1

Chapter E: Continuous Random Variables

Contents

E.1 Continuous Random Variables

E.2 The Density Function for a Continuous Random Variable

E.3 The Uniform Probability Distribution

E.4 Exponential Probability Distribution

E.5 The Normal Probability Distribution

E.6 The Gamma Probability Distribution

E.7 The Beta Probability Distribution

E.8 The Cauchy Probability Distribution

E.9 The Weibull Probability Distribution


Tutorial
Essential Problems
Mathematical Problems

























2
Chapter E: Continuous Random Variables


E.1 Continuous Random Variables

A variable is called a continuous variable if it takes uncountably infinite number of points on the
real line. The points may be in one or more intervals. If the variable is defined on a sample space
it is called a continuous random variable. It is impossible to assign a finite amount of probability
to each of the points of a continuous random variable in such a way that the probabilities add to
1. Therefore the distinction between discrete and continuous random variables is usually based
on the difference in their cumulative distributions.

The cumulative distribution function (CDF) for a random variable X is given by
( ) ( ) F x P X x = . In contrast to the cumulative distribution function (CDF) for a discrete random
variable, ( ) F x for a continuous random variable is a monotonically increasing continuous
function of x . This means that ( ) F x is a continuous function such that if
1 2
x x , then
1 2
( ) ( ). F x F x That is as y increases, ( ) F x never decreases.

A continuous random variable has the following three properties.

1. It takes on an uncountably infinite number of values on the real line.
2. The CDF is continuous.
3. The probability that it equals a particular value is 0.


E.2 The Density Function for a Continuous Random Variable

In a relative frequency distribution we describe a data set neatly. If the data represent
measurements on a continuous random variable and if the number of observations is very large,
we can reduce the width of the class intervals until the distribution appears to be a smooth curve.
A probability density function (PDF) is a theoretical model for this distribution.

If ) (u F is the CDF for a continuous random variable X at , X u = then the probability density
function for X at X u = is given by

( )
( ) .
X
X
dF u
f u
du
=

It then follows that

( ) ( ) ( ) .
u
X X
F u P X u f x dx

= =

(E.1)
Thus the cumulative probability under the curve between and a point u is equal to ) (u F .


Properties of a Density Function

1. ( ) 0
X
f x .
2. ( ) 1.
X
f x dx

3
Chapter E: Continuous Random Variables

The probability of an event { : } X a X b is given by
( ) ( ) .
b
a
P a X b f x dx =

(E.2)
where a and b are constants. Remember that ( ) P X a = is always zero in the continuous case.
The integral in property (2) above can be represented by ( ). F The probability in (E.2) above
can be represented by ( ) ( ) F b F a which is also ( ) P a X b < < in most cases. Be warned that
{ : }, X X a = or, { , , , } X a b c = are not probable events for a continuous variable, rather
typical events are { : }, X X a < { : }, X X a > { : }, X a X b < etc. whose probabilities are
always defined by (D.1).


Exampl e E.2.1 Is the following function a probability density function?

2
( ) 3(1 ) ,
X
f x x = 0 1; x < < ( ) 0,
X
f x = elsewhere.

Solution: The first condition ( ) 0
X
f x is obviously true. The second condition is 1 I =
where ( ) .
X
I f x dx

=

By decomposing the domain, we have
0 1
0 1
( ) ( ) ( ) ,
X X X
I f x dx f x dx f x dx

= +


or,
0 1
2
0 1
0 3(1 ) 0 , I dx x dx dx

= + +


or, 1. I =


Exampl e E.2.2 The content of magnesium in an alloy is a random variable, given by the
following pdf (probability density function)

( ) , 0 6,
18
x
f x x = and ( ) 0 f x = elsewhere.

a. Find the probability that the content of magnesium in alloy is at most 3.
b. Find the probability that the content of magnesium in alloy is at least 3.
c. Find the probability that the content of magnesium in alloy at most k where k is a fixed
value of , X and 0 6 k < < .
d. What content is exceeded 75% of the time?
e. What content exceeds 25% of the time?
f. Find
0.95 0.05
x .

Solution:

a.
3
3 2
0 0
1 1 1
( 3) (9 0) 0.25.
18 18 2 36 4
x x
P X dx
(
= = = = =
(

4
Chapter E: Continuous Random Variables

b.
6
6 2
3 3
1 1 3
( 3) (36 9) 0.75.
18 18 2 36 4
x x
P X dx
(
= = = = =
(

c.
2 2
2
0 0
1 1
( ) ( 0) , 0 6
18 18 2 36 36
k
k
x x k
P X k dx k k
(
= = = = < <
(

Note that this function called CDF (Cumulative Distribution Function), usually denoted by ( ) F x
where x is a fixed value of the variable X such that ( ). P X x The CDF ( ) F x can be used to
calculate both (a) and (b).

d. Let k be a fixed value of X such that ( ) 0.75. P X k > = Then we have
6
6 2
2 2
1 1
( ) (6 ) 0.75
18 18 2 36
k k
y y
P Y k dy k
(
> = = = =
(

. It then follows that 3 k = .

e. This part is the same as part (d).

f. Let
0.05
, x k = a fixed value of X denoting 95
th
( ) 0.05 P X k > = percentile. Then or
equivalently ( ) 0.95 P X k = so that it follows from (c ) that

2
0.95
36
k
= , or, 5.85 k .


E.3 The Uniform Distribution

Consider an experiment that consists of observing events occurring in a certain time frame, such
as buses arriving at a bus stop or telephone calls coming into a switchboard. Suppose we know
that one such event has occurred in the time interval ( , ) . It may then be of interest to place
a probability distribution on X , the actual time of occurrence of the event under consideration. A
very simple model assumes that X is equally likely to lie in any small subinterval, say of length
d , no matter where that subinterval lies within ( , ). This assumption leads to the uniform
probability distribution given by

1
( ) , , f x x

=

and ( ) 0 f x = elsewhere.

