MATH F113 - Chapter-4 PDF

BITS Pilani
presentation
BITS Pilani
Pilani Campus
Dr RAKHEE
Department of Mathematics
MATH F111 & AAOC C111

Probability and Statistics
BITS Pilani
Pilani Campus
BITS Pilani
Pilani Campus
Chapter 4
Continuous Distribution
Continuous Random Variables

Definition: A random variable is continuous
if it can assume any real numbers and some
interval (or intervals) of real numbers and
the probability that it assume any specific
value is 0 (zero).
BITS Pilani, Pilani Campus
CONTINUOUS DENSITY (Probability

density function )
Definition: Let X be a continuous random
variable. A function f(x) is called continuous
density (probability density function i.e. pdf )
iff
1. f(x) 0
2. f ( x ) dx = 1
integral converges.
Probability for Interval

1.P[X = a] =0.
2. P[X = b] =0.
3. P[a X b] = P[ a X < b]
= P[a < X b] = P[a < X < b]
4. P[a X b] =
f ( x)dx;
where a and b are real numbers. Area under the

curve of f between x = a to x = b. TOTAL AREA IS
ONE.
CUMULATIVE DISTRIBUTION FUNCTION

Let X be the continuous r.v. with density f(x).
The cumulative distribution function (cdf) for X,
denoted by F(X) , is defined by
F(X) = P ( X x ) , all x
x
f (t ) dt
PROBABILITY by using cdf F(x)

P(a X b) = F(b) F(a).
FIND f(x) from F: f(x) = dF(x)/dx = F(x)
for all x.
Note:
1. If X is a Continuous random variable, then
F(x) is also a continuous function for all x.
2. The F(x) is nondecreasing function.
F () = lim F ( x)
x
= lim
f (t )dt = f (t )dt = 0
F (+) = lim F ( x)
x +
= lim
x +
f (t )dt = f (t )dt =1
EXERCISE 4.1, 9 PAGE 140

Consider the density of X
f (x ) = x / 6 ; 2 x 4 ,
= 0 ;
e.w.
(a) Find the cumulative distribution function.
(b) Use cdf F, find P[2.5X 3], P[1 X3.5].
(a) cumulative density function
F ( x) = 0 ; x 2
x
t
F ( x) = f (t )dt = 0 dt + dt
6
2
x
1 t
1 2
= = ( x 4);
6 2 2 12
2
F ( x) = 1;
2< x<4
x4
Use cdf F, find P[2.5X 3], P[1X3.5].

P[2.5 x 3] = F (3) F (2.5)
1 2
2
=
(3 4) (2.5 4)
12
= 0.22917
P[1 x 3.5] = F (3.5) F (1)

1
2
=
(3.5 4) 0
12
= 0.6875
Example
The Cumulative distribution function (c.d.f.)
of a continuous random variable X is
0,
x 2 ,
F ( x) =
1 3 (3 x )2 ,
25
1 ,
x<0
1
0 x<
2
1
x<3
2
x3
Determine and . Hence find

probability density function (p.d.f.).
the
EXERCISE 4.1.14, PAGE 141

In parts (a) and (b) proposed cumulative
distribution functions are given. In each case,
find the density that would be associated with
each, and decide whether it really does define
a valid continuous density. If it does not,
explain what property fails.
(a) Consider the function F defined by
F(x) = 0 ;
x < -1,
= x + 1 ; -1 x 0,
= 1 ;
x > 0.
x < 1
0,
dF
f ( x) =
= 1, 1 x 0
dx
x>0
0,
Clearly f(x) 0 for all x. But F is cdf as
+
f ( x)dx = 1
. continue
4.1.14 (b)
Consider the function defined by
F(x) = 0
;
x0 ,
= x2 ; 0 < x 0.5 ,
= x/2 ; 0.5 < x 1 ,
= 1 ;
x> 1 .
Sol.:
x<0
0
2 x 0 < x < 1/ 2
dF
f (=
x) =
dx 1/ 2 1/ 2 < x < 1
0
x >1
Clearly f(x) 0 for all x. But F is not cdf as
f ( x)dx 1
(5) (Continuous uniform distribution) A

random variable X is said to be
uniformly distributed over an interval
(a, c) if its density is given by
1
f ( x) =
, a<x<c
ca
(a) Show that this is a density for a

continuous random variable.
Sol:
1
Since
> 0 , for c > a
ca
Secondly,
1
a c a dx = 1
c
(b) Sketch the graph of the uniform density.

