Probability and

HCMC University of Technology Statistics

Dung Nguyen

Some Special

Distributions
 Outline I
1 Discrete Distributions

2 Continuous Distributions

3 The Central Limit Theorem

Dung Nguyen Probability and Statistics 2/76

Discrete distributions
Binomial distributions B(n, p)
Poisson distributions Poisson(λ)
Continuous distributions
Continuous uniform distributions U(a, b)
Exponential distributions Exp(λ)
Normal distributions N(m, σ 2)
The central limit theorem (CLT)

Dung Nguyen Probability and Statistics 3/76

 Discrete Distributions

1 Discrete Distributions
The Binomial Distributions B(n, p)
The Poisson Distributions Poisson(λ)

Dung Nguyen Probability and Statistics 4/76

 Discrete Distributions The Binomial Distributions B(n, p)

The Binomial Distributions B(n, p)

Definition
Bernoulli trial B(p):
u 1 0
P(Z = u) p q = 1 − p
E(Z) = p and V(Z) = pq.
Binomial random variable = the # of
successes in n Bernoulli trials (the
probability of success in each trial is
0 ≤ p ≤ 1).
Dung Nguyen Probability and Statistics 5/76
 Discrete Distributions The Binomial Distributions B(n, p)

Examples:
The # of defective items among 20
independent items with the defective
rate 5%.
The # of winning tickets among 11
independent lottery tickets with the
winning rate 1%.
The # of patients reporting symptomatic
relief with a specific medication with
the effective rate 80%.
Dung Nguyen Probability and Statistics 6/76
 Discrete Distributions The Binomial Distributions B(n, p)

Example 1 - Binomial?
a A coin is weighted in such a way so that
there is a 70% chance of getting a head
on any particular toss. Toss the coin,
in exactly the same way, 100 times. Let
X equal the number of heads tossed.
b A college administrator randomly samples
students until he finds four that have
volunteered to work for a local
organization. Let X equal the number
of students sampled.
Dung Nguyen Probability and Statistics 7/76
 Discrete Distributions The Binomial Distributions B(n, p)

Example 2 - Binomial?
a A Quality Control Inspector (QCI)
investigates a lot containing 15 skeins
of yarn. The QCI randomly samples
(without replacement) 5 skeins of yarn
from the lot. Let X equal the number
of skeins with acceptable color.
b A Gallup Poll of n = 1000 random adult
Americans is conducted. Let X equal
the number in the sample who own a sport
utility vehicle (SUV).
Dung Nguyen Probability and Statistics 8/76
 Discrete Distributions The Binomial Distributions B(n, p)

n = 8, p = 0.5 n = 30, p = 0.5

0.3 n = 8, p = 0.2
0.15 n = 30, p = 0.2

0.2 0.1

0.1 0.05

0 0
0 2 4 6 8 0 5 10 15 20 25 30
Figure: Pmf of B(n, p)

Dung Nguyen Probability and Statistics 9/76

 Discrete Distributions The Binomial Distributions B(n, p)

Proposition
Let X ∼ B(n, p). Then
1 X takes values in Ω = {0, 1, . . . , n} with

f(k) = P(X = k) = Ckn pk q n−k .

k = 0: q q q ··· q P(X = 0) = q n .
k = n: p p p ··· p P(X = n) = pn .
k = 1: p q q ··· q P(X = 1) = C1n pq n−1 .
k = 2: p p q ··· q P(X = 2) = C2n p2 q n−2 .
2 X is a sum of n independent Bernoulli
random variables: X = Z1 + Z2 + · · · + Zn.
3 E(X) = np and V(X) = npq.
Dung Nguyen Probability and Statistics 10/76
 Discrete Distributions The Binomial Distributions B(n, p)

Example 3
Each sample of water has a 10% chance of
containing a particular organic pollutant.
Assume that the samples are independent
with regard to the presence of the
pollutant.
a Find the probability that, in the next
18 samples, exactly 2 contain the
pollutant.
b Determine the probability that at least
4 samples contain the pollutant.
Dung Nguyen Probability and Statistics 11/76
 Discrete Distributions The Binomial Distributions B(n, p)

Example 4
A certain electronic system contains 10
components. Suppose that the probability
that each individual component will fail
is 0.2 and that the components fail
independently of each other. Given that
at least one of the components has failed,
what is the probability that at least two
of the components have failed?

