Lecture 4

CONTINUOUS RANDOM VARIABLES

PROBABILITY DISTRIBUTION

Department of Mathematics

Võ Văn N am
Paper-Plane Contents
1 Continuous random variables

2 Mean and Variance

3 Continuous Uniform Distribution

4 Normal distribution

5 Exponential distribution

6 Normal approximations
1. Continuous random variables
 Continuous random variables
A continuous random variable is a random variable whose possible values includes in
an interval of real numbers.

Example.
1 The height of a student at FPT university can be any number between 150cm
190cm.
2 The weight of a newborn can be any number between 0.5kg - 4.5kg.

Vo Van Nam (FPT Quynhon) Continuous Random Variables Statistics & Probability 4 / 35
 Probability density function (pdf)

The probability density function (pdf) of a continuous random variable X is a

function f such that:
Non-negativity f (x) ≥ 0 for all values of x.
Normalization Z +∞
f (x) dx = 1.
−∞

Probability Z b
P (a ≤ X ≤ b) = f (x) dx.
a

Vo Van Nam (FPT Quynhon) Continuous Random Variables Statistics & Probability 5 / 35
 Properties
If X is a continuous random variable, for any a and b,

P (a ≤ X ≤ b) = P (a ≤ X < b) = P (a < X ≤ b) = P (a < X < b).

For a continuous random variable, P (X = c) = 0 for any constant c.

Vo Van Nam (FPT Quynhon) Continuous Random Variables Statistics & Probability 6 / 35
 Examples
Example 1. Suppose that the probability density function of a continuous random
variable X is:
f (x) = e−(x−3) , for x ≥ 3.
Determine
P (1 ≤ X < 5), P (X < 8), P (X ≥ 0).
Example 2. The probability density function of the length of a metal rod is

f (x) = cx2 , for 2 ≤ x < 3.

a. What is the value of c?

b. Find
P (X < 2.5 or X ≥ 2.8).

Vo Van Nam (FPT Quynhon) Continuous Random Variables Statistics & Probability 7 / 35
 Cumulative distribution function (cdf)

The cumulative distribution function of a continuous random variable X, denoted as

F (x), is given by Z x
F (x) = f (t) dt
−∞

for −∞ < x < +∞.

Remark. If X is continuous random variable with cumulative distribution function F (x)

then we can use
P (a < X < b) = F (b) − F (a).

Vo Van Nam (FPT Quynhon) Continuous Random Variables Statistics & Probability 8 / 35
 Examples
Example 1. Suppose the cumulative distribution function of the random variable X is

0, if x < 1


F (x) = 0.5x − 0.5, if 1 ≤ x < 3


1, if x ≥ 3

Find
P (X < 2.8), P (0 < X < 1.5).

Example 2. Suppose that the probability density function of a continuous random

variable X is:
f (x) = e−(x−3) , for x ≥ 3.
Find the cumulative distribution function of X.
Vo Van Nam (FPT Quynhon) Continuous Random Variables Statistics & Probability 9 / 35
2. Mean and Variance
 Mean and Variance
Suppose X is a continuous random variable with probability density function f (x).
1 The mean or expected value of X is defined by
Z +∞
µ = E(X) = xf (x) dx
−∞

2 The variance of X, denoted as σ 2 or V (X) is:

Z +∞ Z +∞
2 2
σ = V (X) = (x − µ) f (x) dx = x2 f (x) dx − µ2
−∞ −∞

q
3 The standard deviation of X is σ = V (X)
Vo Van Nam (FPT Quynhon) Continuous Random Variables Statistics & Probability 11 / 35
 Examples
Example 1. Assume that X is a continuous random variable with the following
probability density function

x2
f (x) = , for − 3 < x < 3.
18
Determine the mean and variance of X.
Example 2. The cumulative distribution function of the random variable X is

0, if x < 1


F (x) = 0.5x − 0.5, if 1 ≤ x < 3


1, if x ≥ 3

Find the standard deviation of X.