f(x)
1/(c-a)
X=a
X=c
( ii ) Shade the area in the graph of part (b)

that represents P[X (a + c)/2].
f(x)
X= a
(a+c)/2 X= c
(c ) Find the probability pictured in part: ii
a + c
P X
=
a +c
2
1
dt = 0.5
ca
(e) Let (l, m) and (d, f) be subintervals of (a, c)

of equal length. What is the relationship
between P[l X m] and P[d X f]
Sol: Probability is same on equal
length of interval.
(10) Find the general expression for the

cumulative uniform distribution for
a random variable X over (a, c)
F ( x) = 0,
xa
x
1
F ( x) = P[ X x] =
ds
c
a
(
)
xa
=
, a<x<c
ca
F ( x) = 1, x c
EXPECTATION & DISTRIBUTION

PARAMETERS
MEAN ,VARIANCE, S.D. & MGF (m.g.f.)

1. Mean = E [X]
xf
(
x
)
dx
where X is the c.r.v. with density f(x).

2. Let X be the c.r.v. with density

f(x). Let H(x) be a random
variable. The expected value of
H(x) is defined as:
E [H ( X )] =
provided
is finite.
H ( x) f ( x)dx
|
H
(
x
)
|
f
(
x
)
dx
continue
3. Var X = E[X2] (E[X])2 = 2 , where
E[ X ] = x f ( x)dx
2
Variance is shape parameter in the

sense that a random variable with small
variance will have a compact density;
one with a large variance will have a
density that is rather spread out or flat.
continue
4. m.g.f. = Moment Generating Function
= E[ etX] = mX (t) =
x
dx
e
f
(
)
tx
Section 4.2, page 141, 17

Let X denote the length in minutes of a long
distance telephone conversation. The
density for X is given by
1
f ( x) = e
10
10
x>0
(a)Find the moment generation function

mX(t).
(b) Use mX(t) to find the average length of such

call.
(c) Find variance and standard deviation for X.
Exercise 4.2.24 page 143

Assume that the increase in demand for
electric power in millions of kilowatt hours
over the next 2 years in particular area is a
random variable whose density is given by
f(x) = (1/64 ) x3 ; 0 < x < 4 ,
=
0
; e.w.
.
(a) Verify that this is a valid density.
continue
(b) Find the expression for the cumulative
distribution function F for X, and use it
to find the probability that the demand
will be at most 2 million kilowatt hours.
(c) If the area only has the capacity to
generate an additional 3 million kilowatt
hours, what is the probability that
demand will exceed supply?
(d) Find the average increase in demand.
MGF of uniform distribution

random variable on (a, c) :
c
1
E[e ] = e
dx
c
a
a
tX
tx
1 e e
=
t ca
tc
ta
, t 0
Use definition to find mean and

variance can be found.
a+c
E( X ) =
2
2
(c a )
Var ( X ) =
12
Section 4.1, page no 139, 6

If a pair of coils were placed around a
homing pigeon and magnetic field was
applied that reverses the earths field, it is
thought that the bird would become
disoriented. Under these circumstances it is
just as likely to fly in one direction as in any
other.

Pigeon
Home (0)
is uniformly distributed over the interval [0, 2].

a) Find the density for .
(b) Sketch the graph of the density.

(c) Shade the area corresponding to the
probability that a bird will orient within
/4 radians of home, and find this area
using plane geometry.
(d) Find the probability that a bird will orient
within /4 radians of home by integrating
the density over the appropriate
region(s).
(e) If 10 birds are released independently

and at least 7 orient within /4 radians of
home, would you suspect that perhaps
the coil are not disorienting the birds to
the extent expected? Explain, based on
the probability of this occurring.
(f) Find mean, variance for .
Example : A random variable X with density
1
a
f (x) =
,
2
2
a + ( x b)
< x < , < b < , a > 0
is said to have a Cauchy distribution with
parameters a and b. This distribution is
interesting in that it provides an example of a
continuous random variable whose mean does
not exist. Let a = 1, b = 0 to obtain a special
Cauchy distribution with density