Dung Nguyen Probability and Statistics 12/76

 Discrete Distributions The Binomial Distributions B(n, p)

Example 5
A certain binary communication system has
a bit-error rate of 0.1; i.e., in
transmitting a single bit, the probability
of receiving the bit in error is 0.1. If
6 bits are transmitted, then how many
bits, on average, will be received in
error? Determine the corresponding
variance.

Dung Nguyen Probability and Statistics 13/76

 Discrete Distributions The Binomial Distributions B(n, p)

Example 6
Three men A, B, and C shoot at a target.
Suppose that A shoots three times and the
probability that he will hit the target on
any given shot is 1/8, B shoots five times
and the probability that he will hit the
target on any given shot is 1/4, and C
shoots twice and the probability that he
will hit the target on any given shot is
1/3. What is the expected number of times
that the target will be hit?
Dung Nguyen Probability and Statistics 14/76
 Discrete Distributions The Poisson Distributions Poisson(λ)

Applications of Poisson
Distributions
Electrical system example: the number
of telephone calls arriving in a system
in 1 second, the number of wrong
connections to your phone number per
day.
Astronomy example: the number of
photons arriving at a telescope in 1
microsecond.
Dung Nguyen Probability and Statistics 15/76
 Discrete Distributions The Poisson Distributions Poisson(λ)

Applications of Poisson
Distributions
Biology example: the number of
mutations on a strand of DNA per unit
length, the number of bacteria on some
surface or weed in the field,
Management example: the number of
customers arriving at a counter or call
centre in 10 minutes.

Dung Nguyen Probability and Statistics 16/76

 Discrete Distributions The Poisson Distributions Poisson(λ)

Applications of Poisson
Distributions
Civil engineering example: the number
of cars arriving at a traffic light in 5
minutes.
Finance and insurance example: the
number of Losses/Claims occurring in a
given period of time.

Dung Nguyen Probability and Statistics 17/76

 Discrete Distributions The Poisson Distributions Poisson(λ)

The Poisson Distributions

Poisson random variable = the count of
events that occur within an interval.
Unknown: the # of trials n or the
probability of success p
Known: the average # of successes per
time period λ = np.
lim P(Xn = k)
n→∞
 k  n−k k
n! λ λ −λ λ
= lim 1− =e · .
n→∞ k!(n − k)! n n k!
Dung Nguyen Probability and Statistics 18/76
 Discrete Distributions The Poisson Distributions Poisson(λ)

The Poisson Distributions

Poisson distribution: Ω = {0, 1, 2, . . .} and
k
−λ λ
f(k) = P(X = k) = e · , x ∈ Ω.
k!
The mean and the variance of a Poisson
distribution are the same.
E(X) = λ and V(X) = λ.
If Xi ∼ Poisson(λi) and are independent then
n n
!
X X
Xi ∼ Poisson λi .
i=1 i=1
Dung Nguyen Probability and Statistics 19/76
 Discrete Distributions The Poisson Distributions Poisson(λ)

Example 7
Random sample Random sample
(B(5, 0.7), E = 3.5): (Poisson(3.5), E = 3.5):
1 5 4 4 5 2 7 3 0 6
3 4 4 2 5 5 2 1 2 3
Then x = 3.7 and Then x = 3.1 and
s2 = 1.7889. s2 = 4.9889.

If the variance of a data is much greater

or less than the mean, then the Poisson
distribution would not be a good model.
Dung Nguyen Probability and Statistics 20/76
 Discrete Distributions The Poisson Distributions Poisson(λ)

Example
8 The number of motor accidents in the
daytime is a Poisson random variable.
So is the number in the nighttime, but
the rates are different. Their sum also
follows a Poisson distribution with the
rate being the sum of the daytime and
nighttime rates.