The density function will be denoted by ~ ( , ). X U Let the subinterval be
) , ( d c c + contained entirely within ( , ) , then

1 ( )
( ) ( )
c d c d
c c
c d c d
P c X c d f x dy dx

+ +
+
+ = = = =




Note that this probability does not depend on the location c but only on the length of the
subinterval.
5
Chapter E: Continuous Random Variables


The cdf of this distribution is given by

( ) ( ) , .
k
F k P X k k

= =

The 100(1 )-th percentile of X at x is given by 1 ,
x

i.e., ( ). x =
It is usually denoted by
1
x

or simply . x

Exampl e E.3.1 Suppose that X is uniformly distributed between 0 and 1. Determine 95
th

percentile of . X

Solution: Hence the 95
th
percentile X at x is given by ( ) 0.95.
X
F x = The cumulative
distribution function of X at x is given by ( ) .
X
F x x = Hence 0.95.

Exampl e E.3.2 Suppose that X is uniformly distributed between 40 and 60. Determine 95
th

percentile of . X

Solution: Hence the 95
th
percentile X at x is given by ( ) 0.95.
X
F x = That is
100 0.05(100 40), x = or, 97. x =

Exampl e E.3.3 Subway trains on a certain line run every half hour between mid-night and 6 in the
morning. What is the probability that a man entering the station at random during this period will
have to wait at least twenty minutes.

Solution: Let X denote the waiting time (in minutes) for the next train. Then

1
( ) , 0 30,
30
f x x = < < and ( ) 0 f x = elsewhere.

The required probability is then

30 30
20 20
1
( 20) ( ) ,
30
P X f x dx dx = =

which equals
|
30
20
1 1 1
(30 20) .
30 30 3
x = =

Interested readers may go through Mendenhall, Wackerly and Scheaffer (1990, 156-159) for very
interesting discussions.


E.4 The Standard Normal Distribution

The normal distribution was proposed by Carl F. Gauss (1777-1855) as a model for the relative
frequency distribution of errors, such as errors of measurement. Amazingly, this bell-shaped
curve provides an adequate model for the relative frequency distribution of data collected from
many different areas of science, engineering and business. It has the following functional form:

6
Chapter E: Continuous Random Variables

< < =

z e z f - ,
2
1
) (
2 / z
2

The following graph of the distribution is from STATISTICA:


The random variable Z is called a standard normal variable. It has the expected value 0 ) ( = Z E
and variance 1 ) ( = Z V . It is obvious that 50 . 0 ) 0 ( ) 0 ( = > = < Z P Z P . It is also interesting to
note that though theoretically 1 ) ( = < < Z P but practically ( 4 4) 1 P Z < < , even
1 )] 1 ( 3 0 ) 1 ( 3 0 [ + < < Z P i.e. A Standard Normal Variable lies within 3 (times) standard
deviation (1) of its mean (0).

The cumulative distribution function of Z is given by

2
/2
1
( ) .
2
z
t
Z
F z e dt

The solution to z of the equation ( ) 1
Z
F z = is the 100(1 )-th percentile of Standard
Normal Distribution and is denoted by

z . For example, ( 1.959964) 0.975, P Z < = or,
equivalently 025 . 0 ) 959964 . 1 ( = > Z P . That is 96 . 1 959964 . 1
025 . 0
= z s the 97.5-th
percentile of the Standard Normal Distribution.

Since

25 . 0 1 75 . 0 ) 67449 . 0 (
50 . 0 1 50 . 0 ) 0 ( ) 0 (
75 . 0 1 25 . 0 ) 67449 . 0 ( ) 67449 . 0 (
= = <
= = > = <
= = > = <
Z P
Z P Z P
Z P Z P

Probability Density Function
y=normal(x,0,1)
0.00
0.15
0.30
0.45
0.60
-3.50 -1.75 0.00 1.75 3.50
7
Chapter E: Continuous Random Variables


the quartiles of the distribution are given by 67449 . 0 and 0 , 67449 . 0
25 . 0 50 . 0 75 . 0
= = = z z z .

See the Table of Normal Percentiles given below:

z
0.005 2.575829
0.010 2.326348
0.015 2.170090
0.020 2.053749
0.025 1.959964
0.030 1.880794
0.035 1.811911
0.040 1.750686
0.045 1.695398
0.050 1.644854
0.055 1.598193
0.060 1.554774
0.065 1.514102
0.070 1.475791
0.075 1.439531
0.080 1.405072
0.085 1.372204
0.090 1.340755
0.095 1.310579
0.100 1.281552
0.200 0.841621
0.250 0.674490
0.500 0.000000

Note that the pdf ( )
Z
f z is location symmetric around location 0, that is (0 ) (0 ).
Z Z
f z f z + =
Hence,
05 . 0 95 . 0
z z = , and
01 . 0 99 . 0
z z = . That is, in general, for normal distribution we have

=
1
z z where 1 0 .

The probability that Z is less than or equal to 2.0 is denoted by ( 2.0) P Z . It is 0.9772
tabulated in the intersection of the first column (at 2) and first row (at 0). We write
( 2) 0.9772. P Z = Since ( 2) 0 P Z = = , we have ( 2) 0.9772. P Z < = The probability that
Z is less than or equal to 2.05 is denoted by ( 2.05) P Z . It is 0.9798 tabulated in the
intersection of the first column (at 2) and first row (at 0.05). The probability that Z is more than
2.05 is given by ( 2.05) 1 ( 2.05) P Z P Z > = which equals
( 2.05) 1 0.9798 0.0202 P Z > = . See TUTORIAL for details.

Moreover ( 2.0) 0.9772 P Z = implies that 2 z = is the 97.72
nd
percentile. To find the 97.72
nd

percentile of standard normal distribution, we write ( ) 0.9772 P Z k = . Then in the body of the
table we look for 0.9772. By comparing with ( 2.0) 0.9772 P Z = , we write 2. k = Hence
2 z = is the 97.72
nd
percentile.

8
Chapter E: Continuous Random Variables

To find the 75
th
percentile of the distribution, we write ( ) 0.75 P Z k = . Then in the body of the
table we look for 0.75 or any value closest to it. We find 0.7486. By comparing with
( 0.67) 0.7486 P Z = , we write 0.67. k Hence 0.67 z is the 74.86
th
or 75
th
percentile.


