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HELM   (Helping   Engineers   Learn   Mathematics)   materials   were   the   outcome   of   a   three-­‐year   curriculum  
development  project  undertaken  by  a  consortium  of  five  English  universities  led  by  Loughborough  University,  
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and  Learning  for  the  period  October  2002  –  September  2005,  with  additional  transferability  funding  October  
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HELM  Workbooks  List  

1   Basic  Algebra   26   Functions  of  a  Complex  Variable  
2   Basic  Functions   27   Multiple  Integration  
3   Equations,  Inequalities  &  Partial  Fractions   28   Differential  Vector  Calculus  
4   Trigonometry   29   Integral  Vector  Calculus  
5   Functions  and  Modelling   30   Introduction  to  Numerical  Methods  
6   Exponential  and  Logarithmic  Functions   31   Numerical  Methods  of  Approximation  
7   Matrices   32   Numerical  Initial  Value  Problems  
8   Matrix  Solution  of  Equations   33   Numerical  Boundary  Value  Problems  
9   Vectors   34   Modelling  Motion  
10   Complex  Numbers   35   Sets  and  Probability  
11   Differentiation   36   Descriptive  Statistics  
12   Applications  of  Differentiation   37   Discrete  Probability  Distributions  
13   Integration   38   Continuous  Probability  Distributions  
14   Applications  of  Integration  1   39   The  Normal  Distribution  
15   Applications  of  Integration  2   40   Sampling  Distributions  and  Estimation  
16   Sequences  and  Series   41   Hypothesis  Testing  
17   Conics  and  Polar  Coordinates   42   Goodness  of  Fit  and  Contingency  Tables  
18   Functions  of  Several  Variables   43   Regression  and  Correlation  
19   Differential  Equations   44   Analysis  of  Variance  
20   Laplace  Transforms   45   Non-­‐parametric  Statistics  
21   z-­‐Transforms   46   Reliability  and  Quality  Control  
22   Eigenvalues  and  Eigenvectors   47   Mathematics  and  Physics  Miscellany  
23   Fourier  Series   48   Engineering  Case  Study  
24   Fourier  Transforms   49   Student’s  Guide  
25   Partial  Differential  Equations   50   Tutor’s  Guide  
 
©  Copyright    Loughborough  University,  2015
 
 
 
Production  of  this  2015  edition,  containing  corrections  and  minor  
revisions  of  the  2008  edition,  was  funded  by  the  sigma  Network.    

 
 
 
Contents 38
Continuous Probability
Distributions

38.1 Continuous Probability Distributions 2

38.2 The Uniform Distribution 18
38.3 The Exponential Distribution 23

Learning outcomes
In this Workbook you will learn what a continuous random variable is. You wll find out how
to determine the expectation and variance of a continuous random variable which are
measures of the centre and spread of the distribution. You will learn about two distributions
important in engineering - uniform and exponential.
Continuous
Probability  

Distributions 38.1 

Introduction
It is often possible to model real systems by using the same or similar random experiments and
their associated random variables. Random variables may be classified in two distinct categories
called discrete random variables and continuous random variables. Discrete random variables can
take values which are discrete and which can be written in the form of a list. In contrast, continuous
random variables can take values anywhere within a specified range. This Section will familiarize
you with continuous random variables and their associated probability distributions. This Workbook
makes no attempt to cover the whole of this large and important branch of statistics. The most
commonly met continuous random variables in engineering are the Uniform, Exponential, Normal and
Weibull distributions. The Uniform and Exponential distributions are introduced in Sections 38.2 and
38.3 while the Normal distribution and the Weibull distribution are covered in 39 and
46 respectively.

 
• understand the concepts of probability
Prerequisites
• be familiar with the concepts of expectation
Before starting this Section you should . . . and variance

' 
$
• explain what is meant by the term continuous
random variable

Learning Outcomes • explain what is meant by the term continuous

probability distribution
On completion you should be able to . . .
• use two continuous distributions which are
important to engineers
& %

2 HELM (2015):
Workbook 38: Continuous Probability Distributions
 ®

1. Continuous probability distributions

In order to get a good understanding of continuous probability distributions it is advisable to start by
answering some fairly obvious questions such as: “What is a continuous random variable?” “Is there
any carry over from the work we have already done on discrete random variables and distributions?”
We shall start with some basic concepts and definitions.