Vo Van Nam (FPT Quynhon) Continuous Random Variables Statistics & Probability 12 / 35
3. Continuous Uniform
Distribution
 Continuous uniform distribution
pdf:
1

, if a ≤ x ≤ b


f (x) = b − a
0,

otherwise

Mean & Variance:

b+a (b − a)2
µ = E(X) = , σ 2 = V (X) =
2 12

cdf: 


 0, if x < a
x − a

F (x) = , if a ≤ x < b


 b−a
1, if x ≥ b


Vo Van Nam (FPT Quynhon) Continuous Random Variables Statistics & Probability 14 / 35
 Examples

Example 1. Suppose X has a continuous uniform distribution over the interval [1; 10].
a. Determine the mean, variance and standard deviation of X.
b. Find P (X < 6.5).
c. Determine the cumulative distribution function of X.

Example 2. Suppose X has a continuous uniform distribution over [5; 15].

What is the mean and variance of Y = 8X?

Vo Van Nam (FPT Quynhon) Continuous Random Variables Statistics & Probability 15 / 35
4. Normal distribution
 The normal curve

Many data have histograms that look bell-shaped, e.g. heights, weights, IQ scores:

The data follow the normal curve. But remember that some data have histograms that
look quite different, e.g. incomes, house prices.
Vo Van Nam (FPT Quynhon) Continuous Random Variables Statistics & Probability 17 / 35
 Normal Distribution
Definition
The normal distribution, also known as the Gaussian distribution or bell curve, is a
continuous probability distribution that is symmetric around its mean, which is also its
median and mode. The shape of the normal distribution is characterized by its
bell-shaped curve.

The probability density function (PDF) of a normal distribution is given by the formula:
1 (x−µ)2
f (x) = √ · e− 2σ2
2πσ 2
where:
µ is the mean of the distribution.
σ is the standard deviation.
Vo Van Nam (FPT Quynhon) Continuous Random Variables Statistics & Probability 18 / 35
Figure: Normal probability density functions for selected values of the parameters µ and σ 2 .

Vo Van Nam (FPT Quynhon) Continuous Random Variables Statistics & Probability 19 / 35
 Properties of the normal distribution

1 The normal distribution is often denoted as N (µ, σ 2 ), where µ is the mean and σ 2
is the variance.

2 It is symmetric around the mean.

3 About 68% of the data falls within one standard deviation of the mean (µ ± σ).
About 95% falls within two standard deviations (µ ± 2σ).
About 99.7% falls within three standard deviations (µ ± 3σ).

Vo Van Nam (FPT Quynhon) Continuous Random Variables Statistics & Probability 20 / 35
 The empirical rule

Vo Van Nam (FPT Quynhon) Continuous Random Variables Statistics & Probability 21 / 35
 Standard normal distribution
Definition
The standard normal distribution, often denoted as Z, is a special case of the normal
distribution where the mean (µ) is 0 and the standard deviation (σ) is 1.

The probability density function (PDF) of the standard normal distribution is given by:
1 x2
f (x) = √ · e− 2
2π
The cumulative distribution function (CDF) of the standard normal distribution,
denoted as Φ(z) or P (Z ≤ z), represents the probability that a standard normal random
variable is less than or equal to z.
Z z 1 x2
Φ(z) = √ · e− 2 dx
−∞ 2π
Vo Van Nam (FPT Quynhon) Continuous Random Variables Statistics & Probability 22 / 35
 Computing percentiles for normal data
The standard normal distribution is crucial in statistics and probability theory.
Many statistical methods and tables are based on the properties of the standard normal
distribution.

Vo Van Nam (FPT Quynhon) Continuous Random Variables Statistics & Probability 23 / 35
 Examples

Example 1. Find the standard normal-curve area between z = 1 and z = 0.4?

Hint. Use Appendix Table III or NORM.S.DIST(a;1) in Excel to find P (z < a).

Example 2. Assume that z- scores are normally distributed with a mean of 0 and a
standard deviation of 1. If P (z < a) = 0.1487, find a.
Hint. Use Appendix Table III or NORM.S.INV(p) in Excel to find a such that
P (z < a) = p.