The Normal Distribution
It is characterized by two natural parameters mean and variance usually denoted by
2
and .
distributions. The pdf is given by


2
1 1
( ) exp ,
2 2
X
x
f x


(
| |
=
(
|
\ .
(

, , . x < < < < < <

The parameter is real and
2
is nonnegative. They are the mean and variance of the
distribution. Though these symbols are also used to denote the mean and variance of other
distributions, they should not be confused. The distribution is usually denoted by ) , (
2
N .

The function ( )
X
f x is location symmetric around , i.e., ( ) ( ).
X X
f x f x + =


If X is a random variable with mean and variance
2
i.e.
2
~ ( , ) X N , then

2
~ (0, ) X N and ~ (0, 1).
X
Z N

=

If
2
~ ( , ) X N , then is the center or mean of the distribution. Fifty percent of the area
under the normal distribution is below the mean which implies that mean and median coincide. In
fact mean, median and mode coincide for the normal distribution.
Since the quartiles of the standard normal distribution (with 0 = and ) 1 = are given by
67449 . 0 and 0 , 67449 . 0
25 . 0 50 . 0 75 . 0
= = = z z z , it follows that

0.75 0.75 0.75
0.67449, 0 and 0.67449
x x x


= = = so that

0.75 0.50 0.25
0.67449 , , 0.67449 , x x x = = = +

are the quartiles of normal distribution with mean ) ( and standard deviation ) ( .

Exampl e E.4.1 Mid term grades of the students of Engineering Statistics have a mean of 20.
The variance of the grades is 4. What is the probability that a randomly selected student got more
than 16. Explain this probability.

( 16) ( 2) ( 2) 0.9772 P X P Z P Z > = > = < =

That is 97.72% students got more than 16 in the mid term.
9
Chapter E: Continuous Random Variables


Exampl e E.4.2 A manufacturing process has a machine that fills coke to 300 ml bottles. Over a
long period of time, the average amount dispensed into the bottles was 300 mls, but there is a
standard deviation of 5 mls in these measurement. If the amounts of fill per bottle can be
assumed to be normally distributed, find the probability that the machine will dispense more than
310 mls of liquid in any one bottle. (cf. Scheaffer and McClave, 1995, 216-217)


Solution: Let X be the amount of fill in a bottle. Then
2
~ (300, 5 ). X N

300 310 300
( 310) ( 2) 0.0228
5 5
X
P X P P Z
| |
> = > = > =
|
\ .


Exampl e E.4.2 Experience indicates that the development time ) (Y for a photographic printing
paper is distributed as normal with mean 30 = seconds and standard deviation 1 second. Find
the probability that

(a) the development time ( ) X differs from its expected value ) ( by more than 2
seconds.

(b) the development time ( ) X will be within 1.645 seconds of its expected value ) ( .

(c ) the development time will be within 1.645 seconds of true development time

Solution:

(a) [ 2, , X 2] [ 28, , X 32] P X or P X or < > = < >

Note that if somebody uses the left hand side of the above identity he can do the problem without
knowing the value of . In either case the required probability is

2 2
( 2) ( 2) ,
1 1 1 1
X X
p P X P X P P


| | | |
= < + > = < + >
| |
\ . \ .
which equals
( 2) ( 2) 2(0.02275). p P Z P Z = < + > =

b. ( 1.645 1.645) ( 1.645 1.645), p P X P X = < < + = < < which equals
( 1.645 1.645) 0.90. p P Z = < < =

c. Same as above. (cf Hines and Montgomery, 1990)


Exampl e E.4.3 The compressive strength of samples of cement can be modeled by a normal
distribution with a mean of 6000 kilograms per square centimeter and a standard deviation of 100
kilograms per square meter.

(a) What is the probability that the strength of a sample is less than 6164.5 kg/cm
2
?
(b) What compressive strength is exceeded by 95% of the time?
(c) What compressive strength exceeds 5% of the time?

Solution:
10
Chapter E: Continuous Random Variables


a.
6000 6164.5 6000
( 6164.5) ( 1.645) 0.95
100 100
X
P X P P Z
| |
< = < = <
|
\ .

b. Let k be a fixed value of the variable X . Then we have ( ) 0.95, P X k > = or equivalently
( ) 0.05, P X k < = which can be standardized as

0.05,
X k
P


| |
< =
|
\ .
or, 0.05.
k
P Z

| |
< =
|
\ .


From the Standard Normal Probability Table, we have ( 1.645) 0.05 P Z < = so that by
comparison we have

1.645,
k

= or, 1.645 5835.5. k = =

c. The same as (b)

(Montgomery, Runger and Hubele, 1998, 74)

Exampl e E.4.4 A machine for filling cereal boxes has a standard deviation of 1 ounce on of fill
per box.

a. What setting of the mean ounces of fill per box allow 16-ounce boxes to overflow only 1% of
the time? Assume that the ounces of fill per box are normally distributed. (Scheaffer and
McClave, 1995, 228)

b. Suppose that the standard deviation is not known but can be fixed at certain levels
by carefully adjusting the machine. What is the largest value of the standard deviation that will
allow the actual value dispensed to be within 1 ounce of the mean with probability at least 0.95?

Solution:

a. ( 16) 0.01 P X > = which can be transformed as ( 16 ) P X > which can be
standardized as ( 16 ) 0.01 P Z > = so that 16 2.33 = and consequently 13.67. =

b. ( 1 1) 0.95 P X < < + which can be standardized as
1 1
0.95
X
P


| |
< <
|
\ .
which equals
1 1
0.95 P Z

| |
< <
|
\ .
where ~ (0,1). Z N Then
from the standard normal table,
1
1.96

so that
1
.
1.96


Therefore the largest value of the standard deviation would be 1/1.96.


E.5 The Exponential Distribution

Life lengths of batteries or light bulbs usually follow exponentially decreasing distribution known
as Negative Exponential Distribution or simply Exponential Distribution. Relative frequency
11
Chapter E: Continuous Random Variables

histogram of samples of lifelengths or light bulbs can be approximated by exponential
distribution. The probability density function of an exponential random variable is given by

/
1
( ) , (0 ,0 ),
x
f x e x

= < < < and ( ) 0 f x = elsewhere.