Continuous random variables

In day-to-day situations met by practising engineers, experiments such as measuring current in a
piece of wire or measuring the dimensions of machined components play a part. However closely an
engineer tries to control an experiment, there will always be small variations in the results obtained
due to many factors: the influence of factors outside the control of the engineer. Such influences
include changes in ambient temperature which may affect the accuracy of measuring devices used,
slight variation in the chemical composition of the materials used to produce the objects (wire,
machined components in this case) under investigation. In the case of machined components, many
of the small variations seen in measurements may be due to the influence of vibration, cutting tool
wear in the machine producing the component, changes in raw material used and the process used
to refine it and even the measurement process itself!
Such variations (current and length for example) can be represented by a random variable and it is
customary to define an interval, finite or infinite, within which variation can take place. Since such
a variable (X say) can assume any value within an interval we say that the variable is continuous
rather than discrete. - its values form an entity we can think of as a continuum.
The following definition summarizes the situation.

Definition
A random variable X is said to be continuous if it can assume any value in a given interval. This
contrasts with the definition of a discrete random variable which can only assume discrete values.

Practical example
This example will help you to see how continuous random variables arise and will help you to distin-
guish between continuous and discrete random variables.
Consider a de-magnetised compass needle mounted at its centre so that it can spin freely. Its initial
position is shown in Figure 1(a). It is spun clockwise and when it comes to rest the angle θ, from
the vertical, is measured. See Figure 1(b).

(a) (b)
Figure 1

HELM (2015): 3
Section 38.1: Continuous Probability Distributions
Let X be the random variable
“angle θ measured after each spin”
Firstly, note that X is a random variable since it can take any value in the interval 0 to 2π and
we cannot be sure in advance which value it will take. However, after each spin and thinking in
probability terms, there are certainly two distinct questions we can ask.

• What is the probability that X lies between two values a, b, i.e. what is P(a < X < b)?

• What is the probability that X assumes a particular value, say c. We are really asking what is
the value of P(X = c)?

The first question is easy to answer provided we assume that the probability of the needle coming to
rest in a given interval is given by the formula:
Given interval in radians Given interval in radians
Probability = =
Total interval in radians 2π
The following results are easily obtained and they clearly coincide with what we intuitively feel is
correct:
 π 1
(a) P 0 < X < = since the interval (0, π/2) covers one quarter of a full circle
2 4
π  3
(b) P < X < 2π = since the interval (π/2, 2π) covers three quarters of a full circle.
2 4
It is easy to see the generalization of this result for the interval (a, b), in which both a, b lie in the
interval (0, 2π) :
b−a
P(a < X < b) =
2π
The second question immediately presents problems! In order to answer a question of this kind would
require a measuring device (e.g. a protractor) with infinite precision: no such device exists nor could
one ever be constructed. Hence it can never be verified that the needle, after spinning, takes any
particular value; all we can be reasonably sure of is that the needle lies between two particular
values.
We conclude that in experiments of this kind we never determine the probability that the random
variable assume a particular value but only calculate the probability that it lies within a given range of
values. This kind of random variable is called a continuous random variable and it is characterised,
not by probabilities of the type P(X = c) (as was the case with a discrete random variable), but by
a function f (x) called the probability density function (pdf for short). In the case of the rotating
needle this function takes the simple form given with corresponding plot:

f (x)
( 1 1
, 0 ≤ x < 2π 2π
f (x) = 2π Area = 1
0, elsewhere
2π x

(a) Definition of the pdf (b) Plot of the pdf

Figure 2

4 HELM (2015):
Workbook 38: Continuous Probability Distributions
 ®

The probability P(a < X < b) is the area under the function curve f (x) and so is given by the
integral
Z b
f (x)dx
a
π π
Suppose we wanted to find P <X< . Then using the definition of the pdf for this case:
6 4
π π   π4
π 1 x 1 hπ π i 1 π 1
Z
4
P <X< = dx = = − = × =
6 4 π
6
2π 2π π 2π 4 6 2π 12 24
6

π π
This is reasonable since the interval ( , ) is one twenty-fourth of the interval 0 to 2π.
6 4
In general terms we have
Z b
b−a
P(a < X < b) = f (t)dt = F (b) − F (a) =
a 2π
for the pdf under consideration here. Note also that

(a) f (x) ≥ 0, for all real x

∞ 2π
1
Z Z
(b) f (x) dx = dx = 1, i.e. total probability is 1.
−∞ 0 2π

We are now in a position to give a formal definition of a continuous random variable in Key Point 1.

