal distribution.
In 1733, Abraham DeMoivre developed the mathematical equation of the normal
curve. It provided a basis from which much of the theory of inductive statistics is founded.
The normal distribution is often referred to as the Gaussian distribution, in honor of Karl

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Friedrich Gauss (1777-1855), who also derived its equation from a study of errors in
repeated measurements of the same quantity.
A continuous random variable X having the bell-shaped distribution of Figure 4.3 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).

Definition 4.8 Normal Distribution

The probability density function 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 …

Figure 4.4 Normal curves with 𝝁𝟏 < 𝝁𝟐 and 𝝈𝟏 = 𝝈𝟐

Figure 4.5 Normal curves with 𝝁𝟏 = 𝝁𝟐 and 𝝈𝟏 < 𝝈𝟐 .

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Figure 4.6 Normal curves with 𝝁𝟏 < 𝝁𝟐 and 𝝈𝟏 < 𝝈𝟐 .

Based on inspection of Figures 4.3 through 4.6 and examination of the first and second
derivatives of 𝑛(𝑥; 𝜇, 𝜎), we list the following properties of the 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.

Theorem 4.1
The mean and variance of 𝑛(𝑥; 𝜇, 𝜎) are 𝜇 and 𝜎 2 , respectively. Hence, the standard
deviation is 𝜎.

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 . Thus, for
the normal curve in Figure 4.7,

𝑥2
1 𝑥2 −(𝑥−𝜇)2
𝑃(𝑥1 < 𝑋 < 𝑥2 ) = ∫ 𝑛(𝑥; 𝜇, 𝜎) 𝑑𝑥 = ∫ 𝑒 2𝜎 2 𝑑𝑥
𝑥1 √2𝜋𝜎 𝑥1

Is represented by the area of the shaded region.

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Figure 4.7 𝑷(𝒙𝟏 < 𝑿 < 𝒙𝟐 ) = 𝒂𝒓𝒆𝒂 𝒐𝒇 𝒕𝒉𝒆 𝒔𝒉𝒂𝒅𝒆𝒅 𝒓𝒆𝒈𝒊𝒐𝒏

Figure 4.8: 𝑷(𝒙𝟏 < 𝑿 < 𝒙𝟐 ) 𝒇𝒐𝒓 𝒅𝒊𝒇𝒇𝒆𝒓𝒆𝒏𝒕 𝒏𝒐𝒓𝒎𝒂𝒍 𝒄𝒖𝒓𝒗𝒆𝒔

There are many types of statistical software that can be used in calculating areas
under the normal curve. The difficulty encountered in solving integrals of normal density
functions necessitates the tabulation of normal curve areas for quick reference.
However, 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 observations of a normal random
variable Z with mean 0 and variance 1. This can be done by means of the transformation
𝑋−𝜇
𝑍=
𝜎
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.

Where Z is seen to be a normal random variable with mean 0 and variance 1.

Definition 4.9
The distribution of a normal random variable with mean 0 and variance 1 is called a
standard normal distribution.

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We have now reduced the required number of tables of normal-curve areas to

one, that of the standard normal distribution. Table A.3 indicates the area under
the standard normal curve corresponding to 𝑃(𝑍 < 𝑧) for values of z ranging from
-3.49 to 3.49.

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Example 4.9
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.

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Example 4.10
Given a standard normal distribution, find the value of k such that
a. 𝑃(𝑍 > 𝑘) = 0.3015
b. 𝑃(𝑘 < 𝑍 < −0.18) = 0.4197

Example 4.11
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 4.12
Given that X has a normal distribution with 𝜇 = 300 and 𝜎 = 50, find the probability that X
assumes a value greater than 362.

Example 4.13
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 4.14
Solve the following applications of the normal distributions
a. A certain type of storage battery lasts, on average, 3.0 years with a standard
deviation of 0.5 year. Assuming that battery life is normally distributed, find the
probability that a given battery will last less than 2.3 years.

b. An electrical firm manufactures light bulbs that have a life, before burn-out, that
is normally distributed with mean equal to 800 hours and a standard deviation of
40 hours. Find the probability that a bulb burns between 778 and 834 hours.

c. In an industrial process, the diameter of a ball bearing is an important

measurement. The buyer sets specifications for the diameter to be 3.0 ± 0.01 cm.
The implication is that no part falling outside these specifications will be accepted.
It is known that in the process the diameter of a ball bearing has a normal
distribution with mean 𝜇 = 3.0 and standard deviation 𝜎 = 0.005. On average,
how many manufactured ball bearings will be scrapped?

4.7 Normal Approximation to the Binomial Distributions

The normal distribution is often a good approximation to a discrete distribution
when the latter takes on a symmetric bell shape. From a theoretical point of view, some
distributions converge to the normal as their parameters approach certain limits. The
normal distribution is a convenient approximating distribution because the cumulative
distribution function is so easily tabled. The binomial distribution is nicely approximated by
the normal in practical problems when one works with the cumulative distribution
function. We now state a theorem that allows us to use areas under the normal curve to
approximate binomial properties when n is sufficiently large.