1
1
, < x <
f ( x) =
2
1+ x
Show that
| x | f ( x) dx does not exist.
Sol:
1 1
x
f
x
dx
x
dx
|
|
(
)
=
|
|
1 + x 2
1
x
1 x
dx
dx
+
=
2
2
0 1+ x
1 + x
0
Multiply and divide by 2, we get
1
1
2
2
= ln | 1 + x | + ln | 1 + x |
2
0
2
0
which does not exist, as
ln()
GAMMA DISTRIBUTION
A random variable X with density function
1
1 x /
f ( x) =
x e
( )
=0,
for x 0,
is said to have a Gamma Distribution with
parameters and ,for x > 0, > 0, > 0.
Gamma Function
Definition : The function
defined by
() = e z dz; z > 0, > 0,

z 1
is called the Gamma function.

Properties :
1. (1) = 1
2. () = ( -1) ( -1 ); where is the +ve
real number.
3. (n) = (n-1)! (Factorial of n-1), n = 1,2,3.
4. (1/2)=
1. (1) = 1
Proof: By definition of Gamma function, we
have
(1) = e z dz; z > 0, = 1,

z 0
= e dz = 1
z
2. () = ( -1) ( -1 ); where is the +ve

real number.
Proof:
() = e z dz; z > 0, > 0,

z 1
by integrating by parts, we have
( ) = e z
1
0
+ ( 1) e z z ( 1) 1dz
0
lim( e z
z
z
) = lim
z
z
e
2
( 1) z
= lim
z
z
e
3
( 1)( 2) z
= lim
z
z
e
1
= ( 1)!lim z 0
z e
Thus,
( ) = e z
1
0
+ ( 1) e z z ( 1) 1dz
0
= ( 1)( 1)
3. () = ( 1)!
Since,
() = ( 1)( 1) = ...
= ( 1)( 2)...(1) = ( 1)!
1
= z e dz =
2 0
1
2 z
GAMMA DISTRIBUTION
1 x /
x e , x > 0, > 0, > 0
f ( x) = (( ) )
0,
other wise

To check the necessary and

sufficient condition of pdf:
f ( x ) 0 for all x > 0
1
Further , f ( x) dx =
( )
x /
dx
x
Let
= t dx = dt , and x = t
1
1 1 t
=
t e dt

( ) 0
1 z
(
)
1
f
x
dx
z
e
=
=
( ) 0
Hence f ( x) is a pdf
MEAN, VARIANCE AND MGF OF GAMMA FUNCTION
Let X be a Gamma r.v. with parameters

and .
Then
1
x
1
exp(
)
1
x
dx
=
0 ( )
1. m.g.f. = mX(t)=(1- t)- , t < 1/

2. E[X] = Mean = X =
3. Var(X) = 2 = 2
Proof: By def , m X (t ) = E[e tx ]
1
tx
1 x /
x
e
dx
= e
( )
1
=
( )
1
t)x
dx
x
z
let z = (1 t ) x =
(1 t )
dz
and dx =
(1 t )
z 1 z dz
1
=
(
) e

( ) 0 1 t
(1 t )
1
1 z
=
z e dz

() (1 t ) 0
1
m X (t ) =
(
)
() (1 t )
m X (t ) = (1 t ) ,
1
t<
d
E[ X ] =
m X (t )
dt
t =0
= (1 t )
()
t =0
d
E[ X ] = 2 ( m X (t ))
dt
t =0
2
= ( + 1)
Var ( X ) = E[ X ] E[ X ] =
2
= ( + 1) () =
2
and both play a role in determining

the mean and the variance of the
random variable.
Graphs of Gamma Densities are not
symmetric and are located entirely to
the right of the vertical axis.
0.25
Gamma(1, 4)
f(x) 0.2
Gamma(2, 3)
Gamma(20, 0.5)
0.15
0.1
0.05
0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
x
For > 1, the maximum value of the

density occurs at the point x = ( 1).
0.25
Gamma(1, 4)
f(x) 0.2
Gamma(2, 3)
Gamma(20, 0.5)
0.15
0.1
0.05
0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
x
Exercise 4.3 (Page No: 143)