Key Point 1
X is said to be a continuous random variable if there exists a function f (x) associated with X
called the probability density function with the properties
• f (x) ≥ 0 for all x
Z ∞
• f (x)dx = 1
−∞
Z b
• P(a < X < b) = f (x)dx = F (b) − F (a)
a

X first two bullet points in Key Point 1 are the analogues of the results P(X = xi ) ≥ 0 and
The
P(X = xi ) = 1 for discrete random variables.
i

HELM (2015): 5
Section 38.1: Continuous Probability Distributions
 Task
Which of the following are not probability density functions?
f (x) f (x)
1 1

(i) (ii)

1 x 2 x

( 10
x2 − 4x + , 0≤x≤3
(iii) f (x) = 3
0, elsewhere

Check whether the first two statements in Key Point 1 are satisfied for each pdf above:
Your solution
For (i)

Answer 
x, 0 ≤ x ≤ 1
(i) We can write f (x) =
0, elsewhere
Z ∞ Z 1
1
f (x) ≥ 0 for all x but f (x) dx = x dx = =6 1.
−∞ 0 2
Thus this function is not a valid probability density function because the integral’s value is not 1.

Your solution
For (ii)

6 HELM (2015):
Workbook 38: Continuous Probability Distributions
 ®

Answer
(ii)
1

 1 − x, 0 ≤ x ≤ 2

Note that f (x) = 2 f (x) ≥ 0 for all x

0, elsewhere

Z ∞ Z 2 2
x2
 
1
f (x) dx = 1 − x dx = x − =2−1=1
−∞ 0 2 4 0
1
(Alternatively, the area of the triangle is × 1 × 2 = 1)
2
This implies that f (x) is a valid probability density function.

Your solution
For (iii)

Answer
(iii)
Z ∞ 3    3 3
10 x 10
Z
2 2
f (x) dx = x − 4x + dx = − 2x + x = (9 − 18 + 10) = 1
−∞ 0 3 3 3 0
but f (x) < 0 for 1 ≤ x ≤ 3. Hence (iii) is not a pdf.

Task
Find the probability that X takes a value between −1 and 1 when the pdf is given
by the following figure.

f (x)
1/2

−2 2 x

HELM (2015): 7
Section 38.1: Continuous Probability Distributions
First find k:
Your solution

Answer
Z ∞
1
f (x) dx = area under curve = area of triangle = × 4 × k = 2k
−∞ 2
Z ∞
1
Also f (x) dx = 1, so 2k = 1 hence k =
−∞ 2

State the formula for f (x):

Your solution

Answer
1 1
− x, 0 ≤ x ≤ 2


2 4






f (x) = 1 1
+ x, −2 ≤ x < 0
2 4







 0, elsewhere.

Write down an integral to represent P(−1 < X < 1). Use symmetry to evaluate the integral.
Your solution

Answer
Z 1 1    1  
1 1 1 1 1 1 3
Z
f (x) dx = 2 − x dx = 2 x − x2 =2 − =
−1 0 2 4 2 8 0 2 8 4

8 HELM (2015):
Workbook 38: Continuous Probability Distributions
 ®

The cumulative distribution function

Analogous to the formula for the cumulative distribution function:
X
F (x) = P(X = xi )
xi ≤x

used in the case of a discrete random variable X with associated probabilities P(X = xi ), we define
a cumulative probability distribution function F (x) by means of the integral (being a form of a
sum):
Z x
F (x) = f (t)dt
−∞

The cdf represents the probability of observing a value less than or equal to x.

Task
For the pdf in the diagram below

f (x)
1/2

−2 2 x

obtain the cdf and verify the result obtained in the previous Task for
P (−1 ≤ X ≤ 1).

Your solution

HELM (2015): 9
Section 38.1: Continuous Probability Distributions
Answer 

 0, x ≤ −2





 1 1 1
+ x + x2 −2 < x < 0


2 2 8


F (x) =
 1 1 1
+ x − x2 0 < x ≤ 2



2 2 8







 1 x≥2
   
1 1 1 1 1 1
P(−1 ≤ x ≤ 1) = F (1) − F (−1) = + = − − +
2 2 8 2 4 8
1 1 1 1 3
= + − − = .
2 2 8 8 4

10 HELM (2015):
Workbook 38: Continuous Probability Distributions
 ®

Example 1
Traditional electric light bulbs are known to have a mean lifetime to failure of 2000
hours. It is also known that the distribution function p(t) of the time to failure
takes the form
p(t) = 1 − e−t/µ
where µ is the mean time to failure. You will see if you study the topic of reliability
in more detail that this is a realistic distribution function. The reliability function
r(t) , giving the probability that the light bulb is still working at time t, is defined
as
r(t) = 1 − p(t) = e−t/µ
Find the proportion of light bulbs that you would expect to fail before 1500 hours
and the proportion you would expect to last longer than 2500 hours.

