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Exponential and Normal Distribution Lecture Notes

The document discusses the exponential distribution, which models the time until specific events occur, such as the lifespan of products or waiting times for rare events. It provides the probability density function, cumulative distribution function, and examples of applications, including battery life and repair times. Additionally, it introduces the normal distribution, its properties, and how to compute probabilities using the standard normal distribution.

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0% found this document useful (0 votes)
0 views8 pages

Exponential and Normal Distribution Lecture Notes

The document discusses the exponential distribution, which models the time until specific events occur, such as the lifespan of products or waiting times for rare events. It provides the probability density function, cumulative distribution function, and examples of applications, including battery life and repair times. Additionally, it introduces the normal distribution, its properties, and how to compute probabilities using the standard normal distribution.

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isaac rubia
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b)…Exponential Distribution

The exponential distribution is often concerned with the amount of time until some specific event
occurs. For example, the amount of time (beginning now) until an earthquake occurs has an
exponential distribution. Other examples include the length, in minutes, of long distance business
telephone calls, and the amount of time, in months, a car battery lasts. It can be shown, too, that
the amount of change that you have in your pocket or purse follows an exponential distribution.
Values for an exponential random variable occur in the following way. There are fewer large
values and more small values. For example, the amount of money customers spend in one trip to
the supermarket follows an exponential distribution. There are more people that spend less
money and fewer people that spend large amounts of money.
The exponential distribution is widely used in the field of reliability. Reliability deals with the
amount of time a product lasts
In brief this distribution is commonly used to model waiting times between occurrences of rare
events, lifetimes of electrical or mechanical devices

Definition: A RV X is said to have an exponential distribution with parameter   0 if the pdf of


e  x for x  0 and   0
X is: f(x)   we abbreviate this as X ~ exp( )
 0 otherwise
 is called the rate parameter
1 1
The mean and variance of this distribution are   and   2 respectively
2

 
1  e  x for x  0
The cumulative distribution function is F(x) is given by F(x)  
 0 otherwise

Example
0.01e 0.01t , T  0
Torch batteries have a lifespan T years with pdf f(t)   . Determine the
 0 otherwise
probability that the battery; a) Falls before 25 hours. b) life is between 35 and 50 hours. c)
life exceeds 120 hours. d) life exceeds the mean lifespan.
Solution
P(T  25)  F(25)   e 0.01t dt  1  e 0.01( 25 )  0.2212
25
a)
0

87
50
b) P(35  T  50)   e 0.01t dt  e 0.35  e 0.50  0.0982
35

c) P(T  120)   e 0.01t dt  e 1.2  0  0.3012
120

1 
d)    100  P(T  100)   e 0.01t dt  e 1  0.3679
0.01 100

Exercise:
1. Jobs are sent to a printer at an average of 3 jobs per hour.
a) What is the expected time between jobs?
b) What is the probability that the next job is sent within 5 minutes?
2. The time required to repair a machine is an exponential random variable with rate λ= 0.5
downs/hour
a) what is the probability that a repair time exceeds 2 hours?
b) what is the probability that the repair time will take at least 4 hours given that the
repair man has been working on the machine for 3 hours?
3. Buses arrive to a bus stop according to an exponential distribution with rate λ= 4
busses/hour. If you arrived at 8:00 am to the bus stop,
a) what is the expected time of the next bus?
b) Assume you asked one of the people waiting for the bus about the arrival time
of the last bus and he told you that the last bus left at 7:40 am. What is the
expected time of the next bus?
4. Break downs occur on an old car with rate λ= 5 break-downs/month. The owner of the
car is planning to have a trip on his car for 4 days.
a) What is the probability that he will return home safely on his car.
b) If the car broke down the second day of the trip and the car was fixed, what is the
probability that he doesn’t return home safely on his car.
5. Suppose that the amount of time one spends in a bank is exponentially distributed with mean 10
minutes. What is the probability that a customer will spend more than 15 minutes in the bank?
What is the probability that a customer will spend more than 15 minutes in the bank given that he
is still in the bank after 10 minutes?
6. Suppose the lifespan in hundreds of hours, T, of a light bulb of a home lamp is exponentially
distributed with lambda = 0.2. compute the probability that the light bulb will last more than 700
hours Also, the probability that the light bulb will last more than 900 hours
7. Let X = amount of time (in minutes) a postal clerk spends with his/her customer. The time is
known to have an exponential distribution with the average amount of time equal to 4 minutes.
a) Find the probability that a clerk spends four to five minutes with a randomly selected
customer.
b) Half of all customers are finished within how long? (Find median)
c) Which is larger, the mean or the median?
8. On the average, a certain computer part lasts 10 years. The length of time the computer part lasts
is exponentially distributed.
a) What is the probability that a computer part lasts more than 7 years?
b) On the average, how long would 5 computer parts last if they are used one after another?
c) Eighty percent of computer parts last at most how long?
d) What is the probability that a computer part lasts between 9 and 11 years?
9. Suppose that the length of a phone call, in minutes, is an exponential random variable with decay
parameter = 1/12 . If another person arrives at a public telephone just before you, find the
probability that you will have to wait more than 5 minutes. Let X = the length of a phone call, in
minutes. What is median mean and standard deviation of X?