Dung Nguyen Probability and Statistics 21/76

 Discrete Distributions The Poisson Distributions Poisson(λ)

Example
8 The number of motor accidents in the
daytime is a Poisson random variable.
So is the number in the nighttime, but
the rates are different. Their sum also
follows a Poisson distribution with the
rate being the sum of the daytime and
nighttime rates.

9 Let X ∼ Poisson(2), Y ∼ Poisson(3). What is the

distribution of X + Y?
Dung Nguyen Probability and Statistics 21/76
 Discrete Distributions The Poisson Distributions Poisson(λ)

·10−2
0.6 λ = 0.5 λ=5 λ = 20
0.15 8
0.4 6
0.1
4
0.2 0.05 2
0 0 0
0 2 4 6 8 0 5 10 15 0 10 20 30 40
Figure: Pmf of Poisson(λ)
Dung Nguyen Probability and Statistics 22/76
 Discrete Distributions The Poisson Distributions Poisson(λ)

Example 10
Consider an experiment that consists of
counting the number of α particles given
off in a 1-second interval by 1 gram of
radioactive material. If we know from
past experience that, on average, 3.2 such
α particles are given off, what is a good
approximation to the probability that no
more than 2 α particles will appear?

Dung Nguyen Probability and Statistics 23/76

 Discrete Distributions The Poisson Distributions Poisson(λ)

Example 11
Flaws occur at random along the length of
a thin copper wire. Suppose that the
number of flaws follows a Poisson
distribution with a mean of 2.3 flaws per
mm. Find the probability of
a exactly 2 flaws in 1 mm of wire.
b exactly 10 flaws in 5 mm of wire.
c at least 1 flaw in 2 mm of wire.

Dung Nguyen Probability and Statistics 24/76

 Discrete Distributions The Poisson Distributions Poisson(λ)

Approximation property
Let Y ∼ Poisson(λ) and Xn ∼ B(n, pn) with pn = λ/n.
n =k)
Then limn→∞ P(X
P(Y=k) = 1, ∀k = 0, 1, . . . .

B(16, 0.25) 0.2 Poisson(4) 0.2 B(100, 0.04)

0.2
0.15 E=4 0.15 E=4
0.15 E=4
0.1 0.1
0.1
0.05 0.05 0.05
0 0 0
0 5 10 15 0 5 10 15 0 5 10 15
Dung Nguyen Probability and Statistics 25/76
 Discrete Distributions The Poisson Distributions Poisson(λ)

Example
12 Suppose that 1 in 5000 light bulbs are
defective. What is the probability that
there are at least 3 defective light
bulbs in a group of size 10000?

Dung Nguyen Probability and Statistics 26/76

 Discrete Distributions The Poisson Distributions Poisson(λ)

Example
12 Suppose that 1 in 5000 light bulbs are
defective. What is the probability that
there are at least 3 defective light
bulbs in a group of size 10000?

13 Observations (following Poisson(λ)):

3, 3, 3, 3, 1, 4, 6, 1, 2, 0
Estimate λ and P(X ≤ 2).

Dung Nguyen Probability and Statistics 26/76

 Discrete Distributions The Poisson Distributions Poisson(λ)

Example 14
Suppose that the number of drivers who
travel between a particular origin and
destination during a designated time
period has a Poisson distribution with
parameter λ = 20. What is the probability
that the number of drivers will
a Be at most 10?
b Be within 2 standard deviations of the
mean value?
Dung Nguyen Probability and Statistics 27/76
 Continuous Distributions

2 Continuous Distributions
The Continuous Uniform Distributions
U(a, b)
The Exponential Distribution Exp(λ)
Normal Distributions N(m, σ 2)

Dung Nguyen Probability and Statistics 28/76

 Continuous Distributions The Continuous Uniform Distributions U(a, b)

The Continuous Uniform

Distributions U(a, b)
This distribution has pdf and cdf

 1 , x ∈ [a, b]
f(x) = b − a
0, x ̸∈ [a, b].


