Continuous R.

V
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Uniform
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Summary


1/25 Department of Mathematics
17/02/2014
PROBABILITY & STATISTICS
LEARNING OBJECTIVES
1. Continuous random variable:
(a) Probability density function
(b) Cumulative distribution function
(c) Mean and Variance
2. Common distribution: uniform and normal
3. Normal approximation to the Binomial and Poisson.
Chapter 4: Continuous Random Variables and
Probability Distributions

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2/25 Department of Mathematics
17/02/2014
CONTINUOUS RANDOM VARIABLE
Definition
A continuous random variable is a random variable
whose possible values includes in an interval of real
numbers.
Hours spent studying in a day
0 6 3 9 15 12 18 24 21
The time spent
studying can be any
number between 0
and 24.
Continuous R.V

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3/25 Department of Mathematics
17/02/2014
PROBABILITY DENSITY FUNCTION
Definition
The probability density function (pdf) of a continuous
random variable X is a function such that
x x f > 0 ) (
(1)
}
+

=1 ) ( dx x f
}
= s s
b
a
dx x f b X a P ) ( ) (
(2)
(3)
for any a and b.
Pdf

Continuous R.V
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Summary


4/25 Department of Mathematics
17/02/2014
PROBABILITY DENSITY FUNCTION
Figure 4-2 Probability determined from the area under f(x).
Property
If X is a continuous random variable then for any x
1
and
x
2
we have


) (
) (
) ( ) (
2 1
2 1
2 1 2 1
x X x P
x X x P
x X x P x X x P
< < =
s < =
< s = s s
Pdf

Continuous R.V
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Summary


5/25 Department of Mathematics
17/02/2014
PROBABILITY DENSITY FUNCTION
Example
Let the continuous random variable X denote the diameter
of a hole drilled in a sheet metal component. The target
diameter is 12.5 millimeters. Most random disturbances to
the process result in larger diameters. Historical data show
that the distribution of X can be modeled by a probability
density function

(a) If a part with a diameter larger than 12.60 millimeters
is scrapped, what proportion of parts is scrapped?
(b) What proportion of parts is between 12.5 and 12.6
millimeters?
5 . 12 , 20 ) (
) 5 , 12 ( 20
> =

x e x f
x
Pdf

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6/25 Department of Mathematics
17/02/2014
PROBABILITY DENSITY FUNCTION
135 . 0 |
20 ) ( ) 60 . 12 (
6 . 12
) 5 . 12 ( 20
6 . 12
) 5 . 12 ( 20
6 . 12
= =
= = >
+
+

+
} }
x
x
e
dx e dx x f X P
(a)
865 . 0 |
20 ) 6 . 12 5 . 12 (
6 . 12
5 . 12
) 5 . 12 ( 20
6 . 12
5 . 12
) 5 . 12 ( 20
= =
= < <


}
x
x
e
dx e X P
(b)
Solution
P(X > 12.60)
Pdf

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7/25 Department of Mathematics
17/02/2014
PROBABILITY DENSITY FUNCTION
Exercise
Suppose that f(x) = x/8 for 3 < x < 5. Determine
the following probabilities:
a. P(X < 4)
b. P(X > 3.5)
c. P(4 < X < 5)
d. P(X < 4.5)
e. P(X < 3.5 or X > 4.5)

Continuous R.V
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Summary


8/25 Department of Mathematics
17/02/2014
CUMULATIVE DISTRIBUTION FUNCTION
Definition
The cumulative distribution function (cdf ) of a
continuous random variable X is



for - < x < +.
}

=
x
dt t f x F ) ( : ) (
Let us return to the above example

<
>
=

5 . 12 0
5 . 12 20
) (
) 5 , 12 ( 20
x
x e
x f
x

<
>
=

5 . 12 0
5 . 12 1
) (
) 5 , 12 ( 20
x
x e
x F
x
Cdf

Continuous R.V
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Normal

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Summary


9/25 Department of Mathematics
17/02/2014
CUMULATIVE DISTRIBUTION FUNCTION
Exercise
Suppose the cumulative distribution function of the
random variable X is:



Determine the following:
a. P(X < 1.8) b. P(X > -1.5)
c. P(X < -2) d. P(-1 < X < 1)
0 2
( ) 0.25 0.5 -2 2
1 2
x
F x x x
x
<