88
c).. The Normal Distribution
The normal, or Gaussian, distribution is one of the most important distributions in probability
theory. It is widely used in statistical inference. One reason for this is that sums of random
variables often approximately follow a normal distribution.
Definition A r.v X has a normal distribution with parameters  and  2 , abbreviated
 
X ~ N  ,  2 if it has probability density function
f(x)   1
2

exp  12    for    x  
x 2
 and   0
Where  is the mean and  is the standard deviation.

Properties of normal distribution


1) The normal distribution curve is bell-shaped and symmetric, about the mean
2) The curve is asymptotic to the horizontal axis at the extremes.
3) The highest point on the normal curve is at the mean, which is also the median and mode.
4) The mean can be any numerical value: negative, zero, or positive
5) The standard deviation determines the width of the curve: larger values result in wider,
flatter curves
6) Probabilities for the normal random variable are given by areas under the curve. The total
area under the curve is 1 (0.5 to the left of the mean and 0.5 to the right).
7) It has inflection points at    and    .
8) Empirical Rule:
a) 68.26% of values of a normal random variable are within  1 standard deviation of its
mean. ie P    X       0.6826
b) 95.44% of values of a normal random variable are within  2 standard deviation of its
mean. ie P  2  X    2   0.9544
c) 99.72% of values of a normal random variable are within  3 standard deviation of its
mean. ie P  3  X    3   0.9972

89
Standard Normal Probability Distribution
A random variable having a normal distribution with a mean of 0 and a varuance of 1 is said to
have a standard normal probability distribution
Definition The random variable Z is said to have the standard normal distribution if Z ~ N0 ,1 .
Therefore, the density of Z, which is usually denoted  (z) is given by;

 (z) 
1
 
exp  12 z 2 for    z  
2
The cumulative distribution function of a standard normal random variable is denoted (z ) , and
is given by
z
 ( z )    (t )dt
-

Consider Z ~ N0 ,1 and let X    Z for   0 . Then X ~ N ,  2  But we know that

1 X 

f (x) 
   

 from which the claim follows. Conversely, if X ~ N  ,  , then
2

X
Z ~ N0 ,1 . It is also easily shown that the cumulative distribution function satisfies

X 
F(x)   
  
and so the cumulative probabilities for any normal random variable can be calculated using the
tables for the standard normal distribution..

Definition A variable X is said to be standardized if it has been adjusted (or transformed) such
that its mean equals 0 and its standard deviation equals 1. Standardization can be accomplished
X
using the formula for a z-score: Z  ~ N0 ,1 . The z-score represents the number of

standard deviations that a data value is away fromthe m ean.

Computing Normal Probabilities


It is very important to understand how the standardized normal distribution works, so we will
spend some time here going over it. There is no simple analytic expression for (z ) in terms of
elementary functions. but the values of (z ) has been exhaustively tabulated. This greatly
simplifies the task of computing normal probabilities..
Table 1 below reports the cumulative normal probabilities for normally distributed variables in
standardized form (i.e. Z-scores). That is, this table reports P(Z  z) = ( z) ). For a given value of
Z, the table reports what proportion of the distribution lies below that value. For example,
P(Z  0) = (0)  0.5 ; half the area of the standardized normal curve lies to the left of Z  0 .