 0, x<a
x − a
F(x) = , x ∈ [a, b)

 b − a
x ≥ b.

1,
Dung Nguyen Probability and Statistics 29/76
 Continuous Distributions The Continuous Uniform Distributions U(a, b)

The Continuous Uniform

Distributions U(a, b)
This distribution has pdf and cdf

 1 , x ∈ [a, b]
f(x) = b − a
0, x ̸∈ [a, b].


 0, x<a
x − a
F(x) = , x ∈ [a, b)

 b − a
x ≥ b.

1,
Dung Nguyen Probability and Statistics 30/76
 Continuous Distributions The Continuous Uniform Distributions U(a, b)

Some Properties
U(0, 2.5)
0.4 U(0, 5)
U(0, 10)
0.3 U(−2, 2) Proposition
0.2 a+b
1 E(X) =
2
0.1 (b − a)2
2 V(X) =
0 12
−2 0 2 4 6 8 10
Figure: Pdf of U(a, b)
Dung Nguyen Probability and Statistics 31/76
 Continuous Distributions The Continuous Uniform Distributions U(a, b)

Example 15
Let X be a measurement of current, which
is a variable following a continuous
uniform distribution on [4.9, 5.1].
a What is the probability that the current
is between 4.95 mA and 5.0 mA?
b Calculate its mean and variance.

Dung Nguyen Probability and Statistics 32/76

 Continuous Distributions The Continuous Uniform Distributions U(a, b)

Example 16
Buses arrive at a specified stop at
15-minute intervals starting at 7 a.m.
That is, they arrive at 7, 7:15, 7:30,
7:45, and so on. If a passenger arrives
at the stop at a time that is uniformly
distributed between 7 and 7:30, find the
probability that he waits
a less than 5 minutes for a bus.
b more than 10 minutes for a bus.
Dung Nguyen Probability and Statistics 33/76
 Continuous Distributions The Continuous Uniform Distributions U(a, b)

Example
17 Observations (following a uniform
distribution):
3.6, 3.6, 3.3, 3.9, 1.6,
4.5, 4.9, 1.4, 2.7, 1.2.
Estimate P(X ≤ 2).

Dung Nguyen Probability and Statistics 34/76

 Continuous Distributions The Exponential Distribution Exp(λ)

Poisson Processes
Poisson process is a process in which
events occur continuously and
independently at a constant average rate
λ.

The exponential distribution describes the

distance/time between events in a Poisson
process.

Dung Nguyen Probability and Statistics 35/76

 Continuous Distributions The Exponential Distribution Exp(λ)

Some applications
(by seismologists and earth scientists)
To predict the approximate time when an
earthquake is likely to occur in a
particular location.
To calculate the reliability of
electronic gadgets such as a laptop,
battery, processor, mobile phone. To
know an approximate time after which the
product will get ruptured.
Dung Nguyen Probability and Statistics 36/76
 Continuous Distributions The Exponential Distribution Exp(λ)

Some applications
To estimate the timing of your interview
and predict the time that for how long
would it go.
To calculate the time duration between
the passing of two consecutive cars,
thereby helping the traffic in charge to
reduce the traffic problem and to avoid
collisions.

