Some Continuous Probability Distributions

I Wayan Mustika, Ph.D.

Hanung Adi Nugroho, Ph.D.

Outline

Continuous Uniform Distribution

Normal Distribution
Areas Under the Normal Curve
Applications of the Normal Distributions
Gamma and Exponential Distributions
Chi-Squared Distribution
Lognormal Distribution
Weibull Distribution

Continuous Uniform Distribution

The density function of the continuous uniform random
variable X on the interval [A, B] is

f (x; A, B) =

1
B A

0,

AxB
elsewhere

 The mean and variance of the uniform distribution are

A+B
=
2

(B

A)2
12

Normal Distribution
The most important continuous probability distribution in
the entire field of statistics
Its graph, called the normal curve, is the bell- shaped
curve
The normal distribution is often referred to as the
Gaussian distribution, in honor of Karl Friedrich Gauss
(1777-1855), who also derived its equation from a study
of errors in repeated measurements of the same quantity

 The density of the normal random variable X,

with mean and variance 2, is
1
n(x; , ) = p
e
2

[(x

)/ ]2
2

1<x<1

where = 3.14159 and e = 2.71828

Various Normal Curves

Areas Under the Normal Curve

P (x1 < X < x2 ) = ?

Fortunately, we are able to transform all the observations

of any normal random variable X to a new set of
observations of a normal random variable Z with mean 0
and variance 1. This can be done by means of the
transformation

Z=

x2
[(x )/
1
2
P (x1 < X < x2 ) = p
e
2 x1
Z z2
1
z 2 /2
=p
e
dz
2 z1
Z z2
=
n(z; 0, 1)dz

]2

z1

= P (z1 < Z < z2 )

where Z is seen to be a normal random variable with

mean 0 and variance 1

qDefinition
The distribution of a normal random variable with mean 0
and variance 1 is called a standard normal
distribution.

Example 1

Given a standard normal distribution, find the area

under the curve that lies
(a) to the right of z = 1.84, and
(b) between z = 1.97 and z = 0.86.
Solution
(a) The area to the right of z = 1.84 is equal to 1 minus
the area in Table Z to the left of Z = 1.84, namely,
10.9671 = 0.0329.
(b) The area between z = 1.97 and z = 0.86 is equal to
the area to the left of z = 0.86 minus the area to the
left of z = 1.97. From Table Z we find the desired
area to be 0.8051 0.0244 = 0.7807.

Z Table

Example 2
Given a random variable X having a normal
distribution with = 50 and = 10, find the
probability that X assumes a value between 45
and 62.

Solution
The z values corresponding to x1 = 45 and x2 = 62 are

z1 =

45

50
10

= 0.5 and z2 =

62

50
10

= 1.2

Therefore, P(45 < X < 62) = P(0.5 < Z < 1.2).

This area may be found by subtracting the area to the left of
the ordinate z = 0.5 from the entire area to the left of z = 1.2.
Using Z Table, we have

P (45 < X < 62) = P ( 0.5 < Z < 1.2)

= P (Z < 1.2)
= 0.8849

P (Z <

0.5)

0.3085 = 0.5764

Applications of the Normal

Distribution
A certain type of storage battery lasts, on
average, 3.0 years with a standard deviation of
0.5 year. Assuming that the battery lives are
normally distributed, find the probability that a
given battery will last less than 2.3 years.

 Solution

First construct a diagram such as above, showing the given

distribution of battery lives and the desired area. To find the
P(X < 2.3), we need to evaluate the area under the normal
curve to the left of 2.3. This is accomplished by finding the
area to the left of the corresponding z value. Hence we find
that
Z = (2.33)/0.5 = 1.4
Using Z table, we have
P(X < 2.3) = P(Z < 1.4) = 0.0808

Gamma and Exponential

Distribution
The continuous random variable X has a gamma
distribution, with parameters and , if its density
function is given by

1
1
x/
x
e
x>0

(
)
f (x) =
0,
elsewhere
where > 0 and > 0

 The continuous random variable X has an exponential

distribution, with parameter , if its density function is
given by

f (x) =

where > 0

e
0,

x/

x>0
elsewhere

Chi-Squared Distribution
A special case of the gamma distribution which is
obtained by letting = v/2 and = 2, where v is a
positive integer.
The distribution has a single parameter, v, called the
degrees of freedom.
The continuous random variable X has a chi-squared
distribution, with v degrees of freedom, if its density
function is given by

f (x) =

2v/2

1
v/2 1
x/2
x
e
(v/2)

0,

where v is a positive integer

x>0
elsewhere

Chi-Squared Curve

Lognormal Distribution
The lognormal distribution applies in cases where a
natural log transformation results in a normal
distribution.
The continuous random variable X has a lognormal
distribution if the random variable Y = ln(X) has a
normal distribution with mean and standard deviation
. The resulting density function of X is

f (x) =

[ln(x) ]2 /(2 2 )
p 1
e
2 x

0,

x 0
x<0

Example
Concentration of pollutants produced by chemical plants
historically are known to exhibit behavior that resembles
a lognormal distribution. This is important when one
considers issues regarding compliance to government
regulations. Suppose it is assumed that the
concentration of a certain pollutant, in parts per million,
has a lognormal distribution with parameters = 3.2
and = 1. What is the probability that the concentration
exceeds 8 parts per million?

Example
Solution
Let the random variable X be pollutant concentration
P(X > 8) = 1 P(X 8).
Since ln(X) has a normal distribution with mean = 3.2
and standard deviation = 1

ln(8) 3.2
= ( 1.12) = 0.1314
P (X 8) =
1

Weibull Distribution
The continuous random variable X has a Weibull
distribution, with parameters and if its density
function is given by

x 1 e x
x>0
f (x) =
0,
elsewhere
where > 0 and > 0