Theorem: It may be useful to keep in mind that


i) P(Z  z) = 1 - ( z) complementary law
ii) P(Z   z) = P(Z  z)  1 - ( z) ie due to symmetry
 ( z)  ( z)  1 Since P(Z  z)  P(Z  z)  1
iii) P(a  z  b) = (b) - (a)
iv) P(-a  z  a) = 2(a)  1since P(-a  z  a) = (a)  (a) = (a)  1  (a)  2 (a)  1
v) If we now make (a) the subject, then (a) = 12 1  P(-a  z  a)

90
Table 1

Example 1 Given Z ~ N0 ,1 , find;


a) P(Z  z) if z = 1.65, -1.65, 1.0, -1.0 d) P(-0.696  z  1.865)
b) P(Z  z) for z = 1.02, -1.65 e) P(-2.345  z  1.65)
c) P(0.365  z  1.75) f) P( z  1.43)

Solution
a) Look up and report the value for (z ) from the standard normal probabilities table
P(Z  1.65) = (1.65)  0.9505 (1.65)  0.0495 (1.0)  0.8413
(1.0)  0.1587

b) P(Z  z)  ( z ) Thus P(Z  1.02)  (1.02)  0.1515 P(Z  -1.65)  (1.65)  0.9505
c) P(0.365  z  1.75)  (1.75) - (0.365)  0.9599 - 0.6350  0.3249
d) P(-0.696  z  1.865)  (1.865) - (-0.696)  0.9689 - 0.2432  0.3249  0.7257

91
e) P(-2.345  z  1.65)  (1.65) - (-2.345)  0.0505  0.0095  0.0410
f) P( z  1.43)  P(-1.43  z  1.43)  2(1.43) - 1  2(0.9236)  1  0.8472

Example 2
If Z ~ N0 ,1 , find the value of t for which;
a) P(Z  t) = = 0 .6026, 0.9750, 0.3446 c) P(-0.28  z  t )  0.2665
b) P(Z  t) = 0.4026, 0.7265, 0.5446 d) P(-t  z  t )  0.9972 , 0.9505 , 0.9750

Solution
Here we find the probability value in Table I, and report the corresponding value for Z.
a) ( t) = 0 .6026  t  0.26 ( t) = 0 .950  t  1.96 ( t) = 0 .3446  t  0.40
b) P(Z  t)  0.4026  ( t) = 0.5974  t  0.25
P(Z  t)  0.7265  ( t) = 0.2735  t  - 0.60
P(Z  t)  0.5446  ( t) = 0.4554  t  - 0.11
c) P(-0.28  z  t )  (t) - (-0.28) = 0.2665  (t)  0.3897  0.2665  t = 0.40
d) P(-t  z  t )  2 (t) -1 = 0.9972  (t)  0.9986  t = 2.99
P(-t  z  t )  2 (t) -1 = 0.9505  (t)  0.9753  t = 1.96
P(-t  z  t )  2 (t) -1 = 0.9750  (t)  0.9875  t = 2.24

Exercise
1..Given Z ~ N0 ,1 , find;
a) P(Z  z) if z = 1.95, -1.89, 1.074, -1.53 2..If Z ~ N0 ,1 , find the value of z for which;
b) P(Z  z) for z = 1.72, -1.15 a) P(Z  a) = = 0 .973, 0.6693, 0.4634
c) P(0  z  1.05) b) P(Z  a) = 0.3719, 0 .9545, 0 .7546
d) P(-1.396  z  1.125) c) P(-1.21 z  t )  0.6965
e) P(-1.96  z  1.65) d) P( z  t )  0.9544 , 0.9905 , 0.3750
f) P( z  2.33)
 
Let X ~ N  ,  2 then P(a  X  b)  P  a -
 Z  b- 
       where
b- 

a -

X-
Z  ~ N (0 ,1)
92
Example 1
A r.v X ~ N50 , 25 compute P(45  z  60)
Solution
  50 and   5  Z  x -550 ~ N (0 ,1)
P(45  X  60)  P 455-50  Z  605-50   (2)  (1)  0.9772 - 0.1587  0.8185