Solution
Let T be the random variable ‘time to failure’.
The proportion of bulbs expected to fail before 1500 hours is given as
P(T < 1500) = 1 − e−1500/2000 = 1 − e−3/4 = 1 − 0.4724 = 0.5276
The proportion of bulbs expected to last longer that 2500 hours is given as
P(T > 2500) = 1 − P(T ≤ 2500) = e−2500/2000 = e−5/4 = 0.2865.
Using r(t) = 1 − p(t) we have r(2500) = 0.2865.
Hence we expect just under 53% of light bulbs to fail before 1500 hours service and just under 29%
of light bulbs to give over 2500 hours service.

Mean and variance of a continuous distribution

You will probably have realised by now that, essentially, the definitions of discrete and continuous
random variables are virtually the same provided we use the analogues given in the following table:
Quantity Discrete Variable Continuous Variable

Probability P(X = x) f (x)dx

Allowed Values P = x) ≥ 0
P(X Rf (x) ≥ 0
Summation P = x)
P(X f (x)dx
Expectation E(X)P= xP(X = x) ?
Variance V(X) = (x − µ)2 P(X = x) ?
Completing the above table of analogues to write down the mean and variance of a continuous
variable leads to the obvious definitions given in Key Point 2:

HELM (2015): 11
Section 38.1: Continuous Probability Distributions
 Key Point 2
Let X be a continuous random variable with associated pdf f (x). Then its expectation and variance
denoted by E(X) (or µ) and V(X) (or σ 2 ) respectively are given by:
Z ∞
µ = E(X) = x f (x)dx
−∞

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

As with discrete random variables the variance V(X) can be written in an alternative form, more
amenable to calculation:
V(X) = E(X 2 ) − [E(X)]2
Z ∞
2
where E(X ) = x2 f (x)dx.
−∞

Task
For the variable X with pdf
1

 x, 0 ≤ x ≤ 2

f (x) = 2

0, elsewhere


find E(X) and then V(X).

First find E(X):

Your solution

Answer
2  2
1 1 3 8 4
Z
E(X) = x.x dx = x = = .
0 2 6 0 6 3

Now find E(X 2 ):

Your solution

12 HELM (2015):
Workbook 38: Continuous Probability Distributions
 ®

Answer
2  2
1 2 1 4
Z
2
E(X ) = x.x dx = x = 2.
0 2 8 0

Now find V(X):

Your solution

Answer

V(X) = E(X 2 ) − {E(X)}2

16 2
= 2− = .
9 9

Task
The mileage (in 1000s of miles) for which a certain type of tyre will last is a random
variable with pdf
1

 e−x/20 , for all x > 0

f (x) = 20

0 for all x < 0


Find the probability that the tyre will last

(a) at most 10,000 miles;

(b) between 16,000 and 24,000 miles;
(c) at least 30,000 miles.

Your solution

HELM (2015): 13
Section 38.1: Continuous Probability Distributions
 Answer
Z b
(a) P(a < X < b) = f (x)dx
a

Z 10
P(X < 10) = f (x) dx
−∞

10  10
1 −x/20
Z
−x/20
= e dx = −e = 0.393
0 20 0

24  24
1 −x/20
Z
−x/20
(b) P(16 < X < 24) = e dx = − e = −e−1.2 + e−0.8 = 0.148
16 20 16
Z ∞  ∞
1 −x/20
(c) P(X > 30) = e dx = − e−x/20 = e−1.5 = 0.223
30 20 30

Important continuous distributions

There are a number of continuous distributions which have important applications in engineering and
science. The areas of application and a little of the history (where appropriate) of the more important
and useful distributions will be discussed in the later Sections and other Workbooks devoted to each
of the distributions. Among the most important continuous probability distributions are:
(a) the Uniform or Rectangular distribution, where the random variable X is restricted to a
finite interval [a, b] and f (x) has constant density often defined by a function of the form:
 1
 , a≤x≤b
b − a

f (x) =

0

otherwise
( 38.2)
(b) the Exponential distribution defined by a probability density function of the form:
f (t) = λe−λt λ is a given constant
( 38.3)
(c) the Normal distribution (often called the Gaussian distribution) where the random variable
X is defined by a probability density function of the form:
1 2 2
f (x) = √ e−(x−µ) /2σ µ, σ are given constants
σ 2π
( 39)
(d) the Weibull distribution where the random variable X is defined by a probability density
function of the form:
β
f (x) = αβ(αx)β−1 e−(αx) α, β are given constants
( 46.1)