= + s <

>

Continuous R.V
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Summary


10/25 Department of Mathematics
17/02/2014
MEAN AND VARIANCE
Definition
Suppose X is a continuous random variable with probability
density function f(x).
The mean or expected value of X is defined by


The variance of X is defined by


The standard deviation of X is
}
+

= = dx x xf X E ) ( : ) (
2 2 2 2
) ( ) ( ) ( : ) ( o = = =
} }
+

+

dx x f x dx x f x X V
.
2
o o =
Mean & Variance

Continuous R.V
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Summary


11/25 Department of Mathematics
17/02/2014
MEAN AND VARIANCE
Example
Assume that X is a continuous random variable with the
following probability density function

<
>
=

5 . 12 0
5 . 12 20
) (
) 5 , 12 ( 20
x
x e
x f
x
dx e x dx x f x EX
x ) 5 . 12 ( 20
5 . 12 5 . 12
20 ) (

+ +
} }
= =
Integration by parts can be used to show that
55 . 12
20
5 . 12
) 5 . 12 ( 20
) 5 . 12 ( 20
=
|
|
.
|

\
|
=
+


x
x
e
xe EX
Mean:
Mean & Variance

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12/25 Department of Mathematics
17/02/2014
MEAN AND VARIANCE
0025 . 0 ) ( ) ( ) (
2
5 . 12
2
= =
}
+
EX dx x f x X V
Expected Value of a Function of a Continuous Random
Variable
}
+

= dx x f x h X h E ) ( ) ( ) (
Variance:
Mean & Variance

Continuous R.V
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13/25 Department of Mathematics
17/02/2014
MEAN AND VARIANCE
Exercise
The probability density function of the weight of packages
delivered by a post office is f(x) = 70/(69x
2
) for 1 < x <
70 pounds.
a. Determine the mean and variance of weight.
b. If the shipping cost is $2.50 per pound, what is the
average shipping cost of a package?
c. Determine the probability that the weight of a package
exceeds 50 pounds.

Continuous R.V
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Summary


14/25 Department of Mathematics
17/02/2014
CONTINUOUS UNIFORM RANDOM VARIABLE
Continuous uniform random variable over interval [a, b]

s s

=
otherwise
b x a
a b
x f
0
,
1
) (
Mean and Variance:
12
) (
) ( ,
2
2
2
a b
X V
b a
EX

= =
+
= = o
pdf:

>
< s

<
=
b b
b x a
a b
a x
a x
x F
1
0
) (
cdf:
Uniform

Continuous R.V
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Summary


15/25 Department of Mathematics
17/02/2014
CONTINUOUS UNIFORM RANDOM VARIABLE
Exercise
Suppose the time it takes a data collection operator to
fill out an electronic form for a database is uniformly
between 1.5 and 2.2 minutes.
a. What is the mean and variance of the time it takes an
operator to fill out the form?
b. What is the probability that it will take less than two
minutes to fill out the form?
c. Determine the cumulative distribution function of the
time it takes to fill out the form.

Continuous R.V
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Summary


16/25 Department of Mathematics
17/02/2014
NORMAL DISTRIBUTION
Normal random variable X ~ N(,
2
)
pdf:
+ < < =

x e x f
x
,
2
1
) (
2
) (
2
1
2
o

to
Mean and Variance:
E(X) = V(X) =
2
Normal

Continuous R.V
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Summary


17/25 Department of Mathematics
17/02/2014
NORMAL DISTRIBUTION
Standard Normal Random Variable Z ~ N(0,1)
+ < < =

x e x f
x
,
2
1
) (
2
2
t
.
2
) (
2
2
dx
e
z
z
x
}

= u
t
pdf:
cdf:
Standardizing
If X is a normal random variable X ~ N(,
2
) then



is a standard normal random variable N(0, 1).
o

=
X
Z
Normal

Continuous R.V
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Summary


18/25 Department of Mathematics
17/02/2014
NORMAL DISTRIBUTION
Problem 1: x is given known, find P(X < x).
Problem 2: P(X < x) = p is given known, find x.
Finding Probabilities
Using Excel
1. Z ~ N(0,1)
To find P(Z < z) when given z: =NORMSDIST(z)
To find z when P(Z < z) = p: =NORMSINV(p)
2. X ~ N(,
2
)
To find P(X < x) when given x: =NORMDIST(x, , ,1)
To find x when P(X < x) = p: =NORMINV(p, , ).
Normal