Example 2
Suppose X ~ N30 , 16 . Find; a) P( X  40) b) P( X  21) c) P(30  X  35)
Solution
X ~ N30 , 16  Z  X430 ~ N 0, 1
a) P( X  40)  PZ  404-30   (2.5)  0.9938
b) P( X  21)  PZ  21430   PZ  2.25  PZ  2.25  (2.25)  0.9878
c) P(30  X  35)  P30430  Z  35430   P(0  Z  1.25)  0.8944  0.5  0.3944

Example 3
The top 5% of applicants (as measured by GRE scores) will receive scholarships. If
GRE ~ N(500,100 2 ) , how high does your GRE score have to be to qualify for a scholarship?
Solution
Let X  GRE . We want to find x such that P(X  x) = 0.05 This is too hard to solve as it stands
- so instead, compute Z  X100500 ~ N 0, 1 and find z for the problem,
P(Z  z)  1 - ( z) = 0.05  ( z)  0.95  z  1.645
To find the equivalent x, compute X    Z  x  500  100(1.645)  66.5
Thus, your GRE score needs to be 665 or higher to qualify for a scholarship.

Example 4
Family income is believed to be normally distributed with a mean of $25000 and a standard
deviation on $10000. If the poverty level is $10,000, what percentage of the population lives in
poverty? A new tax law is expected to benefit “middle income” families, those with incomes
between $20,000 and $30,000. What percentage of the population will benefit from the law?
Solution
Let X = Family income. We want to find P(X ≤ $10,000)., so
X ~ N25000 , 100002   Z  X10000
 2500 0
~ N 0, 1
P( X  10,000)  PZ  1.5  (1.5)  0.0668 .
Hence, a slightly below 7% of the population lives in poverty.

P(20,000  X  30,000)  P 0.5  Z  0.5  2(0.5)  1  2  0.6915 -1  0.383


Thus, about 38% of the taxpayers will benefit from the new law.

Exercise
1) Suppose X ~ N130 , 25 . Find; a) P( X  140) b) P( X  120) c) P(130  X  135)
2) The random variable X is normally distributed with mean 500 and standard deviation 100. Find;
(i) P( X  400) , (ii) P( X  620) (iii) the 90th percentile (iv) the lower and upper quartiles. Use
graphs with labels to illustrate your answers.
3) A radar unit is used to measure speeds of cars on a motorway. The speeds are normally
distributed with a mean of 90 km/hr and a standard deviation of 10 km/hr. What is the probability
that a car picked at random is travelling at more than 100 km/hr?
93
4) For a certain type of computers, the length of time bewteen charges of the battery is normally
distributed with a mean of 50 hours and a standard deviation of 15 hours. John owns one of these
computers and wants to know the probability that the length of time will be between 50 and 70
hours
5) Entry to a certain University is determined by a national test. The scores on this test are normally
distributed with a mean of 500 and a standard deviation of 100. Tom wants to be admitted to this
university and he knows that he must score better than at least 70% of the students who took the
test. Tom takes the test and scores 585. Will he be admitted to this university?
6) A large group of students took a test in Physics and the final grades have a mean of 70 and a
standard deviation of 10. If we can approximate the distribution of these grades by a normal
distribution, what percent of the student; (a) scored higher than 80? (b) should pass the test
(grades≥60)? (c) should fail the test (grades<60)?
7) A machine produces boltswhich are N(4 0.09) where measurements are in cm. Bolts are
measured accurately and any bolt smaller than 3.5 cm or larger than 4.4 cm is rejected. Out of
500 bolts how many would be accepted? Ans 430
8) Suppose IQ ~ N(100,22.5).a woman wants to form an Egghead society which only admits
people with the top 1% IQ score. What should she have to set the cut-off in the test to allow this
to happen? Ans 134.9
9) A manufacturer does not know the mean and standard deviation of ball bearing he is producing.
However a sieving system rejects all the bearings larger than 2.4 cm and those under 1.8 cm in
diameter. Out of 1,000 ball bearings, 8% are rejected as too small and 5.5% as too big. What is
the mean and standard deviation of the ball bearings produced? Ans mean=2.08 sigma=0.2

x 10  x 1
( ) 2

1
a) ( 4) 2

94

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