This distribution is characterized by the only one scale parameter and may be represented, for
short, by ) ( Exp . The mean and variance of exponential distribution is given by
2 2
and = = respectively. Thus it is a nonnegative distribution whose mean and
standard deviation are the same. Many authors prefer to use 1/ = as the parameter of the
distribution. Many interesting problems for sums of exponential variables are variable in Hines
and Montgomery (1990).

Note that if ( ) P X k > = , it can be proved that ln(1/ ) k = . The proof is outlined below:

( ) ,
k
f x dx

or,
/
1
.
x
k
e dx

By integration, we have
/
,
x
k
e

( =

or,
/
0 .
k
e

= Then by taking natural logarithm to both sides, we have

ln ln .
k
e

= Since ln 1, e = we have ln . k =

In particular, if
1
( )
2
P X k > = , then ln2 k = which is the median of the distribution. Since
ln2 0.69 , = > = it follows that the density function is skewed to the right.


Exampl e E.3 Lifetime of a particular type of battery follow exponential distribution with mean 2
hundred hours. Find the probability that

a. the lifetime of a particular battery of this type is less than 2 hundred hours.
b. the lifetime of a particular battery of this type is more than 4 hundred hours.
c. the lifetime of a particular battery of this type is less than 2 hundred hours or more than 4
hundred hours.
d. it will survive three hundred hours more if it has already survived more than 5 hundred hours.
e. it will survive between 5 hundred and 8 hundred hours?
f. What is the probability that a battery will survive more than 5 hundred hours or more than 8
hundred hours?

Solution Let X =lifetime of a battery. Then ~ ( ) (2) X Exp Exp = .

a. The event of interest is { : 2}. X X < The required probability is
2
0
( 2) ( ) , P X f x dx < =

or,

2
/
0
1
( 2) .
x
P X e dx

< =

Then by integration, we have

12
Chapter E: Continuous Random Variables

2
2
/ 2/
/
0
0
1
( 2
1
) 1
/
.
x
x
e
P X e e

(
( < = = =
(

Since 2, = finally, the probability is
1
1 0.6321. e

b.
4
( ) ( ) 4 , P X f x dx

> =

or,

/
4
1
( ) . 4
x
P X e dx

> =

By integration, we have

4/
( . 4) P X e

> =

Since 2, = finally, the probability is
2
0.1353. e

c.
1 2
[{ 2}, or , { 4}] ( 2) ( 4) 1 , P X X P X P X e e

< > = < + > = +
by (a) and (b).


d. Let { : 8} A X X = > and { : 5}. B X X = > Then the required probability is

( )
( | ) .
( )
P AB
P A B
P B
=

Since , A B it follows that , AB A = and then

( )
( | ) .
( )
P A
P A B
P B
=

Now
/ 8/
8
1
( ) { 8} ,
x
P A P X e dx e

= > = =

and similarly
5/
( ) { 5} . P B P X e

= > = Then,
we have

8/
3/
5/
( | ) ,
e
P A B e
e

= =

which is the same as ( 8 5). P X > This property is called the memoryless property of an
exponential distribution. Finally, the probability is
3/2
0.2231. e

e.
5/ 8/ 5/2 8/2
(5 8) ( 5) ( 8) 0.0737. P X P X P X e e e e

< < = > > = =

13
Chapter E: Continuous Random Variables

It is also the probability that a battery survives more than 5 hundred hours but fails by 8 hundred
hours.

f. The required probability is ( ). P A B Since , A B it follows that . A B B = Then
( ) ( ), P A B P B = or,
8/2
( ) , P A B e

= or, ( ) 0.0183. P A B

The above can also be done by ( ) ( ) ( ) ( ). P A B P A P B P AB = +


Exampl e E.4 An electronic component is known to have a useful life represented by an
exponential density with failure rate
5
10

per hour.

a. Determine the mean time to failure.
b. Determine the fraction of such components that would fail before the mean life.
c. What is the median life time?

Solution:

a. Since the failure rate is
5
10

, the mean is given by

5 5
1/10 10.

= =

b. Let X be the life time. Then the density function is given by
1 /
( )
x
f x e

= for 0 x > and
( ) 0 f x = for 0. x < The fraction of such components that would fail before the mean life is
given by
1 / 1
0 0
( ) ( ) 1 0.6321.
x
P X f x dx e dx e




< = = =



c. The median (0 1) k k < < is a fixed value such that ( ) 0.5 P X k < = so that
1 / /
0 0
( ) 1 0.5.
k k
x k
f x dx e dx e

= = =

Then
/
0.5
k
e

= which can be inversed as
/
2
k
e

= so that
5
5 10
ln2 10 ln2 ln2 . k = = =


The Waiting Time Distribution of a Poisson Process

Time between incidents is a continuous variable and it may be proved that it follows an
exponential distribution. If ) (t Y , the number of incidents per t unit of time, follows Poisson
Process with t as the expected number of incidents in t unit of time, then T , the interarrival
time follows an exponential distribution with ( ) 1/ E T = as the expected interarrival time.


Derivation of the density function

Consider a Poisson process
t
X with a mean of ( ) , 0.
t
E X t t = > Then the probability that
there will be no count in t unit of time is given by
0
( )
( 0)
0!
t
t
t
P X e

= = which
is ( 0) .
t
t
P X e

= = Now let W be the waiting time one must wait to see the next count. Them
the event { } W t > is equivalent to { 0}.
t
X = Hence ( ) ( 0)
t
P W t P X > = = so that
( ) .
r
P W t e

> = Then the cumulative distribution function is given by
14
Chapter E: Continuous Random Variables

( ) ( ) 1 , 0.
t
F t P W t e t

= = > The derivative of this function is the density function of the
waiting time given below:

( ) , 0 , 0 ,
t
W
f t e t

= < < and ( ) 0

W
f t = elsewhere.

Obviously, we have ( ) 1/ E W = .

If L denotes the length of life or time to failure, then ) ( t L P > is called the reliability function, and
its logarithmic derivative is called the hazard. If the time to failure has the exponential distribution
with mean / 1 , then the reliability and the hazard functions are given by

t
e t R

= ) ( and
) (
) (
) (
T R
t R
t H

=

respectively (see Lindgren, McElrath and Berry, 1978, 109). The following example relates to
Example C.20 of Chapter C. There is a nice discussion on waiting time in telephone switching in
Lapin (1997, 239).