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19/25 Department of Mathematics
17/02/2014
NORMAL DISTRIBUTION
Example
(a) Let X ~ N(34, 144). Find P(X < 43) and P(24 < X <
37).
(b) Let Z ~ N(0,1). Find the value of z to P(Z > z) = 0.95
(a) P(X < 43) = NORMDIST(43, 34, 12,1) = 0.7734
P(24 < X < 37) = P(X < 37) P(X < 24)
= 0.5987 0.2023 =0.3964
(b) P(Z < z) = 1 P(Z > z) = 1 0.95 = 0.05
z =NORMSINV(0.05) = -1.65
Normal

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20/25 Department of Mathematics
17/02/2014
NORMAL DISTRIBUTION
Finding Probabilities: Using Table II
Normal

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21/25 Department of Mathematics
17/02/2014
NORMAL DISTRIBUTION
3-rule
Normal

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22/25 Department of Mathematics
17/02/2014
NORMAL DISTRIBUTION
Exercise
Use Appendix Table III to determine the following
probabilities for the standard normal random variable Z:
a. P(-1 < Z < 1)
b. P(Z < 1.32)
c. P(-2,34 < Z < 1.76)
d. P(Z > -2.15)

Continuous R.V
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23/25 Department of Mathematics
17/02/2014
NORMAL DISTRIBUTION
Exercise
Assume Z has a standard normal distribution. Use
Appendix Table III to determine the value for z that solves
each of the following:
a. P(Z < z) = 0.9
b. P(Z < z) = 0.9
c. P(-1.24 < Z < z) = 0.8
d. P(-z < Z < z) = 0.99

Continuous R.V
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24/25 Department of Mathematics
17/02/2014
NORMAL DISTRIBUTION
Exercise
Assume X is normally distributed with a mean of 10 and
the standard deviation of 2. Determine the following:
a. P(X < 13)
b. P(X > 9)
c. P(6 < X < 14)
d. P(-2 < X < 8)

Continuous R.V
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25/25 Department of Mathematics
17/02/2014
NORMAL DISTRIBUTION
Exercise
Assume X is normally distributed with a mean of 10 and
the standard deviation of 2. Determine the value for x that
solves each of the following:
a. P(X > x) = 0.95
b. P(X > x) = 0.5
c. P(x < X < 10) = 0.2
d. P(-x < X 10 < x) = 0.99

Continuous R.V
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26/25 Department of Mathematics
17/02/2014
NORMAL APPROXIMATION
Normal Approximation to the Binomial Distribution
If X ~ B(n, p) then random variable


is approximately a standard random variable N(0,1).




) 1 ( p np
np X
Z

=
Remark: The approximation is good for np > 5 and
n(1-p) > 5.
)
) 1 (
5 . 0
( ) (
p np
np x
Z P x X P

+
s ~ s
)
) 1 (
5 . 0
( ) (
p np
np x
Z P x X P

> ~ >
Normal approxi.

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27/25 Department of Mathematics
17/02/2014
x = at least 8
(includes 8 and above)
x = more than 8
(doesnt include 8)
x = at most 8
(includes 8 and below)
x = fewer than 8
(doesnt include 8)
x = exactly 8


Continuous R.V
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28/25 Department of Mathematics
17/02/2014
NORMAL APPROXIMATION
Let us return to the above example
773 . 0 ) 75 . 0 ( 1 ) 75 . 0 (
)
) 10 1 ( 160
160 5 . 150
( ) 151 ( ) 150 (
5
= < = > =

> = > = >

Z P Z P
Z P X P X P
Here, we use the result np = 1610
6
10
-5
= 160.

Normal approxi.

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29/25 Department of Mathematics
17/02/2014
NORMAL APPROXIMATION
Exercise
Suppose that X is a binomial random variable
with n = 200 and p = 0.4
a. Approximate the probability that X is less than
or equal to 70.
b. Approximate the probability that X is greater
than 70 and less than 90.
c. Approximate the probability X = 80.