Dung Nguyen Probability and Statistics 37/76

 Continuous Distributions The Exponential Distribution Exp(λ)

N : the number of flaws in u

millimeters of wire.
X: the length from any starting point
on the wire until a flaw is detected
If the mean number of flaws is λ per
millimeter then
0
−λu (λu)
P(X > u) = P(N = 0) = e = e−λu .
0!
−λu
Therefore, P(X ≤ u) = 1 − e for u ≥ 0, and
thus f(u) = F ′(u) = λ e−λu .
Dung Nguyen Probability and Statistics 38/76
 Continuous Distributions The Exponential Distribution Exp(λ)

The Exponential Distribution Exp(λ)

X is called to be λ=1
of an exponential 1.5 λ = 3.5
distribution Exp(λ) λ=9
if its pdf satisfies 1
(
λ e−λx , x ≥ 0
f(x) = 0.5
0, x < 0.
The cdf( 0
1 − e−λx , x ≥ 0 1 2 3 4
F(x) =
0, x < 0. Figure: Pdf of Exp(λ)
Dung Nguyen Probability and Statistics 39/76
 Continuous Distributions The Exponential Distribution Exp(λ)

Properties
If the random variable X has an
exponential distribution with parameter λ.
Proposition (Basic properties)
1 E(X) = 1 and V(X) = 12 .
λ λ
Poisson distribution: Mean and variance are
same.
Exponential distribution: Mean and standard
deviation are same.
2 For any s, t ≥ 0
P(X > s + t|X > s) = P(X > t).
Dung Nguyen Probability and Statistics 40/76
 Continuous Distributions The Exponential Distribution Exp(λ)

Example 18 - Computer Usage I

In a large corporate computer network,
user log-ons to the system can be modeled
as a Poisson process with a mean of 25
log-ons per hour.
a What is the probability that there are
no log-ons in the next 6 minutes (0.1
hour)?

Dung Nguyen Probability and Statistics 41/76

 Continuous Distributions The Exponential Distribution Exp(λ)

Example 19 - Computer Usage II

b What is the probability that the time
until the next log-on is between 2 and 3
minutes (0.033 and 0.05 hours)?
c What is the interval of time such that
the probability that no log-on occurs
during the interval is 0.90?
d What are the mean and the standard
deviation of the time until the next
log-on?
Dung Nguyen Probability and Statistics 42/76
 Continuous Distributions The Exponential Distribution Exp(λ)

Example 20
Suppose that the time between detections
of a particle with a Geiger counter has an
exponential distribution with the average
time 1.4 minutes. What is the probability
that a particle is detected in the next 30
seconds using the counter?

Dung Nguyen Probability and Statistics 43/76

 Continuous Distributions The Exponential Distribution Exp(λ)

Example 21
Suppose that a number of miles that a car
can run before its battery wears out is
exponentially distributed with an average
value of 10000 miles. If a person desires
to take a 5000-mile trip, what is the
probability that she will be able to
complete her trip without having to
replace her car battery? What can be said
when the distribution is U(0, 20000)?

Dung Nguyen Probability and Statistics 44/76

 Continuous Distributions Normal Distributions N(m, σ 2 )

Introduction
·10−2
0.15
8
0.1 6
4
0.05
2
0 0
0 5 10 15 20 25 0 10 20 30 40
Figure: B(50, 0.2) and Poisson(20)
Dung Nguyen Probability and Statistics 45/76
 Continuous Distributions Normal Distributions N(m, σ 2 )

Normal Distributions N(m, σ 2)

X is called to be of a normal distribution
N(m, σ 2) if its pdf satisfies
1 (x−m)2
−
f(x) = √ e 2σ2 , x ∈ R,
σ 2π
where m = E(X) and σ 2 = V(X).

Dung Nguyen Probability and Statistics 46/76

 Continuous Distributions Normal Distributions N(m, σ 2 )

Standard Normal Distribution N(0, 1)

We often standardize a normal distribution
X ∼ N(m, σ 2) by
X −m
Y= ∼ N(0, 1).
σ
Y is called a random variable of the
standard normal distribution, or simply
the standard score. Its pdf is
1 − x2
f(x) = √ e 2 , x ∈ R.
2π

Dung Nguyen Probability and Statistics 47/76

Continuous Distributions Normal Distributions N(m, σ 2 )

0.4 µ = 0, σ 2 = 1
µ = 0, σ 2 = 9
0.3 µ = −10, σ 2 = 9
0.2

0.1

0
−20 −10 0 10
Figure: Pdf of N(µ, σ 2 )

