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STAT JAFOR SIR 21

The document discusses continuous probability distributions, focusing on uniform, exponential, and normal distributions. It provides definitions, probability density functions (pdf), examples, and calculations for mean, variance, and probabilities for each distribution type. Additionally, it explains the memoryless property of the exponential distribution and the standard normal distribution with relevant exercises and solutions.

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16 views8 pages

STAT JAFOR SIR 21

The document discusses continuous probability distributions, focusing on uniform, exponential, and normal distributions. It provides definitions, probability density functions (pdf), examples, and calculations for mean, variance, and probabilities for each distribution type. Additionally, it explains the memoryless property of the exponential distribution and the standard normal distribution with relevant exercises and solutions.

Uploaded by

trr367267
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Continuous distributions

Uniform distribution
A continuous random variable 𝑋𝑋 is said to have uniform distribution if it has the
following pdf:
1
𝑓𝑓(𝑥𝑥) = ; 𝑎𝑎 < 𝑥𝑥 < 𝑏𝑏
𝑏𝑏 − 𝑎𝑎

1
𝑏𝑏−𝑎𝑎

𝑓𝑓(𝑥𝑥)

0
𝑎𝑎 𝑥𝑥 𝑏𝑏

We write 𝑋𝑋~uniform(𝑎𝑎, 𝑏𝑏).

Example
Let 𝑋𝑋 be the amount (L) of milk you consume in a week. You collected data for 100
weeks and constructed the following histogram. Here, you can reasonably assume
that the population follows uniform(𝑎𝑎 = 0, 𝑏𝑏 = 4) distribution.
1 1
For the above problem, 𝑓𝑓(𝑥𝑥) = = ; 0 < 𝑥𝑥 < 4.
4−0 4

Mean and variance


1
𝐸𝐸(𝑋𝑋) = (𝑎𝑎 + 𝑏𝑏)
2
1
𝑉𝑉(𝑋𝑋) = (𝑏𝑏 − 𝑎𝑎)2
12

Exercise
Your brother calls you at 9:00 P.M. every day. The duration of the call is uniformly
distributed over 10 to 30 minutes. What is the probability that tomorrow’s call
duration will be (a) less than 20 minutes (b) more than 25 minutes (c) between 15
and 20 minutes?
Solution
𝑋𝑋 = duration of tomorrow’s call
𝑋𝑋~uniform(𝑎𝑎 = 10, 𝑏𝑏 = 30)
1 1
𝑓𝑓(𝑥𝑥) = = ; 10 < 𝑥𝑥 < 30
30 − 10 20
(a)
20
1
𝑃𝑃(𝑋𝑋 < 20) = � 𝑑𝑑𝑑𝑑 = 0.50
20
10

(b)
30
1
𝑃𝑃(𝑋𝑋 > 25) = � 𝑑𝑑𝑑𝑑 = 0.25
20
25

(c)
20
1
𝑃𝑃(15 < 𝑋𝑋 < 20) = � 𝑑𝑑𝑑𝑑 = 0.25
20
15
Exponential distribution
A continuous random variable 𝑋𝑋 is said to have exponential distribution if it has
the following pdf:
𝑓𝑓(𝑥𝑥) = 𝜆𝜆 𝑒𝑒 −𝜆𝜆𝜆𝜆 ; 0 < 𝑥𝑥 < ∞

𝑓𝑓(𝑥𝑥)

0 𝑥𝑥

We write 𝑋𝑋~ exponential(𝜆𝜆).

Example
Lifetime of a machine, waiting time for an event, etc. sometimes follow exponential
distribution.

Mean and variance


1
𝐸𝐸(𝑋𝑋) =
𝜆𝜆
1
𝑉𝑉(𝑋𝑋) = 2
𝜆𝜆
That is, mean and SD are equal.
Note
∞

𝑃𝑃(𝑋𝑋 > 𝑘𝑘) = � 𝜆𝜆 𝑒𝑒 −𝜆𝜆𝜆𝜆 𝑑𝑑𝑑𝑑 = 𝑒𝑒 −𝜆𝜆𝜆𝜆


𝑘𝑘

Exercise
Survival time after a particular operation follows exponential distribution with an
average survival time of 3 years. What is the probability that a patient will survive
at least 2 years?
Solution
𝑋𝑋 = survival time of the patient
𝑋𝑋~ exponential(𝜆𝜆 = 1/3)
∞
1 −1𝑥𝑥 1
𝑃𝑃(𝑋𝑋 > 2) = � 𝑒𝑒 3 𝑑𝑑𝑑𝑑 = 𝑒𝑒 −3(2) = 0.5134
3
2