14 HELM (2015):
Workbook 38: Continuous Probability Distributions
 ®

Exercises
√ √
1. A target is made of three concentric circles of radii 1/ 3, 1 and 3 metres. Shots within
the inner circle count 4 points, within the middle band 3 points and within the outer band 2
points. (Shots outside the target count zero.) The distance of a shot from the centre of the
2
target is a random variable R with density function f (r) = , r > 0. Calculate the
π(1 + r2 )
expected value of the score after five shots.

2. A continuous random variable T has the following probability density function.


 0 (u < 0)
fT (u) = 3(1 − u/k) (0 ≤ u ≤ k) .
0 (u > k)


Find

(a) k.
(b) E(T ).
(c) E(T 2 ).
(d) V(T ).

3. A continuous random variable X has the following probability density function


 0 (u < 0)
fX (u) = ku (0 ≤ u ≤ 1)
0 (u > 1)


(a) Find k.
(b) Find the distribution function FX (u).
(c) Find E(X).
(d) Find V(X).
(e) Find E(eX ).
(f) Find V(eX ).
(g) Find the distribution function of eX . (Hint: For what values of X is eX < u?)
(h) Find the probability density function of eX .
(i) Sketch fX (u).
(j) Sketch FX (u).

HELM (2015): 15
Section 38.1: Continuous Probability Distributions
Answers
1.
  Z √1   √1
1 3 2 2 −1
3
P (inner circle) = P 0 < r < √ = dr = tan r
3 0 π(1 + r2 ) π 0
2 1 2 π
  1
= tan−1 √ = =
π 3 π 6 3

 
1
P (middle band) = P √ <r<1
3
 1
2 2 2 1 1
Z
−1
= 2
dr = tan r = tan−1 1 − = .
1
√ π(1 + r ) π √1 π 3 6
3 3

√ 3
√ √

2 2 1 1
P(outer band) = P(1 < r < 3) = tan−1 r = tan−1 3 − =
π 1 π 2 6
1 1 1 1
P(miss target) = 1 − − − =
6 6 3 3
Let S be the random variable equal to ‘score’.
s 0 2 3 4
P(S = s) 1 /3 1 /6 1 /6 1 /3
2 3 4 13
E(S) = 0 + + + =
6 6 3 6
13


The expected score after 5 shots is this value times 5 which is: = 5 6
= 10.83.
2.
k k
u2
Z  
(a) 1= 3(1 − u/k) du = 3 u − = 3(k − k/2) so k = 2/3.
0 2k 0
Z 2/3 Z 2/3
(b) E(T ) = 3u(1 − 3u/2) du = 3 u − 3u2 /2 du
0 0

3 2/3
u2 u 6−4
     
2 4 2
3 − =3 − =3 = .
2 2 0 9 27 27 9
Z 2/3 Z 2/3
2 2
(c) E(T ) = 3u (1 − 3u/2) du = 3 u2 − 3u3 /2 du
0 0
2/3
u3 3u4 8−6
    
8 6 2
=3 − =3 − =3 =
3 8 0 81 81 81 27
2 4 2
(d) V(T ) = E(T 2 ) − {E(T )}2 = − = .
27 81 81

16 HELM (2015):
Workbook 38: Continuous Probability Distributions
 ®

Answers
3.
1 1
ku2

k
Z
(a) 1= ku du = = , so k = 2.
0 2 0 2

 0 (u < 0)
2
FX (u) = u (0 ≤ u ≤ 1)
1 (1 < u)

Z 1  3 1
2 2u 2
(b) E(X) = 2u du = = .
0 3 0 3
Z 1  4 1
2u 1 1 4 1
(c) E(X 2 ) = 2u3 du = = . so V(X) = E(X 2 ) − {E(X)}2 = − = .
0 4 0 2 2 9 18
Z 1  1 Z 1  1
X u u u u u
(e) E(e ) = 2ue du = 2ue −2 e du = 2ue − 2e = 2e − 2e + 2 = 2
0 0 0 0
Z 1  1 Z 1  1
2X 2u 2u 2u 2u
(f) E(e )= 2ue du = ue − e du = ue − e /2 = e2
2u
0 0 0 0
X 2X
= e2 /2 + 1/2 = (e2 + 1)/2 so V(e ) = E(e ) − {E(e )} = (e2 + 1)/2 − 4.
X 2

(g) P(eX < u) = P(X < ln u) = (ln u)2 for 0 < ln u < 1, i.e. 1 < u < e.

