Chapter 4Continuous Random Variables and their Probability Distributions
The Theoretical Continuous Distributions starring
The Rectangular The Normal The Exponential and The Weibull
Chapter 4B
Continuous Uniform DistributionA continuous RV X with probability density function
has a continuous uniform distribution or rectangular distribution
1( ) , f x a x b
b a
2
22 22 2
( )2( ) 2
( )( ) ( )
2 12
b b
aa
b b
a a
x x a bE X dx
b a b a
x a b b aV X x f x dx dx
b a
1 '( ) '
xx
aa
x x aF x dx
b a b a b a
a b
Rect( , )X a b
4-5 Continuous Uniform Random Variable
Mean and Variance
Using Continuous PDF’s
Given a pdf, f(x), a <= x <= b and and a <= m < n <= bP(m <= x <= n) =
( ) 1b
af x dx
( ) ( ) ( )n n
mmf x dx F x F n F m
10 10
55
20 20
1010
( ) 0.05, 0 20
(5 10) 0.05 0.05 0.05(10 5) 0.25
(10 30) 0.05 0.05 0.05(20 10) 0.50
If f x x
P x dx x
P x dx x
Problem 4-33
2 2
2
1 10
2 2
1 1 1 1, 0.577
12 12 3 3
b a
b a
1( ) 0.90 ( )
1 1 1 = ( )
1 1 2 20.90
x x
x x
x x
xx
P x X x f t dt dtb a
dt t x x x
x
Rect( 1,1)X
( 1) 1( )
1 ( 1) 2
x xF x
Let’s get Normal
Most widely used distribution; bell shaped curve
Histograms often resemble this shape Often seen in experimental results if a process is
reasonably stable & deviations result from a very large number of small effects – central limit theorem.
Variables that are defined as sums of other random variables also tend to be normally distributed – again, central limit theorem.
If the experimental process is not stable, some systematic trend is likely present (e.g., machine tool has worn excessively) a normal distribution will not result.
4-6 Normal Distribution
Definition 2( , )X n
4-6 Normal Distribution
The Normal PDF
http://www.stat.ucla.edu/~dinov/courses_students.dir/Applets.dir/NormalCurveInteractive.html
Normal IQs
4-6 Normal Distribution
Some useful results concerning the normal distribution
Normal Distributions
Standard Normal Distribution
A normal RV with is called a standard normal RV and is denoted as Z.Appendix A Table III provides probabilities of the form P(Z < z) where
You cannot integrate the normal density function in closed form.
Fig 4-13. Standard Normal Probability Function
20 and 1
( ) ( )z P Z z
Examples – standard normal
P(Z > 1.26) = 1 – P(Z 1.26) = 1 - .89616 = .10384
P(Z < -0.86) = .19490
P(Z > -1.37) = P(z < 1.37) = .91465
P(-1.25< Z<0.37) = P(Z<.0.37) – P(Z<-1.25) = .64431 - .10565 = .53866
P(Z < -4.6) = not found in table; prob calculator = .0000021
P(Z > z) = 0.05; P(Z < z) =.95; from tables z 1.65; from prob calc = 1.6449
P(-z < Z < z) = 0.99; P(Z<z) =.995; z = 2.58
Converting Normal RV’s to Standard Normal Variates (so you can use the tables!)
Any arbitrary normal RV can be converted to a standard normal RV using the following formula:
After this transformation, Z ~ N(0, 1)
2
2 2
[ ][ ] 0
1[ ] [ ] 1
XZ
X E XE Z E
XV Z V V X V
the number of standard deviations from the mean
4-6 Normal DistributionTo Calculate Probability
Converting Normal RV’s to Standard Normal Variates (an example)
For example, if X ~ N(10, 4)To determine P(X > 13):
XZ
13 1013 1.5
2
1 1.5 1 0.93319 .06681
XP X P P z
P z
from Table III
Converting Normal RV’s
A scaling and a shift are involved.
More Normal vs. Std Normal RV
X ~ N(10,4)
9 10 11 109 11 .5 .5
2 2
.5 .5 0.69146 0.30854 0.38292
XP X P P z
P z P z
Example 4-14 Continued(sometimes you need to work backward
Determine the value of x such that P(X x) = 0.98
10 10 10( ) 0.98
2 2 2
X x xP X x P P Z
II: P(Z ) 0.98
P(Z 2.05) 0.97982
10 ==> = 2.05
2 x = 14.1
That is, there is a 98% probability that a
current measurement is less than 14.1
Table z
x
X ~ N(10,4)
Check out this website
http://www.ms.uky.edu/~mai/java/stat/GaltonMachine.html
An Illustration of Basic Probability: The Normal Distribution
See the normal curve generated right in front of your very own eyes
4-8 Exponential Distribution
Definition ( )X Exp
The Shape of Things
Exponential Probability Distribution
0
0.2
0.4
0.6
0.8
1
1.2
0 1 2 3 4 5
X
f(X
)
lambda = .1 lambda = .5 lambda = 1.0
The Mean, Variance, and CDF
20 0
2 22 2
3 20
0 0
1 1
1 2 1 1
( ) 1 1
x x
x
xx uu x x
xe dx xe dx
x e dx
eF x e du e e
table ofdefiniteintegrals
What about the median?