Dung Nguyen Probability and Statistics 48/76

 Continuous Distributions Normal Distributions N(m, σ 2 )

The cdf of X ∼ N(0, 1)

Z x
Φ(x) = f(u)du
−∞
satisfies (for x ∈ R and 0 < p < 1)
Φ(−x) = 1 − Φ(x) and Φ−1(p) = −Φ−1(1 − p).
Denote zα as the solution to 1 − Φ(z) = α.
this area = α

x
zα
Dung Nguyen Probability and Statistics 49/76
 Continuous Distributions Normal Distributions N(m, σ 2 )

Example 22
Suppose that the current measurements in a
strip of wire follow a normal distribution
with µ = 10 mA and σ = 2 mA.
a What is the probability that the current
measurement is between 9 mA and 11 mA?
b Determine the value for which the
probability that a current measurement
falls below this value is 0.98.

Dung Nguyen Probability and Statistics 50/76

 Continuous Distributions Normal Distributions N(m, σ 2 )

Example 23
Consider three independent memory chips.
Suppose that the lifetime of each memory
chip has normal distribution with mean 300
hours and standard deviation 10 hours.
Compute the probability that at least one
of three chips lasts at least 290 hours.

Dung Nguyen Probability and Statistics 51/76

 Continuous Distributions Normal Distributions N(m, σ 2 )

Properties
Proposition (Basic properties)
Suppose that X ∼ N(m, σ 2).
1 E(X) = m and V(X) = σ 2 .

2 If Y = aX + b, a ̸= 0 then

Y ∼ N(am + b, a2σ 2).

3 If Xi ∼ N(mi, σi2) and are independent then
n n n
!
X X X
Xi ∼ N mi, σi2 .
i=1 i=1 i=1

Dung Nguyen Probability and Statistics 52/76

 Continuous Distributions Normal Distributions N(m, σ 2 )

Example
24 Let X ∼ N(5, 9). What is the distribution
of Y = 2X − 6?

Dung Nguyen Probability and Statistics 53/76

 Continuous Distributions Normal Distributions N(m, σ 2 )

Example
24 Let X ∼ N(5, 9). What is the distribution
of Y = 2X − 6?

25 Let X1 ∼ N(2, 4) and X2 ∼ N(−3, 5) be

independent. Determine the
distributions of the following random
variables

Dung Nguyen Probability and Statistics 53/76

 Continuous Distributions Normal Distributions N(m, σ 2 )

Example
24 Let X ∼ N(5, 9). What is the distribution
of Y = 2X − 6?

25 Let X1 ∼ N(2, 4) and X2 ∼ N(−3, 5) be

independent. Determine the
distributions of the following random
variables
a X = X1 + X2 .

Dung Nguyen Probability and Statistics 53/76

 Continuous Distributions Normal Distributions N(m, σ 2 )

Example
24 Let X ∼ N(5, 9). What is the distribution
of Y = 2X − 6?

25 Let X1 ∼ N(2, 4) and X2 ∼ N(−3, 5) be

independent. Determine the
distributions of the following random
variables
a X = X1 + X2 . b Y = X1 − X2 .

Dung Nguyen Probability and Statistics 53/76

 Continuous Distributions Normal Distributions N(m, σ 2 )

Example
24 Let X ∼ N(5, 9). What is the distribution
of Y = 2X − 6?

25 Let X1 ∼ N(2, 4) and X2 ∼ N(−3, 5) be

independent. Determine the
distributions of the following random
variables
a X = X1 + X2 . b Y = X1 − X2 . c Z = 3X1 + 4X2 .