Let X be a gamma random variable with
= 3 and = 4
(i) What is the expression for the density
for X
x
x
1
1 2 4
1
f ( x) =
x e =
x e ,x >0
3
( )
2!4
x
4
1 2
=
x e , x>0
128
(ii) What is the moment generating

function for X
m X (t ) = (1 t )
1
= (1 4t ) , t <
4
3
(iii) Find mean, variance and standard

deviation
= = 12
2
2
= = 48
= 48 = 6.9282
Exponential Distribution
In Gamma Distribution, put = 1, we
get
1 x
,
x > 0, > 0
e
f ( x) =
0 ,
elsewhere
0.3
0.25
f(x)
0.2
0.15
0.1
=3
0.05
0
1
11
13
15
17
19
x
Cont
For the above function
Mean = = , var (X) = 2,
mX(t)=(1- t)-1 , t < 1/
The c.d.f. of exponential distribution

with Parameter is given by
x
x
1
F ( x) = e
= e
s x
1 e
ds =
1

= 1 e
x>0
0
The c.d.f. of exponential

distribution
x<0
0,
x
F ( x) =
x>0
1 e
Poisson Process and Exponential

dist :
Theorem 4.3.3 For a Poisson
process with parameter , Let W be
the time of the occurrence of the
first event. W has an exponential
distribution with parameter = 1/.
Proof:
The distribution function F for W is given by
F( w ) = P[ W w ] =1 P[ W > w ]
Here, we have that the first occurrence of
the event will take place after time w only
if number of occurrences in the time
interval [0,w] is zero.
Let X be the number of occurrences of
the event in this time interval [0,w].
X is a Poisson random variable with

parameter w. Thus,
P[W > w] = P[ X = 0]
=
(w)
w
=e
0!
0
F ( w) =1 P[W > w] = 1 e
Since, in the continuous case, the

derivative of the cumulative distribution
function is the density
F ( w) = f ( w) = e
This is exactly density for an exponential

1
random variable with =
Section 4.3, page no 144,34

A particular nuclear plant releases
a detectable amount of radioactive
gases twice a month on average.
Find the probability that at least 3
monthswill elapse before the
release of first detectible emission.
What is the average time one must
wait to observe the first emission?
Solution :
Let X be time elapsed before the
release of the first detectable emission
a then X is an exponential distribution
with = 1/2
Therefore, f ( x) = 2 e
2 x
,x >0
6
P[ X > 3] =1 F (3) =1 (1 e ) = e ,
Example
A computer centre maintains a telephone
consulting service to trouble shoot for its
users. The service is available for 9:00 to
5:00 each working day. Past experience
shows number of calls received per day is
a Poisson distribution with parameter
50. For a given day find the probability that
first call will be received
(i) before 10:00 a.m. (ii) after 3:00 p.m.
GAMMA RANDOM VARIABLE

1
1 x /
x e , x > 0, > 0, > 0
f ( x) = (( ) )
0,
other wise

Chi-square distribution
If a random variable X has a gamma
distribution with parameters = 2 and
= /2, then X is said to have a chisquare (2) distribution with degrees of
2
Freedom and denoted by , is a
positive integer.
= 2 and = /2,
1
2
1
x / 2
f ( x) =
x e ,x >0
/2
2
2
2
2
E[ ] = , Var[ ] = 2
Chi square distribution for

f(x)
=1
(1 / 2 ) 1 x / 2
x e , x > 0,
1/ 2
f ( x) = ((1 / 2) )2
0,
other wise
Chi square distribution
f ( x) =
1
/2
( )2
2
1
2
x / 2
,x >0
for = 2
1 x / 2
f ( x) = e ,
2
x>0
Chi square distribution for

f(x)
=2
1 x / 2
f ( x) = e , x > 0
2
for = 10
0.1
f(x)
0.05
-2.08E-16
0
10
15
20
25
x
We do not have explicit formula for CDF

F of X2 . Instead values are tabulated on
page no. 695-696 as below (F occurs in
margin here, and related value of r.v.
inside the table):
P[X2 < t]
0.100 0.250
0.500
1.61
2.67
4.35
2.20
3.45
5.35
2.83
4.25
6.35
If F is CDF for Chi square random variable

Having 5 degrees of freedom
F(1.61) = 0.1,
F(4.35) = 0.5
Another notation
For 0 < r < 1, we denote by , for a
chi-square r.v. with degrees of
freedom, a unique number such that
2
r
2
P[X
2
r]
=r
Probability to the right of is r.

