Question

CONTINUOUSPROBABILITY
CONTINUOUS PROBABILITY
DISTRIBUTIONS
By Assoc. Prof. R. Boojhawon
ByAssoc.Prof.R.Boojhawon

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Question Question

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 THE UNIFORM DISTRIBUTION
THEUNIFORMDISTRIBUTION Mean and Variance
MeanandVariance
4 7 A r.v. X is
D fi iti 4.7
Definition i said
id to
t have
h a uniform
if di t ib ti with
distribution ith parameters
t , if its
it If X ~ U a, , then
p.d.f. is given by 1 1
X E X , X 2 var X 2 .
1 2 12
, x
f x
0,
0 elsewhere

If X has the above p.d.f, we write

X ~ U , .

f(x)

x
0
ByDrRBoojhawon 5 ByDrRBoojhawon 6

Normal Distribution
NormalDistribution Standardised NormalDistribution
Normal Distribution
Definition 4.8 A r.v. X is said to have a normal distribution with pparameters and 2 if
its p.d.f. is given by
x 2
1 ,
x , THEOREM 4.1 (STANDARDISATION THEOREM)
f x; , e 2 2
,
2 0. Let X ~ N , 2 . Then the r.v.
X
If X has the above p.d.f. , we write Z ~ N 0,1 .

X ~ N , 2 .
The Mean and Variance
If X ~ N , 2 , then

X E X , X 2 var X 2 .

ByDrRBoojhawon 7 ByDrRBoojhawon 8
 Table

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Critical values
Criticalvalues Activity Q1/2
ActivityQ1/2

Q1: Let Z be a standard normal random variable and calculate the following
probabilities, drawing pictures wherever appropriate:
a. P (0 Z 1.2) b. P ( 0.9 Z 0)
c. P (0.3 Z 1.56) d. P ( 0.2 Z 0.2)

Q2: Suppose the force acting on a column that helps to support a building is normally distributed with
mean 15.0 kips and standard deviation 1.25 kips. What is the probability that the force
p
a. is at most 17 kips?
b. Is between 12 and 17 kips?

ByDrRBoojhawon 11 ByDrRBoojhawon 12
 THE GAMMA DISTRIBUTION AND ITS SPECIAL CASES ItssaRightSkeweddistribution
It a Right Skewed distribution
Definition 4.10 A r.v. X is said to have a ggamma distribution with pparameters and if If X has the above pp.d.f. we write
its p.d.f is given by X ~ , .
1 x /
x e
f x 0 00, 00,
, x 0,

= 3, = 3
where is the gamma function defined by

e
t 1
t dt . = 3, = 5

denssity
t 0

= 5, = 5

ByDrRBoojhawon 13 ByDrRBoojhawon 14

Properties of Gamma Distribution

PropertiesofGammaDistribution Activity Q5
ActivityQ5
Properties
p of the g
gamma function:
Suppose the time spent by a randomly selected student who uses a terminal connected to
(i) 1 1;
a local time sharing computer facility has a gamma distribution with mean 20 min and
(ii) 1 / 2 ;
variance 80 min2.
(iii) x 1 x x , x ; a. What are the values of and ?
(iv) n 1 n!, nZ .
b. What is the probability that a student uses the terminal for at
most 24 minutes?
Mean and Variance c. What is the probability that a student spends between 20 and 40
Let X ~ , . Then, minutes using the terminal?

E X X , var X X 2 .
2

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 The Exponential Distribution
Question: The gamma distribution gives rise to a family of random variables known as the
exponential family. These variables are each gamma r.v.s with = 1.

Definition 4.11 A r.v. X is said to have an exponential distribution with parameter if

its p.d.f. is given by
1
f x e x / , x 0,
0 00.

Note that for an exponential distribution with parameter , the mean is X and the

variance is X 2 2 .

deensity
x
0
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Connection with Poisson processes

ConnectionwithPoissonprocesses Lack of Memory Property
LackofMemoryProperty

THEOREM 4.2
Consider a Poisson process with parameter . Let W denote the waiting time for the first
Poisson event to occur. Then W has an exponential distribution with parameter 1 / . PrW w1 w2 | W w1 PrW w2 .

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 Example: Solution
Let X to be the number of destructive earthquakes per month. Then X ~ Po1 / 12 . If W
is the waiting time for the first Poisson event, then from Theorem 4.5 W has an
California is hit every year by approximately 500 earthquakes that are large enough to be
exponential distribution with parameter = 12, i.e.
felt However
felt. However, those of destructive magnitude occur,
occur on average,
average once every year.
year
1 w /12
f w e , w 0.
(a) Find the probability that at least 4 months elapse before the first earthquake of 12

destructive magnitude occurs. (a) We have

1
4 d.p. .
12 w 4
P( W 4) e w /12dw e w /12 e 1/ 3 .7165
w 4
(b) Find the probability that 7 months will elapse before a destructive earthquakes
occurs, given that there was no destructive earthquake in the first 3 months.
(b) By the lack of memory property,

P( W 7 | W 3) P( W 7) .7165 4 d.p.