Continuous R.V
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30/25 Department of Mathematics
17/02/2014
NORMAL APPROXIMATION
Normal Approximation to the Poisson Distribution
If X is a Poisson random variable P() then


is approximately a standard random variable N(0,1).


The approximation is good for > 5.

=
X
Z
). ( ) ( ) (

u =

s = s
x x
Z P x X P
Normal approxi.

Continuous R.V
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Uniform
Normal

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Summary


31/25 Department of Mathematics
17/02/2014
NORMAL APPROXIMATION
Example
Assume that the number of asbestos particles in a squared
meter of dust on a surface follows a Poisson distribution
with a mean of 1000. If a squared meter of dust is
analyzed, what is the probability that less than 950
particles are found?
Let X = the number of asbestos particles in a squared
meter of dust on a surface, then X ~ P(1000)
057 . 0 ) 58 . 1 ( )
1000
1000 950
( ) 950 ( = s =

s ~ s Z P Z P X P
Normal approxi.

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32/25 Department of Mathematics
17/02/2014
NORMAL APPROXIMATION
Exercise
Suppose that X has a Poisson distribution with
a mean of 64. Approximate the following
probabilities:
a. P(X > 72)
b. P(X < 64)
c. P(60 < X 68)

Continuous R.V
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33/25 Department of Mathematics
17/02/2014
EXPONENTIAL DISTRIBUTION
Exponential distribution
Let the random variable X denote the length from any
starting point on the wire until a flaw is detected.
Let the random variable N denote the number of flaws in
x millimeters of wire. If the mean number of flaws is
per millimeter, N has a Poisson distribution with mean x.
We assume that the wire is longer than the value of x.
Now:
P(X > x) = P(N = 0) = e
-x

Therefore: F(x) = P(X x) = 1 e
-x
(x 0)
and f(x) = .e
-x
for x 0

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34/25 Department of Mathematics
17/02/2014
EXPONENTIAL DISTRIBUTION
Exponential distribution
The random variable X that equals the distance
between successive events of a Poission process
with mean > 0 is an exponential random
variable with parameter . The probability
density function of X is:
f(x) = .e
-x
for 0 x <

and the cumulative distribution function of X is:
F(x) = 1 e
-x
for 0 x <



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35/25 Department of Mathematics
17/02/2014
EXPONENTIAL DISTRIBUTION
Exponential distribution Mean and variance
If the random variable X has an exponential
distribution with parameter :
= E(X) = 1/ and
2
= V(X) = 1/
2



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36/25 Department of Mathematics
17/02/2014
EXPONENTIAL DISTRIBUTION
Exponential distribution Lack of memory property
For an exponential random variable X:
P(X < t
1
+ t
2
| X > t
1
) = P(X < t
2
)
Or
P(X > t
1
+ t
2
| X > t
1
) = P(X > t
2
)

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37/25 Department of Mathematics
17/02/2014
EXPONENTIAL DISTRIBUTION
Exercise
Suppose X has an exponential distribution with
= 2. Determine the following:
a. P(X 0)
b. P(X 2)
c. P(X 1)
d. P(1 < X < 2)
e. Find the value of x such that P(X < x) = 0.05

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38/25 Department of Mathematics
17/02/2014
EXPONENTIAL DISTRIBUTION
Exercise
Suppose X has an exponential distribution with
a mean of 10. Determine the following:
a. P(X < 5)
b. P(X < 15 | X > 10)


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39/25 Department of Mathematics
17/02/2014
EXPONENTIAL DISTRIBUTION
Exercise
The time between calls to a plumbing supply
business is exponentially distributed with a
mean time between calls of 15 minutes.
a. What is the probability that there are no calls
within a 30-minute interval?
b. What is the probability that at least one call
arrives within a 10-minute interval?
c. What is the probability that the first call arrives
within 5 and 10 minutes after opening?

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Summary


40/25 Department of Mathematics
17/02/2014
SUMMARY
We have studied:
Homework: Read slides of the next lecture.
1. Continuous random variable:
(a) Probability density function
(b) Cumulative distribution function
(c) Mean and Variance
2. Common distribution: uniform and normal
3. Normal approximation to the Binomial and Poisson.
4. Exponential distribution
Summary