2
r
for exampleP[X210
2
0.05
] = 0.05

2
r
0.1
f(x)
0.05
0.05
0
0
P[X210
2
0.05
10
15
] = 0.05
= 1 - P[X210
2
0.95 ]
20
25
= 0.95
P[X2 t]
0.90
0.95
0.975
10
16.0
18.3
20.5
11
17.3
19.7
21.9
12
18.5
21.0
23.3

2
r
0.1
f(x)
0.05
0.05
-2.08E-16
0
P[X210
2
0.05
10
15
20
= 18.3
] = 0.05
2
.05
25
38. Consider a chi squared random

variable with 15 degrees of freedom.
(i) What is the mean of
2
15
X ?
Sol: Chi square distribution is Gamma

with = /2 & = 2, Mean = = =15
and 2 = 2 = 30
(ii) What is the expression for the density for

2
15
X ?
Sol: is random var iable with
2
= 2, = / 2, hence
1
(15 / 2 ) 1 x / 2
f ( x) =
x
e
,x >0
15 / 2
(15 / 2) 2
=0
otherwise
(iii) What is the expression for the

moment Generating function for
2
15
Sol:
15 / 2
m X (t ) = (1 t ) = (1 2t ) , t < 1 / 2
P[ X 22.3]
2
15
(iv) Find
P[X2 < t]
0.005 0.010 .025 0.900
15
4.60
5.23
6.26 22.3
16
5.14
5.81
6.91 23.5
17
5.70
6.41
7.56 24.8
P[ X 22.3] = 1 P[ X < 22.3]

2
15
2
15
= 1 0.900 = 0.10
(v) Find P[6.26 X 22.3]

2
15
P[X2 < t]
0.005 0.010 .025 0.900
15
4.60
5.23
6.26 22.3
16
5.14
5.81
6.91 23.5
17
5.70
6.41
7.56 24.8
P[6.26 X 15 22.3]
2
= F (22.3) F (6.26) = 0.900 0.025 = 0.875

(vi) Find 20.05, & 20.01 for

15 degree of freedom
Sol. P[X215 > 2r] = r.
P[X2 < t]
15
2
0.05
0.005 0.010 .025 0.950

4.60
5.23
6.26 25.0
P[X215 > 20.05] = 0.05.

P[X215 20.05] = 0.95.
= 25.0 for15 degree of freedom

P[X2 < t]
15
0.005 0.010 .025 0.990

4.60
2
P[X
5.23
6.26 30.6
> r] = r.
P[X215 > 20.01] = 0.01.
P[X215 20.01] = 0.99.
2
0.01 = 30.6
15
4.4 The Normal Distribution

A random variable X with density f(x)
is said to have normal distribution
with parameters and > 0, where
f(x) is given by:
1
f ( x) =
e
2
(
x )2
2 2
x, (, ); > 0.
(i ) f ( x) 0 x (-, )
(ii) f(x)dx = 1
-
To prove
1 x

dx = 1
2 -
x
let
= z dx = dz

1
2
1 x

1
dx =
e
2 -
1
z2
2
dz
1
e
2 -
1
z2
2
1
dz = 2
e
2 0
1
z2
2
1
z2
2
dz
1
z2
2
e dz = e dz = I
0
I I = e
0
=
0
1
x2
2
e
0
dx e
0
1
( x2 + y2 )
2
1
y2
2
dy
dxdy

e
0 0
1 2 2
(x +y )
2
dxdy
= lim
e
rdrd
R
0 0
/2 R /2
w
= lim
e
dw
d
R
0 0
/2 R
1
(r2 )
2
2
i.e. I =
1
e
2 -
1
z2
2
1
dz = 2
e
2 0
=
1
z2
2
dz
=1
Mean and Standard deviation

for Normal distribution
Theorem: Let X be a normal
random variable with parameters
and . Then is the mean of X and
is its standard deviation.
The density Curves
Cumulative Distribution
Function
Standard Normal Distribution

Theorem: Let X be normal with mean
and standard deviation . The
variable
Z=
is standard normal. Z has mean 0

and standard deviation 1.
Standard Normal Distribution

The probability density function is given by
1
f ( z) =
e
2
z2
z (, )
The corresponding distribution function is

z
given by
FZ ( z ) = P( Z z ) =
f ( z ) dz
1
=
2
z2
dz
1
F ( x) = P( X x) =
2
s
Let
=z
1
F ( x) =
2
2 2
ds,
s = + z ds = dz
s )2
(
z2
x -
dz = P Z
= FZ ( z )