 0 (u < 1)
X 2
Hence the distribution function of e is FeX (u) = (ln u) ( ≤ u ≤ e)
1 (e < u)


 0 (u < 1)


2 ln u
(h) The pdf of eX is feX (u) = ( ≤ u ≤ e)
 u

0 (e < u)

(i) Sketch of pdf:

fX (u) 2 6

1 u
-
0

(j) Sketch of distribution function:

FX (u) 1 6

1 u
-
0

HELM (2015): 17
Section 38.1: Continuous Probability Distributions
The Uniform  

Distribution 38.2 

Introduction
This Section introduces the simplest type of continuous probability distribution which features a
continuous random variable X with probability density function f (x) which assumes a constant
value over a finite interval.

' $
• understand the concepts of probability

• be familiar with the concepts of expectation

Prerequisites and variance
Before starting this Section you should . . . • be familiar with the concept of continuous
probability distribution
&
# %
• explain what is meant by the term uniform
distribution
Learning Outcomes
On completion you should be able to . . . • calculate the mean and variance of a uniform
distribution
" !

18 HELM (2015):
Workbook 38: Continuous Probability Distributions
 ®

1. The uniform distribution

The Uniform or Rectangular distribution has random variable X restricted to a finite interval [a, b]
and has f (x) a constant over the interval. An illustration is shown in Figure 3:

f (x)

1
b−a

x
a b

Figure 3
The function f (x) is defined by:
 1
 , a≤x≤b
b − a

f (x) =


0 otherwise

Mean and variance of a uniform distribution

Using the definitions of expectation and variance leads to the following calculations. As you might
expect, for a uniform distribution, the calculations are not difficult.
Using the basic definition of expectation we may write:
Z ∞ Z b  b
1 1
E(X) = xf (x) dx = x dx = x2
−∞ a b−a 2(b − a) a
b − a2
2
=
2(b − a)
b+a
=
2
Using the formula for the variance, we may write:

V(X) = E(X 2 ) − [E(X)]2

Z b  2  b  2
2 1 b+a 1 3 b+a
= x. dx − = x −
a b−a 2 3(b − a) a 2
2
b 3 − a3
 
b+a
= −
3(b − a) 2
2 2
b + ab + a b2 + 2ab + a2
= −
3 4
(b − a)2
=
12

HELM (2015): 19
Section 38.2: The Uniform Distribution
 Key Point 3
The Uniform random variable X whose density function f (x) is defined by
 1
 , a≤x≤b
f (x) = b − a



0 otherwise
has expectation and variance given by the formulae
b+a (b − a)2
E(X) = and V(X) =
2 12

Example 2
The current (in mA) measured in a piece of copper wire is known to follow a uniform
distribution over the interval [0, 25]. Write down the formula for the probability
density function f (x) of the random variable X representing the current. Calculate
the mean and variance of the distribution and find the cumulative distribution
function F (x).

Solution
Over the interval [0, 25] the probability density function f (x) is given by the formula
 1
 = 0.04, 0 ≤ x ≤ 25
f (x) = 25 − 0



0 otherwise
Using the formulae developed for the mean and variance gives
25 + 0 (25 − 0)2
E(X) = = 12.5 mA and V(X) = = 52.08 mA2
2 12
The cumulative distribution function is obtained by integrating the probability density function as
shown below.
Z x
F (x) = f (t) dt
−∞

Hence, choosing the three distinct regions x < 0, 0 ≤ x ≤ 25 and x > 25 in turn gives:

 0,
 x<0
x
F (x) = 0 ≤ x ≤ 25
 25

1 x > 25

20 HELM (2015):
Workbook 38: Continuous Probability Distributions
 ®

Task
The thickness x of a protective coating applied to a conductor designed to work in
corrosive conditions follows a uniform distribution over the interval [20, 40] microns.
Find the mean, standard deviation and cumulative distribution function of the
thickness of the protective coating. Find also the probability that the coating is
less than 35 microns thick.