Exampl e E.5 Accidents occur at an intersection at an average rate of 0.3 per hour.
a. What is the probability that no accident happens in an hour?
b. Find the probability that two consecutive accidents occur more than 4 hours apart.
c. What is the probability that no accident happens in 2 hours?


Solution:

a. Let X , the number of accidents per hour, follow a Poisson distribution with mean so that

( )
!
x
P X x e
x

= = .

Then
0.3(1)
( 0) 0.7408.
t
P X e e

= = =

(This is an example of Poisson Variable with unit time)

b. Let X be the number of accidents per hour follow a Poisson distribution with mean 3 . 0 =
per hour. Then W , the time between consecutive accidents, measured in hours, follows an
exponential distribution with

( ) 1/ E W = i.e. ( ) , 0
w
f w e w

= > and consequently

4 4 1.2
0
4 4
( 4) ( ) [ ] 0.3012.
w w
P W f w dw e dw e e e

> = = = = =



( X is a Poisson Variable with unit time)


15
Chapter E: Continuous Random Variables

c. Let
t
X , the number of accidents in t unit of time, follow a Poisson distribution with mean t so
that
( )
( )
!
x
t
t
t
P X x e
x

= = .
Then

2 2(0.3)
2
( 0) 0.5488. P X e e

= = =

(This is an example of Poisson Variable with non-unit time)


Exampl e E.6 Accidents occur at an intersection at an average rate of 0.3 per 30 minutes.
a. What is the probability that no accident happens in an hour?
b. Find the probability that two consecutive accidents occur more than 4 hours apart.

Solution:

a. Let X , the number of accidents per hour, follow a Poisson distribution with mean
(0.3/ 30)(60) 0.6 = = per hour so that

( )
!
x
P X x e
x

= = .

Then

0.6
( 0) 0.5488. P X e e

= = =

(By scaling the average, we solved it by Poisson Variable with unit time)

Al ternative Solution:

a. Let
t
X , the number of accidents in t unit of time, which is 30 minutes, follow a Poisson
distribution with mean t so that
( )
( )
!
x
t
t
t
P X x e
x

= = . In terms of the unit time (30 minutes),
(30minute
an hour an hour 2
30minutes
s)
(30minutes) t = = = so that

0.3(2)
2
( 0) 0.5488. P X e

= =


b. Let X be the number of accidents in an hour so that it follows a Poisson distribution with
mean 0.3(2) 0.6. = = Then W , the time between consecutive accidents, measured in the unit
of an hour, follows an exponential distribution with ( ) 1/ E W = i.e.,
( ) , 0 ,
t
W
f t e t

= < and ( ) 0
W
f t = elsewhere. It follows that
16
Chapter E: Continuous Random Variables

4 4(0.6)
4
4 4
( 4) ( ) 0.0907.
t t
W
P W f t dw e dt e e e

( > = = = = =



Al ternativel y Let
t
X , the number of accidents in t unit of time, which is 30 minutes, follow a
Poisson distribution with mean t so that
( )
( )
!
x
t
t
t
P X x e
x

= =

Then W , the time between consecutive accidents, measured in the unit of half an hour, follows
an exponential distribution with ( ) 1/ E W = i.e., ( ) , 0 ,
t
W
f t e t

= < and
( ) 0
W
f t = elsewhere. In terms of the unit time (30 minutes), 4 hours is

( )
4 hours 8 ( )
half
half an hour
half a
an
n

h
hour
our =

so that the event of interest is { : 8} W W > and consequently

8 8(0.3)
8
8 8
( 8) ( ) 0.0907.
t t
W
P W f t dw e dt e e e

( > = = = = =




E.6 The Gamma Probabili ty Distribution

The probability density function for gamma distribution is given by

1 /
( ) , 0 ,0 ,0
( )
x
x e
f x x

= < < < < <

where
1
0
( )
x
x e dx

. It can be shown that ( ) ( 1) ( 1) = and if is a positive

integer then ( ) ( 1)! = The expected value and variance of the gamma distribution are,
respectively, ( ) E Y = = and
2 2 2
( ) E Y = = . Note that the expected value of
gamma distribution can be derived, without resorting to integration by parts, by
reparameterization technique (see Mendenhall and Sincich, 1995, pp238-239)

A chi-square random variable with degrees of freedom is a gamma variable with / 2 = and
2 = . The related probability density function is given by

( /2) 1 /2
/2
( ) ,
2 ( / 2)
x
X
y e
f x

for 0 ,0 ; x < < <

( ) 0,
X
f x = elsewhere.

17
Chapter E: Continuous Random Variables

A variation of the above pdf is more meaningful in real world applications. Consider a sequence
of arrivals over time. Let T be the time until th arrival and for each t , let
t
N be the number of
arrivals in the time interval 0, ] x . Suppose that ( )
t
N Poisson t for each t . Then for 0 t < it
is trivially true that ( ) 1 P T t > = while for 0 t ,

1
0
( ) ( -th claim arrives after )
(fewer than arrivals in [0, ])
( 0,1, , 1)
( )
.
!
t
n t r
n
P T t P r t
P r t
P N r
t e
n

=
=
=
= =
=

Since the above is a survival function by differentiating ( ) P T t with respect to t we have the
density function

1
for 0
( ) ( 1)!
0 for 0
r r t
t e
t
f t r
t

<

(Bean, 2001, 232). We will denote this distribution by ( , ) G r

Exampl e E.6.1 Instantaneous surges of electrical current occur randomly and independently on
a particular line at an expected rate of 0.1 per hour. The electrical system will fail after four
surges. Determine the probability that the system is functioning in 10 hours. (bean, 2001, 232)

Solution: Let
j
T be the time in hours between the ( 1) j th and the j th surge. It has
exponential distribution with mean rate 0.1 = . Then
1 2 3 4
T T T T T = + + + , the future lifetime of
the system measured in hours, has a gamma distribution (4, ) G where expected surging rate is
with mean and the desired probability is