Vo Van Nam (FPT Quynhon) Continuous Random Variables Statistics & Probability 24 / 35
 Standardizing Normal Distribution
Theorem
X −µ
If X ∼ N (µ, σ 2 ), then Z = is a standard normal random variable N (0, 1).
σ

Example 1. A machine pours beer into 16 oz bottles. Experience has shown that the
number of ounces poured is normally distributed, with a standard deviation of 1.3
ounces. Find the probability that the amount of beer the machine will pour into the
next bottle will be more than 16.25 ounces.
Example 2. The tread life of a particular brand of tire is a random variable best
described by a normal distribution with a mean of 65,000 miles and a standard deviation
of 1,500 miles. What warranty should the company use if they want 95% of the tires to
outlast the warranty?
Vo Van Nam (FPT Quynhon) Continuous Random Variables Statistics & Probability 25 / 35
5. Exponential distribution
 Exponential distribution
Definition
The random variable X that equals the distance between two consecutive events with
mean number of events λ > 0 per unit interval is an exponential random variable with
parameter λ. The probability density function of X is:

f (x) = λe−λx , x>0

Theorem
If a random variable X has exponential distribution with parameter λ, then
1 1
µ = E(X) = , σ 2 = V (X) = .
λ λ2

Vo Van Nam (FPT Quynhon) Continuous Random Variables Statistics & Probability 27 / 35
 Examples

Example 1. The time between customer arrivals at a furniture store has an

approximate exponential distribution with a mean of 9 minutes.
If a customer just arrived, find the probability that the next customer will not arrive for
at least 15 minutes.

Example 2. The time between patients arriving at an outpatient clinic follows an

exponential distribution at a rate of 15 patients per hour.
What is the probability that a randomly chosen arrival interval will not exceed 6
minutes?

Vo Van Nam (FPT Quynhon) Continuous Random Variables Statistics & Probability 28 / 35
6. Normal approximations
 Normal approximation to the Binomial Distribution

Vo Van Nam (FPT Quynhon) Continuous Random Variables Statistics & Probability 30 / 35
 Normal approximation to the Binomial Distribution
Theorem
If X has a Binomial distribution B(n, p), then random variable

X − np
Z=q
np(1 − p)

is approximately a standard random variable N (0, 1).

We have
   
x + 0.5 − np  x − 0.5 − np 
P (X ≤ x) ≈ P Z ≤ q , P (X ≥ x) ≈ P Z ≥ q
np(1 − p) np(1 − p)

Remark. The approximation is good for np > 5 and n(1 − p) > 5.

Vo Van Nam (FPT Quynhon) Continuous Random Variables Statistics & Probability 31 / 35
 Example

The manufacturing of semiconductor chips produces 3% defective chips. Assume the

chips are independent and that a lot contains 800 chips. Approximate the probability
that more than 30 chips are defective.

Hint. X ∼ B(n = 800; p = 0.03) use Normal approximation.

Remark. Can use BINOM.DIST in Excel to find actual value.

Vo Van Nam (FPT Quynhon) Continuous Random Variables Statistics & Probability 32 / 35
 Normal Approximation to the Poisson Distribution
Theorem
If X has Poisson distribution P (λ), then random variable

X −λ
Z= √
λ
is approximately a standard random variable N (0, 1).

We have
! !
x + 0.5 − λ x − 0.5 − λ
P (X ≤ x) ≈ P Z ≤ √ , P (X ≥ x) ≈ P Z ≥ √
λ λ
Remark. The approximation is good for λ > 5.
Vo Van Nam (FPT Quynhon) Continuous Random Variables Statistics & Probability 33 / 35
 Example

The number of customers that arrive at a fast-food business during a one-hour period is
known to be Poisson distributed, with a mean equal to 9.6. What is the probability that
more than 10 customers will arrive in a one-hour period?

Hint. X ∼ P (9.6) use Normal approximation.

Remark. Can use POISSON.DIST in Excel to find actual value.

Vo Van Nam (FPT Quynhon) Continuous Random Variables Statistics & Probability 34 / 35
Thank you!
namvv14@fe.edu.vn