Your solution

Answer
Over the interval [20, 40] the probability density function f (x) is given by the formula

0.05, 20 ≤ x ≤ 40
f (x) =
0 otherwise
Using the formulae developed for the mean and variance gives
p 20
E(X) = 10 µm and σ = V(X) = √ = 5.77 µm
12
The cumulative distribution function is given by
Z x
F (x) = f (x) dx
−∞

Hence, choosing appropriate ranges for x, the cumulative distribution function is obtained as:


 0, x < 20



x − 20

F (x) = 20 ≤ x ≤ 40


 20


x ≥ 40

1
Hence the probability that the coating is less than 35 microns thick is
35 − 20
F (x < 35) = = 0.75
20

HELM (2015): 21
Section 38.2: The Uniform Distribution
 Exercises
1. In the manufacture of petroleum the distilling temperature (T ◦ C) is crucial in determining the
quality of the final product. T can be considered as a random variable uniformly distributed over
150◦ C to 300◦ C. It costs £C1 to produce 1 gallon of petroleum. If the oil distills at temperatures
less than 200◦ C the product sells for £C2 per gallon. If it distills at a temperature greater than
200◦ C it sells for £C3 per gallon. Find the expected net profit per gallon.

2. Packages have a nominal net weight of 1 kg. However their actual net weights have a uniform
distribution over the interval 980 g to 1030 g.

(a) Find the probability that the net weight of a package is less than 1 kg.
(b) Find the probability that the net weight of a package is less than w g, where 980 < w <
1030.
(c) If the net weights of packages are independent, find the probability that, in a sample of
five packages, all five net weights are less than wg and hence find the probability density
function of the weight of the heaviest of the packages. (Hint: all five packages weigh less
than w g if and only if the heaviest weighs less that w g).
Answers
1.
1 1 2
P(X < 200) = 50 × = P(X > 200) =
150 3 3
Let F be a random variable defining profit.
F can take two values £(C2 − C1 ) or £(C3 − C1 )
x C2 − C1 C3 − C1
1 2
P(F = x) /3 /3
 
C2 − C1 2 C2 − 3C1 + 2C3
E(F ) = + [C3 − C1 ] =
3 3 3
2.
1000 − 98 20
(a) The required probability is P(W < 1000) = = = 0.4
1030 − 980 50
w − 980 w − 980
(b) The required probability is P(W < w) = =
1030 − 980 50
 5
w − 980
(c) The probability that all five weigh less than w g is so the pdf of the
50
heaviest is
 5  4  4
d w − 980 5 w − 980 w − 980
= = 0.1 for 980 < w < 1030.
dw 50 50 50 50

22 HELM (2015):
Workbook 38: Continuous Probability Distributions
 ®

The Exponential  

Distribution 38.3 

Introduction

If an engineer is responsible for the quality of, say, copper wire for use in domestic wiring systems,
he or she might be interested in knowing both the number of faults in a given length of wire and
also the distances between such faults. While the number of faults may be analysed by using the
Poisson distribution, the distances between faults along the wire may be shown to give rise to the
exponential distribution defined and used in this Section.

' $
• understand the concepts of probability

• be familiar with the concepts of expectation

Prerequisites and variance

Before starting this Section you should . . . • be familiar with the concepts of continuous
distributions, in particular the Poisson
distribution.
& %
' $
• understand what is meant by the term
exponential distribution

Learning Outcomes • calculate the mean and variance of an

exponential distribution
On completion you should be able to . . .
• use the exponential distribution to solve
simple practical problems
& %

HELM (2015): 23
Section 38.3: The Exponential Distribution
1. The exponential distribution
The exponential distribution is defined by
f (t) = λe−λt t≥0 λ a constant
or sometimes (see the Section on Reliability in 46) by
1 −t/µ
f (t) = e t≥0 µ a constant
µ
The advantage of this latter representation is that it may be shown that the mean of the distribution
is µ.

Example 3
The lifetime T (years) of an electronic component is a continuous random variable
with a probability density function given by
f (t) = e−t t≥0 (i.e. λ = 1 or µ = 1)
Find the lifetime L which a typical component is 60% certain to exceed. If five
components are sold to a manufacturer, find the probability that at least one of
them will have a lifetime less than L years.

Solution
We require P(T > L) = 0.6. We know that this probability is given by the relationship
Z ∞  ∞
−t −t
P(T > L) = e dt = − e = e−L
L L
−L
Solving e = 0.6 for the least value of L we obtain L = 0.51 years.
Assuming that the lifetime of each component is independent we have
P(at least one component has a lifetime less than 0.51 years)
= 1 − P(no component has a lifetime less than 0.51 years)
= 1 − 0.65
= 0.92

24 HELM (2015):
Workbook 38: Continuous Probability Distributions
 ®

Task
Commonly, car cooling systems are controlled by electrically driven fans. Assuming
that the lifetime T in hours of a particular make of fan can be modelled by an
exponential distribution with λ = 0.0003 find the proportion of fans which will
give at least 10000 hours service. If the fan is redesigned so that its lifetime may
be modelled by an exponential distribution with λ = 0.00035, would you expect
more fans or fewer to give at least 10000 hours service?

