QMT211

CONTINUOUS PROBABILITY DISTRIBUTIONS

Introduction
A random variable is a variable that assumes
numerical values associated with events of an
experiment.
Example: Random Experiment-Testing three
electrical items.
Random variable: Number of defective items
It can take the values 0,1,2,3.
Two types of random variables:
Discrete - assumes only countable number of
values.
Examples of discrete random variables:
1. Number of insurance claims made to a
company in a month.
2. Number of students who passed the
examination.
Continuous - assumes any value in some
intervals of real numbers. Examples of
continuous random variables
1. Amount of rainfall.
2. Time taken to complete a task.
Probability distribution for a Continuous
Random Variables
Density function
A continuous random variable is determined
by its density function (pdf- probability
density function).
A function f(x) is called the pdf of a
continuous random variable X if and only if it
satisfies the following properties:
1.
2.

f (x ) 0 for all

f ( x ) dx 1

x.

. that is the total area

under
the curve y=f(x) is 1.
The probability density function is a
theoretical model for the frequency
distribution of a population of measurements.

Finding Probability
If X is a continuous random variable,

P a X b

f ( x)dx .
a

and for any real x, P(X=x) = 0

f ( x)

x
a
b
Note:
1. P a x b P a x b P a x b
P a x b
2. f(a) P(X=a)
3. Probability statements regarding a
continuous random variable are meaningful
only if the integral defining the probability
exists.
Eg. 1
Determine whether the function below is a
probability density function.

6
a)

b)

if 1 x 6

f ( x ) 5x
0 otherwise

2 y 1 0 y 2
f ( y)
0 otherwise

Eg. 2
A continuous random variable X has p.d.f.

Page 1

QMT211

kx2 x 0 x 2
f ( x)
0 otherwise

Find

0 F x 1

1.

2. The gradient of F x is never negative.

F(x) is a non decreasing function.

a) the value of k
b) P1 X 1.5
c) P1 X 2.5

Hint: Always check your answer for common

sense.
~ probability always lies
in the range
0 p 1.
~ from the sketch, estimate the area.
Eg. 3
The loss due to a fire is modelled by a random
variable X with density function

0.005 20 x for 0 x 20
f ( x)
otherwise
0

for any real constants

ab

F ' ( x)

4.

and b with

dF x
f x
dx

wherever the derivative exists.

Eg. 4
Let Y have the probability density function
below:

Given that a fire loss exceeds 8, what is the

probability it exceeds 16 ?
Distribution Function or Cumulatiove
Distribution Function for a Continuous
Random Variable
If X is a continuous random variable with a
density function f, the distribution function
of X, denoted by F ( x ) is defined by
x

F ( x ) P ( X x ) f (t )dt .

and t is the variable of integration.

Distribution function is also known
cumulative distribution function (c.d.f)
f(x)

P a x b F b F a

3.

as

0 .2 1 y 0

f y 0.2 cy 0 y 1
0
elsewhere

a)
b)
c)
d)
e)

Eg. 5
The life span in hours of an electrical
component is a random variable with
cumulative distribution function

F(x) 1 e 50 , x 0
0
elsewhere

a)

F(X0)

b)
X0

For a cumulative distribution function, F x

Find c .
Find F y .
Graph f y and F y .
Use F y to find P 0 Y 0.5 .
Find P Y 0.5 Y 0.1 .

Determine the
probability density
function
Determine the probability that the life
span of such a component will exceed 70
hours.

Eg. 6

Page 2

QMT211
A petrol station operates two pumps, each of
which can pump up to 40000 litres of petrol in
a month. The total amount of petrol pumped
at the station in a month is a random variable
X (measured in tens of thousands of petrol)
with probability density function given by

1
0x4
16 x

1 1
f x x 4 x 8
2 16
0
elsewhere

Value

for

Continuous

random

The expected value of variable X, E(X), is the

long run theoretical average value of X. In a
statistical context, E(X) is also referred to as
the mean of X, . It indicates where the
centre of the density lies.
E X

xf ( x)dx

If g(x) is a function of x, then

E g ( X )

a) Graph f x .
b) Find the probability that the station
pumps between 30000 and 48000 litres in
a month.
c) Find the distribution function, F x and
graph the function.
d) Use the distribution function to find the
probability that the station pumps
between 30000 and 48000 litres in a
month.
e) Given that the station has pumped over
40000 litres for a particular month, find
the probability that the station pumped
over 60000 litres during the month.
Eg. 7
A continuous random variable
distribution function

0
1 x

8
1 3x
F x
8
5 x
8

Expected
Variables

X has the

x 1
1 x 0
0 x 2
2 x3
x 3

Find
a) the probability density function
b) P 3 2 X 5

g ( x) f ( x) dx

Variance
The variance measures the variability by
measuring the difference between the
variable and its mean.