10 3
0
(10 )
( 10) ,
!
n
n
e
p P T
n

=
= > =

which equals
10 0.1 3
0
(10 0.1)
,
!
n
n
e
p
n

=

which equals
1 3
0
,
!
n
e
p
n

=
=

which equals 0.98101118. p

Exampl e E.6.2 You are waiting in line at the express checkout of the grocery store. Three
customers are waiting ahead of you and one customer is being served. The checkout time for an
individual customer has an exponential distribution with mean 20 seconds.

a. Determine the probability that you will be waiting for service to begin 2 minutes from now.
b. What is the probability that you will be completely served 2 minutes from now? (Bean, 2001,
233)

18
Chapter E: Continuous Random Variables

Solution: Let
1
T be the remaining service time in minutes for the customer currently being
served; let
2 3 4
, , T T T be the service times in minutes for the three customers ahead of you; and
let
5
T be your service time in minutes. Since each ( )
i
T Exp i.e. (1, )
i
T G and they are
independent , it follows that
1
( , )
r
i
i
T G r
=

and hence

a.
2 4 3
1 0
(2 )
2 0.1512
!
n
i
i n
e
P T
n

= =
| |
> =
|
\ .


b.
2 5 5 4
1 1 0
(2 )
2 1 2 1 0.7149
!
n
i i
i i n
e
P T P T
n

= = =
| | | |
= =
| |
\ . \ .



Note that
1
T represents the remaining service time, not the total service time , for the customer
currently being served. However since the total service time is exponentially distributed, the
remaining service time must also be exponentially distributed by the memoryless property.



The probability density function of a Gamma random variable X with two parameters, 0 > and
0 > is sometimes written as

1
( )
( ) ,
( )
x
X
x e
f x

0 x < <

where
1
0
( ) ,
y
y e dy

0. >

a. Verify that the PDF integrates to 1.

Solution:
1
0 0
( )
( ) ,
( )
x
X
x e
I f x dx dx

= =

Substituting x y = we have

1 1
0 0
(
( ) ( )
, )
x y
I
dy
x e dx y e

= =




1
0
1
,
( )
y
I y e dy

The integral
1
0
,
y
y e dy

is a well known special function, usually denoted by ( ).

Hence 1. I =

b. Prove that ( 1) ( ) + = for any 0. >

19
Chapter E: Continuous Random Variables


c. Prove that ( ) ( 1) ( 1) = for any 0. >


e. Use (c) and (d) to prove that ( 1) ! + = for any non-negative integer .

E.7 The Beta Probability Distribution

The probability density function for beta distribution is given by

1 1
( )
( ) (1 ) , 0 1, 0 , 0
( ) ( )
f x x x x





+
= < < < <


with expected value ( ) E Y

= =
+
and variance

2

( )( 1)

=
+ + + +
.

There are excellent examples in Bean (2001, 263-265).


E.8 Cauchy Distributi on


The Cauchy random variable X assumes value over the entire real line and has the pdf:

2 2
1
( ) ,
X
f x
x

=
+
, x < < and 0 > is any constant.


Let us verify that the pdf integrates to 1.

2 2
1
( ) .
X
I f x dx dx
x

= =
+




Substituting , x y = we have

2
1
.
1
I dy
y

=
+

That is 1. I =


Let us derive the cdf of X and plot it. For , x < < the CPF (Cumulative Probability
Function) ( ) ( )
X
F x P X x = of X is given by

20
Chapter E: Continuous Random Variables


0
( ) ( ) ,
t x
X X
t
F x f t dt
=
=
=

or,


2 2
0
1
( ) .
t x
X
t
F x dt
t

=
=
=
+

Substituting , t y = we have

/
2
1
( ) .
1
y x
X
y
F x dy
y

=
=
=
+

Finally the CDF is

1
1 1
( ) tan ,
2
X
x
F x

| |
= +
|
\ .
0. >


E.9 The Weibull Probability Distribution

The probability density function for Weibull distribution is given by

1 /
( ) x , 0 ,0 ,0
y
f x e x

= < < < < <

The expected value and variance of the gamma distribution are, respectively,

1/
( ) (1 1/ ) E Y

= = + and
( )
2 2/ 2
(1 2/ ) (1 1/ )

= + + .


E.10 The Lognormal Probability Distribution


The probability density function for lognormal distribution is given by

2 2
(ln ) /(2 )
1
( ) , 0 ,0 ,0 .
2
x
f x e x
x




= < < < < <

Note that
2
ln ( , ). Y X N =






21
Chapter E: Continuous Random Variables


Tutorial

E.1 The total time, measured in units of 100 hours , that a student runs his computer over a
period of one year is a continuous random variable X that has the density function

, 0 1
( ) 2 , 1 2
0, elsewhere
x x
f x x x
< <

a. What is the probability that a student runs the computer between 75 hours to 150 hours per
year.

b. What is the first quartile of the total time a student runs his computer?

c. How much time, on an average, a student runs his computer?

d. What is the median amount of time a student runs his computer?

e. What is the third quartile?

Solution:

a.
1 1.5
0.75 1
(0.75 1.5) ( ) ( ) , P X f x dx f x dx < < = +

or,
1 1.5
0.75 1
(0.75 1.5) (2 ) , P X xdx x dx < < = +

or, (0.75 1.5) 0.594. P X < <

b. Since
1 1
0 0
( ) 0.5 0.25 f x dx xdx = = >

, the first quartile is a fixed value (0 1) k k < < such
that
0
( ) 0.25.
k
f x dx =

This yields
0
0.25,
k
xdx =

or,
2
0
1
0.25,
2
k
x ( =

or,
2
1/ 2, k = or,
1
.
2
k = Hence the first quartile is given by 0.7071. k

c. The mean is given by
2 1 2
0 0 1
( ) ( ) ( ) ( ) , E f x dx xf x dx xf x dx X x = = +

or,
1 2
0 1
( ) { } {2 } 1. E X x x dx x x dx = + =



d. Since
1 1
0 0
( ) 0.5, f x dx xdx = =

the median is given by 1.

e. Since
1 1
0 0
( ) 0.5 0.75 f x dx xdx = = <

, the third quartile is a fixed value (1 2) k k < < such
that
1
( ) 0.25.
k
f x dx =

This yields
1
(2 ) 0.25,
k
x dx =

or,
2
1
[2 0.5 ] 0.25
k
x x = or,
2
(2 0.5 ) (2 0.5) 0.25, k k =
2
0.5 2 1.75 0, k k + =
2
2 ( 2) 4(0.5)(1.75)
,
2(0.5)
k

=


22
Chapter E: Continuous Random Variables

1.2929, 2.7071. k Hence the third quartile is 1.2929.