Dung Nguyen Probability and Statistics 53/76

 Continuous Distributions Normal Distributions N(m, σ 2 )

Example 26
Data from the National Oceanic and Atmospheric
Administration indicate that the yearly
precipitation in Los Angeles is a normal random
variable with a mean of 12.08 inches and a standard
deviation of 3.1 inches. Assume that the
precipitation totals for the next 2 years are
independent. Find the probability that
a The total precipitation during the next 2 years
will exceed 25 inches.
b Next year’s precipitation will exceed that of
the following year by more than 3 inches.
Dung Nguyen Probability and Statistics 54/76
 The Central Limit Theorem

3 The Central Limit Theorem

Dung Nguyen Probability and Statistics 55/76

 The Central Limit Theorem

Normal Approximations
The binomial and Poisson distributions
become more bell-shaped and symmetric as
their mean values increase.
·10−2
0.15
8
0.1 6
4
0.05
2
0 0
0 5 10 15 20 25 0 10 20 30 40

Figure: B(50, 0.2) and Poisson(20)

Dung Nguyen Probability and Statistics 56/76
 The Central Limit Theorem

1 If Xi ∼ B(p) and are independent then

Xn
Xi ∼ B(n, p).
i=1
2 If Xi ∼ Poisson(λi) and are independent then
n n
!
X X
Xi ∼ Poisson λi .
i=1 i=1
3 If Xi ∼ N(mi, σi2) and are independent then
n n n
!
X X X
Xi ∼ N mi, σi2 .
i=1 i=1 i=1
Dung Nguyen Probability and Statistics 57/76
 The Central Limit Theorem

Sum and Average of Normal

Random Variables
Assume X1, X2, . . . are independent such that
E(Xk ) = m and V(Xk ) = σ 2.
n n
X 1X
Denote Sn = Xi and X n = Xi. Then
i=1
n i=1
2
√
E(Sn) = nm, V(Sn) = nσ , SD(Sn) = σ n,
and
√
E(X n) = m, V(X n) = σ 2/n, SD(X n) = σ/ n.
Dung Nguyen Probability and Statistics 58/76
 The Central Limit Theorem

Standardized Sum and Average

Proposition
Assume X1, X2, . . . ∼ N(m, σ 2) and are independent
such that σ 2 n< ∞. n
X 1X
Denote Sn = Xi and X n = Xi. Then
i=1
n i=1
Sn − E(Sn) Sn − nm
= √ ∼ N(0, 1),
SD(Sn) σ n
and
X n − E(X n) X n − m
= √ ∼ N(0, 1).
SD(X n) σ/ n
Dung Nguyen Probability and Statistics 59/76
 The Central Limit Theorem

The Central Limit Theorem

Proposition (Central Limit Theorem)
Assume X1, X2, . . . are i.i.d. (independent
identically distributed) such that E(X) = m
and V(X) = σ 2 < ∞. Then
Sn − E(Sn) Sn − nm
= √ ≃ N(0, 1) as n → ∞,
SD(Sn) σ n
and
X n − E(X n) X n − m
= √ ≃ N(0, 1) as n → ∞.
SD(X n) σ/ n

Dung Nguyen Probability and Statistics 60/76

 The Central Limit Theorem

Histograms of sample means

Dung Nguyen Probability and Statistics 61/76

 The Central Limit Theorem

Histograms of sample means

Dung Nguyen Probability and Statistics 62/76

 The Central Limit Theorem

Histograms of sample means

Dung Nguyen Probability and Statistics 63/76

 The Central Limit Theorem

Example 27
A producer of cigarettes claims that the
mean nicotine content in its cigarettes is
2.4 milligrams with a standard deviation
of 0.2 milligrams. Assuming these figures
are correct, approximate the probability
that the sample mean of 100 randomly
chosen cigarettes is
a Greater than 2.45 milligrams.
b Less than 2.425 milligrams.
Dung Nguyen Probability and Statistics 64/76
 The Central Limit Theorem

Normal Approximation to the

Binomial Distributions
Let X1, . . . , Xn ∼ B(p) be i.i.d. Bernoulli
random variables and put X = X1 + · · · + Xn.
Then
X ∼ B(n, p), E(X) = np, V(X) = npq.
Thus
X − E(X) X − np
=√ ≃ N(0, 1).
SD(X) npq
as n → ∞.
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 The Central Limit Theorem

Normal Approximation to the

Binomial Distributions
If X is a binomial random variable with
parameters n and p then
X − E(X) X − np
=√ ≃ N(0, 1).
SD(X) npq
The approximate is good if np ≥ 10 and
nq ≥ 10.