V X 2 E( X ) 2 E X 2 2

where E X

f ( x )dx

Standard Deviation
Stdev X ,

VX

Eg. 8
Certain coded measurements of the pitch
diameter of threads of a fitting have the pdf

4
2 if 0 x 1
f (x) (1 x )
0
otherwise

Find the expected value of the diameter.

Eg. 9
X is a continuous random variable with density
function

|x|
if 2 x 4
f ( x) 10
0
otherwise

Calculate the expected value of X.

Page 3

QMT211

Eg. 10
Distribution function of a continuous random
variable X is

x0

2
ax

F x

0 x2

bx 2 2x - 2

where
a)
b)
c)

2 x3
x3

a and b are constants.

Find the value of a and b.
Find P(X > 5/3)
Determine the mean of X.

Theorems on expected value and variance.

Let c be a constant and let g(X), g 1(X),
g2(X), ... gk(X) be functions of X. The following
results hold:
1.
E(c) =c
2.

E(cg(X))=cE(g(X))

3.

E[g1(X)+g2(X)+ ... +gk(X)]

= E[g1(X)]+ E[g2(X)]+ ... E[gk(X)].

4.

V(g(X)=E[g(X)- g ( X ) ]2

b) Determine
i) the mean of X
ii) the variance of

iii) E 2 X 5
iv) V 2 X 1

Median of a Continuous Random Variable

The median of a continuous random variable X
is the value m such that
P(X m)=0.5
that is F(m)=0.5
or

f ( x) dx 0.5

Eg. 13
The pdf of a random variable Y is

6
2 if 2 y 3
f ( y) y

0 otherwise
Find the median of Y.

=E[g(X)]2 - (E[g(X)])2
Eg. 11
Using the above theorem and definition of
V(X) to prove that
a) V (X) = E (X2) [E(X)]2
b) E (aX + b) = a E(X) + b
c) V (aX+b) = a2 V(X)
Eg. 12
The probability density function of a random
variable X is given by

1
4

x
0

3
2

1
4
f x x
x 1
3
2

elsewhere
0

Eg. 14
A continuous random variable Y has the
distribution function

3 y2
17

F y

3
1 2y
17

y0
0 y 1
1 y 2
y2

Find

a) Find P 0.4 X 0.7

Page 4

QMT211
a) m, the median of Y correct to 2 decimal
places
b) P | Y m | 0.75 correct to 2 decimal
places.
Moment
Generating
Function
for
a
Continuous Random Variable
The probability distribution of a continuous
random variable may be described in terms of
a moment generating function rather than in
terms of a pdf or distribution function.
If X is a continuous random variable, the mgf
of X is given by
Mx(t)= E(etX)=

t x

f ( x ) dx

If M(t) exists for a particular probability

distribution, it is unique. This means that if
the moment generating function for random
variables Y and Z are the same, then Y and Z
must have the same probability distributions.
Application of Moment Generating Function
If the mgf of a random variable is known, the
mean and variance can obtained using the
results below.
Given Mx(t), E(X)= M(0) =
and

M(0)=E(X2)=2+2
Eg. 15
The moment generating function of random
variable X is given as

M X (t )

1 2t 1 1 t
e e
3
6 2

Find E(X).
Eg. 16
Let X be a random variable with density
function f given by

f ( x) 2e 2 x for

x0

Find the moment generating function of X.

Use the moment generating function to find
mean and variance of X.

dM
at t 0
dt

E(X2)= M(0) =

d 2M
at t 0
dt 2

In general the rth moment of X is given by

E(Xr)= Mr(0) where Mr is the rth derivative of

M.
The above can be proved as follows:

M( t ) e t x f ( x )dx
( tx ) 2
( tx ) 3

...]f ( x )dx
2!
3!
t2
2
f ( x )dx t xf ( x )dx
x f ( x )dx ...
2!
t2
1 tE( X)
E( X 2 ) ...
2!
[1 tx

It follows

M(0)=1
M(0)=E(X)=

Page 5