Alternatively, since the density function is linear, the third quartile is approximately
2 0.7071 1.2929. = Is it true in general?

E.2 A box is to be constructed so that its height is 5 inches and its bases Y inches by Y inches ,
where Y is a random variable described by

( ) 6 (1 ), 0 1. f y y y y = < <

a. Find the expected value of
2
5 Y .

b. Explain the quantity you found in part (a). (Larsen, Richard and Marx, Morris L. , 2001, 213).

c. Derive 95
th
percentile of the above probability density function.

Parti al Solution:
a.
1
2
0
(5 ) {6 (1 )} 1.5. E Y y y y dy = =

(b) The expected volume.

E.3 Let Z be a standard normal distribution. Then determine the following probabilities:

a. ( 1.96), P Z

b. ( 1.96), P Z

c. ( 1.96), P Z

d. ( 1.96), P Z <

e. ( 1.96), P Z <

f. ( 1.645 1.28), P Z <

g. ( 1.645 1.96), P Z <

h. (| | 1.96), P Z

i. (| | 1.96). P Z >


Parti al Solution by the CDF Method

) 96 . 1 ( 1 ) 96 . 1 ( ) ( < = Z P Z P a

) ) ( (see ) 96 . 1 ( ) 96 . 1 ( ) ( a Z P Z P b =

) 96 . 1 ( ) 96 . 1 ( ) ( = Z P Z P c
23
Chapter E: Continuous Random Variables


) 96 . 1 ( 1 ) 96 . 1 ( ) 96 . 1 ( ) 96 . 1 ( ) ( < = = = < Z P Z P Z P Z P d

) 96 . 1 ( ) 96 . 1 ( ) ( = < Z P Z P e

) 28 . 1 ( ) 645 . 1 ( ) 645 . 1 28 . 1 ( ) 28 . 1 645 . 1 ( ) ( = < = < Z P Z P Z P Z P f

)] 645 . 1 ( 1 [ ) 96 . 1 (
) 645 . 1 ( ) 96 . 1 ( ) 96 . 1 645 . 1 ( ) (
=
= <
Z P Z P
Z P Z P Z P g


] 50 . 0 ) 96 . 1 ( [ 2 1 ) 96 . 1 ( 2
)] 96 . 1 ( 1 [ ) 96 . 1 ( ) 96 . 1 ( ) 96 . 1 (
) 96 . 1 ( ) 96 . 1 ( ) 96 . 1 96 . 1 ( ) 96 . 1 | (| ) (
= =
< = =
= =
Z P Z P
Z P Z P Z P Z P
Z P Z P Z P Z P h


)] 96 . 1 ( 1 [ 2
)] 96 . 1 ( ) 96 . 1 ( [ 1
) 96 . 1 96 . 1 ( 1 ) 96 . 1 | (| 1 ) 96 . 1 | (| ) (
=
=
= = >
Z P
Z P Z P
Z P Z P Z P i



Essential Problems


E.8 The lifespan X , in hours, of a graphing card in a PC is thought to have a probability density
function inversely proportional to the cube of x :
3
( ) for 4000 5000 f x x x

= where is a constant.

a. Determine the probability that the graphics card will last longer than 4500 hours after
installation.
b. What guarantee period should the manufacturers offer if they wish to replace (under
guarantee) at most 1% of the graphics cards sold? (Smith, Peter, 1997, 186).

Parti al Solution: 89 . 88888888 = , ( ) ( 4500) 0.4170 a P X > = ( ) ( ) 0.01 b P X k < =
where k is a fixed value. Then 4007.219 k .


E.17 A random variable Y , which represent the weight (in ounces) of an article, has probability
density function given by

8 8 9
( ) 10 9 10
0
y for y
f y y for y
otherwise

= <

a. Calculate the mean of the random variable Y .

b. What is the probability that the weight of an article is more than 8.25 ounces?

24
Chapter E: Continuous Random Variables

c. The manufacture sells the article for a fixed price of $2.00. He guarantees to refund the
purchase money to any customer who finds the weight of his article to be less than 8.25 ounces.
His cost of production is related to the weight of the article by the relation ( /15) 0.35 Y + . Find
the expected profit per article.

Parti al Solution:

a. 9, b. 0.969 approx. c. The sale price of the article is given by 2 for 8.25 X and
0 for 8.25 X < . The profit (sale price cost) is given by

0 [( /15) 0.35] if 8.25
2 [( /15) 0.35] if 8.25
Y X
Z
Y X
+ <
=

+

E.18 The pH of a reactant is measured by the random variable X whose density function is
given by

25( 3.8) if 3.8 4
( ) 25( 4.2) if 4 4.2
0 elsewhere
x x
f x x x

a. What is the median pH of the reactant
b. What is the probability that the pH of the reactant exceeds 3.9?

Hints: (a) ( 4) 1/ 2 P X = (b) ( 3.9) 1 ( 3.9) 0.875 P X P X > = =


E.21 An engineer designed a ball whose radius r changes from 10 inches to 20 inches with pdf
given by

1 2
1500 (225 (3 45) ),10 20
( )
0, otherwise
r r
f r

a. Sketch the function ( ) f r
b. What proportion of balls have radius more than 15 inches?
c. What is the expected radius of the balls?
d. Find the expected surface area ( ) S of the balls.
e. Find the expected volume ( ) V of the balls?

Parti al Solution.
2
6 9 3
( )
5 50 500
f r r r = + ,
( )
3
45000 11600 63000 3600 E R = + = ,
2
4 S r = ,
3 3
4
( ) 4800 in
3
V E R = =

E.45 Two instructors J and K have been teaching statistics course for 10 years. Final exam
marks in the section taught by J usually varies around 75 with a standard deviation 9 while they
are 70 and 10 respectively for the section taught by K. What is the probability that a randomly
25
Chapter E: Continuous Random Variables

selected student of J will have score more than the average score of a student of K?