( ) 1 .5
.5
ln .5
1ln .5 ln .5 .6931472
x
x
F x e
e
x
x
Next Example
Let X = a continuous random variable, the time to failure in operating hours of an electronic circuit ( 1/ 25hr)X Exp f(x) = (1/25) e-x/25
F(x) = 1 - e-x/25
= 1/ = E[X] = 25 hours
median = .6931472 (25) = 17.3287 hours
2 = V[X] = 252
= 25
Example
What is the probability there are no failures for 6 hours?
6
25 25
6
1( 6) 0.7866
25
x
P X e dx e
25( ) 1
(3 6) (6) (3) .2134 .1131 .1003
x
F x e
P X F F
( 1/ 25hr)X Exp
What is the probability that the time until the next failure is between 3 and 6 hours?
Exponential & Lack of Memory
Property: If X ~ exponential
This implies that knowledge of previous results (past history) does not affect future events.
An exponential RV is the continuous analog of a geometric RV & they both share this lack of memory property.
Example: The probability that no customer arrives in the next ten minutes at a checkout counter is not affected by the time since the last customer arrival. Essentially, it does not become more likely (as time goes by without a customer) that a customer is going to arrive.
1 2 1 2( ) ( )P X t t X t P X t
Proof of Memoryless Property
)B(P/)BA(P)B|A(P
A – the event that X < t1 + t2 and B – the event that X > t1
Chapter Two stuff!
1 1 2
1
1 21 1 2
1 1
1 1 21 2 1
1
( )
1 2 1
1
2 2
PrPr | Pr
Pr
1 1( ) ( )
1 ( )
1Pr
t t t
t
t tt t t
t t
t X t tX t t X t
X t
e eF t t F t
F t e
e ee e eF t X t
e e
Exponential as the Flip Side of the Poisson
If time between events is exponentially distributed, then the number of events in any interval has a Poisson distribution.
NT events till time T
Time between events has exponential
distribution
Time T
Time 0
Exponential and Poisson
Pr ( ) , for 0,1,2,...;
!
n tt eX t n n
n
Let X(t) = the number of events that occur in time t; assume X(t) ~ Pois(t) then E[X(t)] = t
Pr 1 ( ) Pr ( ) 0tT t F t e X t
Let T = the time until the next event; assume T ~ Exp() then E[T] = 1/
4-10 Weibull Distribution
Definition ( , )X W
The PDF in Graphical Splendor
-0.1
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1.0
0.0 1.0 2.0 3.0 4.0 5.0 6.0t
f(t)
0.5
1.5
2.0
4.0
Beta
Delta = 2
More Splendor
0
0.2
0.4
0.6
0.8
1
1.2
1.4
1.6
0.0 1.0 2.0 3.0 4.0 5.0 6.0t
f(t)
0.5
1.0
2.0
Delta
Beta = 1.5
4-10 Weibull Distribution
The Gamma Function
(x) = the gamma function = y e dy0x-1 -yz
(x) = (x -1) (x -1)
fine print: easier method is to use the prob calculator
4-10 Weibull DistributionExample 4-25
The Mode of a Distributiona measure of central tendency
f(t)
0
0.01
0.02
0.03
0.04
0.05
0.06
0 10 20 30 40 50 60
The Mode of a Distributiona measure of central tendency
f(t)
0
0.01
0.02
0.03
0.04
0.05
0.06
0 10 20 30 40 50 60
The Mode of a DistributionMAX -1
x-x
f(x) = ex 0
0-2 2 -22
x x- -
2 2
df(x) ( -1) x x = -e e
dx
2( 1) x
x -2- x- = 0e
( )x
-1 = 0
1
1
-1Mode = for
A Weibull Example The design life of the members used in constructing the
roof of the Weibull Building, a engineering marvel, has a Weibull distribution with = 80 years and = 2.4.
(80,2.4)X W
2.4100
80Pr{ 100} 1 (100) 1 1 .1812X F e
180 1 80 1.42 70.92 yr.
2.4
1
2.42.4 180 63.91yr.
2.4
-Mode =
Other Continuous Distributions Worth Knowing
Gamma Erlang is a special case of the gamma
Used in queuing analysis Beta
Like the triangular – used in the absence of data Used to model random proportions
Lognormal used to model repair times (maintainability) quantities that are a product of other quantities
(central limit theorem) Pearson Type V and Type VI
like lognormal – models task times
Picking a Distribution
We now have some distributions at our disposal.
Selecting one as an appropriate model is a combination of understanding the physical situation and data-fitting Some situations imply a distribution, e.g. arrivals
Poisson process is a good guess. Collected data can be tested statistically for a ‘fit’ to
distributions.
Next Week – Chapter 5
Double our pleasure by considering joint distributions.
Top Related