Rajiv
Moment Generating Function
1
mZ (t ) = E[e ] =
2
Zt
1
=
2
z2
2
zt
e
e
dz
z2
zt
2
dz
2
2
2
2
2
z
z 2tz + t
t t
(z t)
+ =
zt
=
2
2
2 2 2
2
t
2
( z t ) 2

2
1
mZ (t ) = e
e
2
Let z - t = w dz = dw
2
mZ (t ) = e
t
2
1
2
w2

2
dz
dw = e
t2
2

Let Z be normally distributed with
parameters = 0 and = 1, then
the moment generating function for
Z is
2
t
2
Z
m (t ) = e

Let X be normally distributed with
parameters and , then the moment
generating function for X is given by
m X (t ) = E[e ] = E[e
Xt
= e E[e
=e
( t ) Z
t( Z + )
t 2 2
t
2
]=e e
t 2 2
t +
2
Mean and Variance for Normal r.v.
d
Mean = E[ X ] = m X (t ) =
dt
t =0
2
d
2
2
and E[X ] = 2 m X (t ) = +
dt
t =0
2
Var ( X ) = E[X ] - E[X] = +

2
2
(i) If X is N(, )
a
c
P(a X c) = FZ
FZ

(ii ) FZ ( z ) = 1 FZ ( z )
(iii ) FZ ( z ) 0 if z -3.5
FZ ( z ) 1 if z 3.5
Example
Using table, find the values of
(i) P[Z 1.31]
(ii) P[Z < 1.31]
(iii) P[Z = 1.31]
(iv) P[Z > 1.31]
(v) P[-1.305 Z 1.43]
(vi) z .10 (vii) z .90
(viii) The point z such that
P(-z Z z) = 0.9
(i) P[Z 1.31]

(ii) P[Z < 1.31]
1
FZ ( z ) = P( Z z ) = f ( z ) dz =
2
0.00 0.01 0.02
0.03
z2
dz
0.04
1.3 .9032 .9049 .9066 .9082 .9099

1.4 .9192 .9207 .9222 .9236 .9251
(i) P[Z 1.31] = .9049

(ii) P[Z < 1.31] = .9049
(iii) P[Z = 1.31]

(iv) P[Z > 1.31]
1
FZ ( z ) = P( Z z ) = f ( z ) dz =
2
0.00 0.01 0.02
0.03
z2
dz
0.04
1.3 .9032 .9049 .9066 .9082 .9099

1.4 .9192 .9207 .9222 .9236 .9251
(iii) P[Z = 1.31] = 0

(iv) P[Z > 1.31] = 1 - P[Z 1.31]
= 1- 0.9049
(v) P[-1.305 Z 1.43]

z
0.00 0.01 0.02
0.03
0.04
1.3 .9032 .9049 .9066 .9082 .9099

1.4 .9192 .9207 .9222 .9236 .9251
P[-1.305 Z 1.43] = F(1.43) - F(-1.305)

= 0.9236 (1 F(1.305))
= 0.9236 1+(0.9032 + 0.9049)/2)
= 0.82765
(vi) z .10
(vii) z .90
(vi) P(Z zr ) = r
P(Z z.10 ) = 0.10
P(Z < z.10 ) = 0.90
z.10 = 1.28
0.05 0.06 0.07 0.08 0.09
.8997 .9015
1.2
z
1.4
(vii) z .90 = ?
(viii) The point z such that
P(-z Z z) = 0.9
P(-z Z z) = F(z) - F(-z)
=2F(z) 1 = 0.9
i.e. F(z) = 0.95
z = 1.645
z
1.6
0.04
0.05
0.9495 0.9505
1.4
Example
X is normally distributed and the mean of X is
12 and standard deviation is 4.
(i) Find P(X 10), P(X 10), P(0 X 12)
(ii) Find r, where P(X > r) = 0.24
(iii) Find a and b, where P(a < X< b) = 0.50
and P(X > b) = 0.25
Example
If X is normal random variable with
P(X 35) = 0.07 & P(X 63) = 0.89
Find mean & standard deviation of X.
Section 4.4, page no 145, 41