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Theorem 4.2
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)

Definition 4.10 Normal Approximation to the Binomial Distribution

Let X be a binomial random variable with parameters 𝑛 and 𝑝. For large 𝑛, X has
approximately a normal distribution with 𝜇 = 𝑛𝑝 and 𝜎 2 = 𝑛𝑝𝑞 = 𝑛𝑝(1 − 𝑝) and
𝑥

𝑃(𝑋 ≤ 𝑥) = ∑ 𝑏(𝑘; 𝑛, 𝑝)
𝑘=0
𝑃(𝑋 ≤ 𝑥) ≈ 𝑎𝑟𝑒𝑎 𝑢𝑛𝑑𝑒𝑟 𝑛𝑜𝑟𝑚𝑎𝑙 𝑐𝑢𝑟𝑣𝑒 𝑡𝑜 𝑡ℎ𝑒 𝑙𝑒𝑓𝑡 𝑜𝑓 𝑥 + 0.5
𝑥 + 0.5 − 𝑛𝑝
𝑃(𝑋 ≤ 𝑥) = 𝑃 (𝑍 ≤ )
√𝑛𝑝𝑞
And the approximation will be good if 𝑛𝑝 and 𝑛(1 − 𝑝) are greater than or equal to 5.

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Example 4.15
The probability that a patient recovers from a rare blood disease is 0.4. if 100 people are
known to have contracted this disease, what is the probability that fewer than 30 survive?

Example 4.16
A multiple-choice quiz has 200 questions, each with 4 possible answers of which
only 1 is correct. What is the probability that sheer guesswork yields from 25 to
30 correct answers for the 80 of the 200 problems about which the student has no
knowledge?

4.8 Gamma and Exponential Distributions

Although the normal distribution can be used to solve many problems in
engineering and science, there are still numerous situations that require different types of
density functions. Two such density functions, the gamma and exponential distributions,
are discussed in this section.
It turns out that the exponential distribution is a special case of the gamma
distribution. Both find a large number of applications. 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 nicely modeled by the exponential distribution. The relationship
between the gamma and the exponential allows the gamma to be used in similar types
of problems. More details and illustrations will be supplied later in the section.
The gamma distribution derives its name from the well-known gamma function,
studied in many areas of mathematics. Before we proceed to the gamma distribution,
let us review this function and some of its important properties.

Definition 4.11 Gamma Function

The gamma function is defined by
∞
Γ(𝛼) = ∫ 𝑥 𝛼−1 𝑒 −𝑥 𝑑𝑥 , 𝑓𝑜𝑟 𝛼 > 0
0

The following are a few simple properties of the gamma function.

a. Γ(𝑛) = (𝑛 − 1)(𝑛 − 2) … (1)Γ(1), for a positive integer 𝑛.
b. Γ(𝑛) = (𝑛 − 1)! For a positive integer 𝑛.
c. Γ(1) = 1
d. Γ(1/2) = √𝜋

Definition 4.12 Gamma Distribution

The continuous random variable X has a gamma distribution, with parameters 𝛼 and 𝛽, if
its density function is given by

Where 𝛼 > 0 and 𝛽 > 0.

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Graphs of several gamma distributions are shown in Figure 4.9 for certain specified
values of the parameters 𝛼 and 𝛽. The special gamma distribution for which 𝛼 = 1 is
called the exponential distribution.

Figure 4.9 Gamma Distributions

Definition 4.13 Exponential Distribution

The continuous random variable X has an exponential distribution, with parameter 𝛽, if
its density function is given by

Where 𝛽 > 0.

Theorem 4.3
The mean and variance of the gamma distribution are
𝝁 = 𝜶𝜷 and 𝝈𝟐 = 𝜶𝜷𝟐

Corollary 6.1
The mean and variance of the exponential distribution are
𝝁 = 𝜷 and 𝝈𝟐 = 𝜷𝟐

Relationship to the Poisson Process

We shall pursue applications of the exponential distribution and then return to the
gamma distribution. The most important applications of the exponential distribution are
situations where the Poisson process applies.
Recall that the 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 at a

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congested intersection during rush hour in a large city. An arrival represents the Poisson
event.
The relationship between the exponential distribution (often called the negative
exponential) and the Poisson process is quite simple. In Chapter 5, the 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
𝒆−𝝀𝒕 (𝝀𝒕)𝟎
𝒑(𝟎, 𝝀𝒕) = = 𝒆−𝝀𝒕
𝟎!
We can now make use of the above and let 𝑋 be the 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. The latter, of
course, is given by 𝑒 −𝜆𝑥 . As a result,
𝑷(𝑿 > 𝒙) = 𝑒 −𝜆𝑥
Thus, the cumulative distribution function for 𝑋 is given by
𝑷(𝟎 ≤ 𝑿 ≤ 𝒙) = 𝟏 − 𝑒 −𝜆𝑥
Now, in order that we may recognize the presence of the exponential distribution,
we differentiate the cumulative distribution function above to obtain the density
function,
𝒇(𝒙) = 𝜆𝑒 −𝜆𝑥 ,
Which is the density function of the exponential distribution with 𝜆 = 1/𝛽.

Example 4.17
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?
Example 4.18
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 into the switchboard?
Example 4.19
In a biomedical study with rats, a dose-response investigation is used to determine the
effect of the dose of a toxicant on their survival time. The toxicant is one that is frequently
discharged into the atmosphere from jet fuel. For a certain dose of the toxicant, the study
determines that the survival time, in weeks, has a gamma distribution with 𝛼 = 5 and 𝛽 =
10. What is the probability that a rat survives no longer than 60 weeks?
Example 4.20
It is known, from previous data, that the length of time in months between customer
complaints about a certain product is a gamma distribution with 𝛼 = 2 and 𝛽 = 4.
Changes were made to tighten quality control requirements. Following these changes,
20 months passed before the first complaint. Does it appear as if the quality control
tightening was effective?

ENGR. JOSHUA C. JUNIO 16