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 The Central Limit Theorem

The approximate is good if np ≥ 10 and

nq ≥ 10.
·10−2
B(10, 0.4) 0.15 B(30, 0.4) 8 B(100, 0.4)
0.2 6
0.1
4
0.1 0.05
2
0 0 0
0 5 10 15 0 5 10 15 20 25 30 0 20 40 60
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 The Central Limit Theorem

The approximate is good if np ≥ 10 and

nq ≥ 10.
0.25 0.1
B(30, 0.1) B(100, 0.1) B(200, 0.1)
0.2 0.08
0.1
0.15 0.06
0.1 0.05 0.04
0.05 0.02
0 0 0
0 5 10 15 20 0 10 20 30 40 0 10 20 30 40 50 60

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 The Central Limit Theorem

Continuity correction for X ∼ B(n, p)

P(X ≤ k) = P(X < k + 1)
 
k + 0.5 − np
= P(X < k + 0.5) ≈ P Z < √ ,
npq
and
P(X ≥ k) = P(X > k − 1)
 
k − 0.5 − np
= P(X > k − 0.5) ≈ P Z > √ ,
npq
where Z ∼ N(0, 1).

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 The Central Limit Theorem

Example 28
Suppose only 75% of all drivers in a
certain state regularly wear a seat belt.
A random sample of 500 drivers is
selected. What is the probability that
a Between 360 and 400 (inclusive) of the
drivers in the sample regularly wear a
seat belt?
b Fewer than 400 of those in the sample
regularly wear a seat belt?
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 The Central Limit Theorem

Normal Approximation to the

Poisson Distributions
Let X1, . . . , Xn ∼ Poisson(λ0) be i.i.d. Poisson
random variables and X = X1 + · · · + Xn. Then
X ∼ Poisson(λ), E(X) = λ, V(X) = λ,
where λ = nλ0. Thus
X − E(X) X − λ
= √ ≃ N(0, 1).
SD(X) λ
as n → ∞, i.e. λ → ∞.

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 The Central Limit Theorem

Normal Approximation to the

Poisson Distributions
If X is a Poisson random variable with
E(X) = λ and V(X) = λ,
X − E(X) X − λ
= √ ≃ N(0, 1).
SD(X) λ
The approximation is good for λ ≥ 10.

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 The Central Limit Theorem

The approximation is good for λ ≥ 10.

·10−2
0.4
λ=1 λ = 10 λ = 20
8
0.3 0.1
6
0.2
0.05 4
0.1 2
0 0 0
0 2 4 6 8 10 0 5 10 15 20 25 0 10 20 30 40
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 The Central Limit Theorem

Continuity correction for X ∼ Poisson(λ)

P(X ≤ k) = P(X < k + 1)
 
k + 0.5 − λ
= P(X < k + 0.5) ≈ P Z < √ ,
λ
and
P(X ≥ k) = P(X > k − 1)
 
k − 0.5 − λ
= P(X > k − 0.5) ≈ P Z > √ ,
λ
where Z ∼ N(0, 1).

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 The Central Limit Theorem

Example 29
Assume that the number of asbestos
particles in a square meter of dust on a
surface follows a Poisson distribution
with a mean of 1000. If a square meter of
dust is analyzed, what is the probability
that 950 or fewer particles are found?

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 The Central Limit Theorem

Summary
Discrete distributions
Binomial distributions B(n, p)
Poisson distributions Poisson(λ)
Continuous distributions
Continuous uniform distributions U(a, b)
Exponential distributions Exp(λ)
Normal distributions N(m, σ 2)
The central limit theorem (CLT)

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