Your solution

Answer
We know that f (t) = 0.0003e−0.0003t so that the probability that a fan will give at least 10000 hours
service is given by the expression
Z ∞ Z ∞  ∞
−0.0003t −0.0003t
P(T > 10000) = f (t) dt = 0.0003e dt = − e = e−3 ≈ 0.0498
10000 10000 10000

Hence about 5% of the fans may be expected to give at least 10000 hours service. After the redesign,
the calculation becomes
Z ∞ Z ∞  ∞
−0.00035t −0.00035t
P(T > 10000) = f (t) dt = 0.00035e dt = − e = e−3.5 ≈ 0.0302
10000 10000 10000

and so only about 3% of the fans may be expected to give at least 10000 hours service.
Hence, after the redesign we expect fewer fans to give 10000 hours service.

HELM (2015): 25
Section 38.3: The Exponential Distribution
 Exercises
1. The time intervals between successive barges passing a certain point on a busy waterway have
an exponential distribution with mean 8 minutes.

(a) Find the probability that the time interval between two successive barges is less than 5
minutes.
(b) Find a time interval t such that we can be 95% sure that the time interval between two
successive barges will be greater than t.

2. It is believed that the time X for a worker to complete a certain task has probability density
function fX (x) where


0 (x ≤ 0)
fX (x) = 2 −λx
kx e (x > 0)

where λ is a parameter, the value of which is unknown, and k is a constant which depends on
λ.
Z ∞
n
(a) Show that if In = xn e−λx dx then In = In−1 , where n > 0 and λ > 0.
0 λ
Z ∞
Evaluate I0 = e−λx dx and hence find a general expression for In .
0

This result can be used in the rest of this question.

(b) Find, in terms of λ, the value of k.
(c) Find, in terms of λ, the expected value of X.
(d) Find, in terms of λ, the variance of X.
(e) Write down the expected value and variance of the sample mean of a sample of n inde-
pendent observations on X.
(f) Find, in terms of λ, the expected value of X −1 .

26 HELM (2015):
Workbook 38: Continuous Probability Distributions
 ®

Answers
1. We have µ = 8 so λ = 0.125.

(a) The probability is

Z 5
P(T < 5) = 0.125e−0.125t dt = 1 − e−0.125×5 = 0.4647.
0

(b) We require
Z ∞
0.125e−0.125x dx = e−0.125t = 0.95.
t

So −0.125t = log 0.95 and

log 0.95
t=− = 0.4103.
0.125
That is, 24.6 s.

2.
∞  ∞ Z ∞
n n
Z
n −λx 1 n −λx
(a) In = x e dx = − x e + xn−1 e−λ dx = In−1
0 λ 0 λ 0 λ
Z ∞  ∞
−λx 1 −λx 1 n!
I0 = e dx = − e = hence In = n+1 .
0 λ 0 λ λ
Z ∞
1 λ3
(b) kx2 e−λx dx = 1 ⇒ kI2 = 1 ⇒ k = =
0 I2 2
Z ∞
λ3 6 3
(c) E(X) = xfX (x) dx = kI3 = 4
=
0 2 λ λ
Z ∞
λ3 24 12
(d) E(X 2 ) = x2 fX (x) dx = kI4 = 5
= 2
0 2 λ λ
12 9 3
so V(X) = E(X 2 ) − {E(X)}2 = 2
− 2 = 2
λ λ λ
3 3
(e) E(X̄) = V(X̄) =
λ nλ2
  Z ∞
1 1 λ3 1 λ
(f) E = fX (x) dx − kI1 = 2
=
X 0 x 2 λ 2

HELM (2015): 27
Section 38.3: The Exponential Distribution
NOTES  
 Index for Workbook 38

Component lifetime 24, 25 pdf - see ’Probability density function’

Conductor coating 21 Probability density function 4
Continuous probability distributions 3
Rectangular distribution 19
Continuous random variable 4
Cumulative distribution function 9 Spinner 3

Tyre mileage 13
Electric current 20
Electric fan 25 Uniform distribution 18-22
Expontential distribution 23-27 - mean 19
mean 24 - random variable 20
- variance 19
Lifetime 11, 13, 24, 25
EXERCISES
Light bulbs 11
15, 22, 26