Memoryless property
𝑃𝑃(𝑋𝑋 > 𝑠𝑠 + 𝑡𝑡 | 𝑋𝑋 > 𝑠𝑠) = 𝑃𝑃(𝑋𝑋 > 𝑡𝑡)
Proof
𝑃𝑃(𝑋𝑋 > 𝑠𝑠 + 𝑡𝑡 | 𝑋𝑋 > 𝑠𝑠)
𝑃𝑃(𝑋𝑋 > 𝑠𝑠 + 𝑡𝑡)
=
𝑃𝑃(𝑋𝑋 > 𝑠𝑠)
𝑒𝑒 −𝜆𝜆(𝑠𝑠+𝑡𝑡)
=
𝑒𝑒 −𝜆𝜆𝜆𝜆
= 𝑒𝑒 −𝜆𝜆𝜆𝜆
= 𝑃𝑃(𝑋𝑋 > 𝑡𝑡)
Explanation
Suppose, lifetime (𝑋𝑋) of television of a particular brand follows exponential
distribution. You bought a 2-year-old TV while your friend bought a new one.
According to the memoryless property:
𝑃𝑃(𝑋𝑋 > 2 + 3 | 𝑋𝑋 > 2) = 𝑃𝑃(𝑋𝑋 > 3)
This means, the probability that your 2-year-old TV will survive at least 3 more years
is equal to the probability that your friend’s new TV will survive at least 3 years.
That is, the system has ‘forgotten’ that your TV has already worked for 2 years.
Exercise
Survival time after a particular operation follows exponential distribution with an
average survival time of 3 years. If a patient has already survived 1 year, what is the
probability that (s)he will survive at least 2 more years?
Solution
𝑋𝑋 = survival time of the patient
𝑋𝑋~ exponential(𝜆𝜆 = 1/3)
𝑃𝑃(𝑋𝑋 > 1 + 2 | 𝑋𝑋 > 1)
= 𝑃𝑃(𝑋𝑋 > 2) [memoryless property]
∞
1 −1𝑥𝑥 1
(2)
=� 𝑒𝑒 3 𝑑𝑑𝑑𝑑 = 𝑒𝑒 −3
3
2

= 0.5134
Normal distribution
A continuous random variable 𝑋𝑋 is said to have normal distribution if it has the
following pdf:
1 1 𝑥𝑥−𝜇𝜇 2
− � �
𝑓𝑓(𝑥𝑥) = 𝑒𝑒 2 𝜎𝜎 , −∞ < 𝑥𝑥 < ∞, −∞ < 𝜇𝜇 < ∞, 𝜎𝜎 > 0
𝜎𝜎√2𝜋𝜋
The distribution is symmetric around 𝜇𝜇 and bell-shaped (see the plot below).

𝜇𝜇

We write 𝑋𝑋~ 𝑁𝑁(𝜇𝜇, 𝜎𝜎 2 ).


• Note that ‘normal’ is the name of the distribution. The word ‘normal’ is not an
adjective. There are no ‘abnormal’ distributions.

Example
Height, weight, measurement error, etc. sometimes follow normal distribution.

Mean and variance


𝐸𝐸(𝑋𝑋) = 𝜇𝜇
𝑉𝑉(𝑋𝑋) = 𝜎𝜎 2

Properties of the normal distribution


1. The normal curve is symmetric around 𝑋𝑋 = 𝜇𝜇 and bell-shaped.
2. Mean = median = mode = 𝜇𝜇.
Theorem
Let 𝑋𝑋~ 𝑁𝑁(𝜇𝜇, 𝜎𝜎 2 ). Then, 𝑌𝑌 = 𝑎𝑎𝑎𝑎 + 𝑏𝑏 ~ 𝑁𝑁(𝑎𝑎𝑎𝑎 + 𝑏𝑏, 𝑎𝑎2 𝜎𝜎 2 ).

Standard normal distribution


Let 𝑋𝑋~ 𝑁𝑁(𝜇𝜇, 𝜎𝜎 2 ). Then,
𝑋𝑋 − 𝜇𝜇
𝑍𝑍 = ~ 𝑁𝑁(0, 1)
𝜎𝜎
1 𝜇𝜇 1 𝜇𝜇 1 2
[By using the above theorem, 𝑍𝑍 = 𝑋𝑋 − ~ 𝑁𝑁 � 𝜇𝜇 − , � � 𝜎𝜎 2 �. That is,
𝜎𝜎 𝜎𝜎 𝜎𝜎 𝜎𝜎 𝜎𝜎
𝑍𝑍~𝑁𝑁(0, 1).]
The variable 𝑍𝑍 is called the standard normal random variable. The symbol 𝑍𝑍 is used
only when the variable follows 𝑁𝑁(0, 1) distribution. The cdf of 𝑍𝑍 is denoted by Φ(𝑧𝑧),
that is, Φ(𝑧𝑧) = 𝑃𝑃(𝑍𝑍 ≤ 𝑧𝑧).
Calculation of probability
We use “standard normal table” (also called 𝑍𝑍-table) to calculate probabilities of
normal distribution.
Example
Let 𝑋𝑋 follow a normal distribution with mean 50 and standard deviation 10. What is
the probability that the value of 𝑋𝑋 is (a) smaller than 40 (b) larger than 40 (c) between
40 and 70?
Solution
Here, 𝜇𝜇 = 50, 𝜎𝜎 = 10
(a)
𝑃𝑃(𝑋𝑋 < 40)
𝑋𝑋 − 50 40 − 50
= 𝑃𝑃 � < �
10 10
= 𝑃𝑃(𝑍𝑍 < −1.00)
= Φ(−1.00)
= 0.1587 (from Z-table)
(b)
𝑃𝑃(𝑋𝑋 > 40)
= 𝑃𝑃(𝑍𝑍 > −1.00)
= 1 − Φ(−1.00)
= 1 − 0.1587
= 0.8413
(c)
𝑃𝑃(40 < 𝑋𝑋 < 70)
40 − 50 𝑋𝑋 − 50 70 − 50
= 𝑃𝑃 � < < �
10 10 10
= 𝑃𝑃(−1 < 𝑍𝑍 < 2)
= Φ(2) − Φ(−1)
= 0.9772 − 0.1587
= 0.8185

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