E.46 Let the diameter (in millimeters) of a hole drilled in a sheet metal can be modeled by the
probability density function

20( 12.5)
2 , 12.5
( )
0 otherwise
x
e x
f x


=

Note that the target diameter is 12.5 millimeters. If a part with a diameter larger than 12.6
millimeters is scrapped, what proportion of parts is scrapped? Find the median diameter of the
sheet metal.


E.48 At a certain location on high-way I-10, the number of cars exceeding the speed limit by more
than 20 miles per hour is a random variable having a Poisson distribution with an average of 8.4
cars per an half hour. What is the probability of a waiting time of less than 5 minutes between
cars exceeding the speed limit by more than 20 miles per hour?
(Miller, Irwin and Miller, Meryless, 1999, 207)

Parti al Solution: ( 5/30) P T < where T , time between arrivals, is an exponential distribution
with mean number of cars arriving 8.4 = per 30 minutes. Then

1/6
/6 1.4
0
( 1/6) 1 1 0.7534.
t
P T e dt e e

< = = =

Or , ( 5) P T < where T , time between arrivals, is an exponential distribution with mean number
of cars arriving 8.4 = /30 per minute, or, 0.28 per minute. Then

5
5 1.4
0
( 5) 1 1 0.7534.
t
P T e dt e e

< = = =

E.49 The number of planes per day at a small private airport is a random variable having a
Poisson distribution with a mean of 28.8. What is the probability that the time between two
consecutive arrivals is at least 1 hour? (Miller, Irwin and Miller, Meryless, 1999, 215)
(Ans: 0.3012 approx.)

Solution: The mean number of planes arriving per hour is 28.8/ 24 = per hour, i.e. 1.2 =
per hour. Let T be the time between consecutive arrivals. Then
1.2
1
( 1) 0.3012.
t
P T e dt e e

= = =

Mathematical Problems


E.54 Find the expected value of exponential random variable with mean 1.

Solution: The density function is given by < =

y e y f
y
0 , ) ( . The expected value is,
therefore,


26
Chapter E: Continuous Random Variables

E.55 Consider the gamma probability function
1
( )
( ) .
( )
x
X
x e
f x

a. Prove that
2 2
( ) ( 1) / E X = + and
2
( ) / . Var X =


E.56 Let ~ ( ). X Expo

a. Find the CDF ( )
X
F x of the distribution. Also derive the conditional CDF ( | ).
X
F x X t >

Solution: The CDF of the exponential random variable is

0 0 0
( ) ( ) ( ) 1 .
t x t x x
t t
X X
x
t t
F P X x f t dt e dt e e x

= =

= =
( = = = = =



The conditional CDF is given by
( )
( | ) ,
1 ( )
X
X
X
f x
F x X t
F t
> =

. x t This is given by

( )
( | ) ,
1 (1 )
x
x t x t
X t
e
F x X t e e e
e

> = = =

. x t

Choose 3 = say, and 0.10 t = say. Then choose
0.10,0.20,0.30,0.40,0.40,0.50, x = and calculate values of
( )
( | ) .
x t
X
F x X t e

> =
Then plot
( )
( | )
x t
X
F x X t e

> = in the vertical axis against x in the horizontal axis.


b. Prove that ( | ) ( ). P X t x X t P X x > + > = >

Solution: For 0, t > consider the events { } A X t x = > + and { }. B X t = > Then the
given problem reduces to

( ) ( )
( | ) ,
( ) ( )
P AB P A
P A B
P B P B
= =

Where we have used the fact AB A = . Note that if one set is a subset of the other, then
the intersection is the smaller set and union is the bigger set. Notice that A B so that
. AB A =

( )
( )
( | ) ( ),
( )
x t
x
t
P A e
P A B e P X x
P B e

= = = = >


That is ( | ) ( ). P X t x X t P X x > + > = >

27
Chapter E: Continuous Random Variables

Since the left hand side does not depend on t , this property is called memory less
property of exponential distribution.


E.57 Prove that the cdf (Cumulative Distribution Function), denoted by ( ), F u of the exponential
distribution with mean is given by
/
( ) 1 , 0 .
u
P Y u e u

= <

E.58 The sdf (survival distribution function) of the exponential distribution with mean is given
by is given by < = = > =

u e u Y P u Y P u S
u
0 , ) ( 1 ) ( ) (
/
.

The probability of an event can be found by direct integration or by the use of cdf or sdf.

E.58 Let Y have an Exponential Distribution with mean .

a. Solve the equation for ) ( ) ( c Y P c Y P > = for c .

b. Also solve the equation 1 ) ( 2 = c Y P for c

c. Interpret your results in (a) and (b).


E.59 Accidents occur at an intersection at an average rate of t per t unit of time.
a. What is the probability that no accident happens in t unit of time?
b. Find the probability that two consecutive accidents occur more than kt unit of time apart .

Solution:

a. ( 0)
t
P X e

= =
b. ( ) [ ( 0)]
k
t
P W kt P X > = =

E.60 Let
2
~ ( , ). X N Prove that x z

= + where x

is the 100(1 )-th percentile of

the distribution of . X


















28
Chapter E: Continuous Random Variables


Formulae for Chapter E


E. Continuous Probability Distributions

For a continuous random variable X with pdf ( )
X
f x we have the following:
E.1 ( ) ( ) , ( ) ( ) .
b k
X
a
P a X b f x dx F k f x dx

< < = =


E.2 ( ) ( ) . E X x f x dx

=


E.3
2 2 2 2 2
( ) ( ) , ( ) ( ) . E X x f x d x V X E X

= =

E.4 The Normal Distribution
2
( , ): N ( ) , E X =
2
( ) . V X =

E.5 The Exponential Distribution:
/
1
( ) , 0,
x
f x e x

= ( ) , E X =
2
( ) . V X =

E.6 Waiting Time Distribution: ( ) , 0,
t
f t e t

= ( ) 1/ , E T =
2
( ) 1/ , V T =

E.7 The Gamma Distribution:
1 /
1
( ) x , 0 , 0 , 0
( )
x
f x e x

= < < <

( ) , E X =

2
( ) . V X =






















29
Chapter E: Continuous Random Variables


30
Chapter E: Continuous Random Variables




31
Chapter E: Continuous Random Variables