ByDrRBoojhawon 21 ByDrRBoojhawon 22

TheChiSquaredDistribution THE WEIBULL DISTRIBUTION

v X is said to have a Weibull distribution with parameters and if
4 13 A rr.v.
Definition 4.13
Definition 4.12 Let W ~ / 2, 2 , where is a positive integer. Then W is said to
its PDF is given by
have a chi-squared distribution with degrees of freedom and we write x 1 x /
f x; , e , x 0.


2
W~ .

If X has the above p.d.f. , we write
X ~ Weibull , .
Note that the chi
chi-squared
squared distribution is completely specified once its degrees of freedom

2
are known. Note also that if W ~ , then and 2 2 .

A typical Weibull density is shown in the following figure:

A typical chi-squared distribution is shown below:

42
density

deensity
d

0 x
x
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 Mean and Variance
MeanandVariance
The Mean and Variance
If X ~ Weibull , , then

1 2 1
E X 1 and 2 var X 2 1 2 1 .

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Example: Solution:
Byy comparing
p g the given
g PDF with that in Definition 4.9,, we see that = 2 and 3 .
(a) We have
Suppose that the length of life Y, in years, for a car battery has the p.d.f:
1 3 1 1 3
1 3 3 1.53
1 53 2 dd.p. ;
2
f y ye y / 3 , y 0.
2
2
2 2
2
3 2 1 3
2 2 1 2 1 3 2 2 3 1 .80 2 d.p. .
( ) Determine
(a) D i the
h mean and
d standard
d dd deviation
i i off Y.
Y 2
4

(b) Compute the probability that a battery will last at least 4 years given that it is now
3 years old.
ld

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 Activity Q3
ActivityQ3
(b)
P(Y 4 Y 2)
P(Y 4 | Y 2) Resistors used in the construction of an aircraft guidance system have life lengths that follow a
P(Y 2)
Pr Y 4 Weibull distribution with = 2 and = 10 , with measurements in thousands of hours.

Pr Y 2

(a) Find the probability that a randomly selected resistor of this type has a life length
2 / 3 ye y2 / 3
dy that exceeds 5000 hours.
y 4

(b) If three resistors of this type are operating independently, find the probability that
2 / 3 ye y / 3dy
2

y 2 exactly one of the three burns out prior to 5000 hours of use.

e y2 / 3
y 4

e y
2
/3
y 2
2
e 4 /3
22 / 3
e4 .018 3 d.p.
e

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THE BETA DISTRIBUTION

Activity Q4
ActivityQ4
Definition 4.14 A r.v. X is said to have a beta distribution with parameters and if its
p.d.f. is given by

x 1 1 x
1

f x , , 0,
0 0 x 11,
B ,
If the length of life X for a battery has a Weibull distribution with = 2 and = 3 (with
measurements in years),
years) find the probability that the battery lasts less than 4 years given where B , is the beta function defined by
that it is now 2 years old.

1
B , t 1 t
1 1
dt .
t 0

If X has the above p.d.f. we write

X ~ Beta , .

ByDrRBoojhawon 31 ByDrRBoojhawon 32
 Mean and Variance
MeanandVariance Example:
=3
=5
There are 10 major roads in State A and a similar number and length of roads in State B.
=3
=3 The proportion of roads that require substantial maintenance work during an annual
de
nsi
ty period can be approximated by Beta(4, 3) and Beta(1, 4), respectively, in the states.
=2

=2

(a) Which state should spend more on annual maintenance?

(b) What is the probability that not more than two roads will require substantial
x

0 1
maintenance work in State B during an annual period?
The Mean & Variance
If X ~ Beta , , then

E X and 2 var X .
1
2

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Solution: Question
(a) Let X A and X B denote the proportion of roads requiring substantial maintenance in
States A and B respectively. Then
4
X A ~ Beta4,3 EX A
7
1
X B ~ Beta1,4 EX B
5

The expected number of roads requiring substantial maintenance for State A is then
(4/7)(10) = 5.71 and for State B it is (1/5)(10) = 2. Hence State A needs to spend more.

(b) The p.d.f. of X B is

5
fB x 1 x
3
, 0 x 1.
1 4
Therefore,
5
.2
.2
3x 2 3x3 x 4
1 x dx 4 x
3
P(( XB 0.2)) .59.
1 4 x 0 2 3 4 x 0

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