Most galaxies take the form of a flatten disc,
with the major part of the light coming from this
very thin fundamental plane. The degree of
flattening differs from galaxy to galaxy. In the
Milky Way Galaxy most gases are concentrated
near the center of the fundamental plane. Let X
denote the perpendicular distance from this
center to a gaseous mass. X is normally
distributed with mean 0 and standard deviation
100 parsecs. (A parsec is equal to
approximately 19.2 trillion miles.)
(a) Sketch a graph of the density for X. Indicate on

this graph the probability that a gaseous mass
is located within 200 parsecs of the center of
the fundamental plane. Find this probability.
(b) Approximately what percentage of the gaseous
masses are located more than 250 parsecs
from the center of the plane?
(c) What distance has the property that 20% of the
gaseous masses are at least this far from the
fundamental plane?
(d) What is the moment generating function for X?
Log-Normal Distribution
The positive random variable Y is
said
to
have
a
log-normal
distribution, if logeY is normally
distributed.
That is,
logeY ~ N(,)=X
& are not mean & standard deviations

of Log-normal random variable.
Section 4.4, Problem 45/ p 146
Let X be normal with mean and

variance 2. Let G denote the
cumulative distribution for Y = eX
and let F denote the cumulative
distribution for X.
Show that (i) G(y) = F(lny)
(ii) G(y) =F(lny)/y
(iii) Find density of Y
a) G(y) = P(Y y) = P(eX y) = P(X ln y)

= F(ln y)
b) dG ( y )
dy
dF (ln y )
d ln y
=
= F (ln y )
dy
dy
1
= F (ln y ) .
y
c) Now X ~ N(,). Therefore,

1
G ( y ) = P( X ln y ) =
2
ln y
x )2
(
2 2
dx,
, x (, ); > 0.
dw
,
x = ln w, w = e , dx =
w
x
1
G( y) =
2
1
0 w e
(
ln w )2
2 2
dw
2
dG
1 1
2
e
,y>0
=
dy
2 y
= 0 otherwise
Hence, the density for Y is given by
(
ln y )2
g ( y) =
1
2 y
(
ln y )2
2 2
, (, ); y, > 0
= 0 other wise.
Problem 46
Let Y denote the diameter in millimeters of
styrofoam pellets used in packing. Assume
that Y has a log-normal distribution with
parameter = 0.8, = 0.1.
(i)
Find the probability that a randomly

selected pellet has a diameter that
exceeds 2.7 mm
(ii) Find two values of Y such that probability
is approximately 0.95 between these
values?
(i) Find the probability that a randomly

selected pellet has a diameter that
exceeds 2.7 mm
P(Y > 2.7) =

P(exp(X) > 2.7) = P(X > ln(2.7))
X - ln(2.7) .8
P
>
0.1

= P ( Z > 1.93) = 1 F (1.93)
= 1 - 0.9732 = 0.0268
(ii)
P[y1 < Y < y2] = 0.95

P(y1< exp(X) < y2) = P(ln y1< X < ln y2)
ln y1 .8 X - ln y2 .8
P
<
<
= 0.95
0.1
0.1
ln y2 .8
ln y1 .8
<Z<
P
= 0.95
0. 1
0.1
0.95
0.025
z0.975
0.025
z0.025
ln y2 0.8
ln y1 0.8
P
<Z<
= 0.95
0.1
0.1
ln y1 0.8
= z0.975
0.1
ln y2 0.8
= z0.025
0.1
ln y1 0.8
= z0.975 = 1.96, y1 = 1.829
0.1
ln y2 0.8
= z0.025 = 1.96, y2 = 2.707
0.1
Thank You

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BITS Pilani

MATH F111 & AAOC C111

Continuous Random Variables

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CONTINUOUS DENSITY (Probability

Probability for Interval

where a and b are real numbers. Area under the

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CUMULATIVE DISTRIBUTION FUNCTION

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PROBABILITY by using cdf F(x)

EXERCISE 4.1, 9 PAGE 140

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(a) cumulative density function

Use cdf F, find P[2.5X 3], P[1X3.5].

P[1 x 3.5] = F (3.5) F (1)

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Determine and . Hence find

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EXERCISE 4.1.14, PAGE 141

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Clearly f(x) 0 for all x. But F is not cdf as

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(5) (Continuous uniform distribution) A

(a) Show that this is a density for a

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(b) Sketch the graph of the uniform density.

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( ii ) Shade the area in the graph of part (b)

(c ) Find the probability pictured in part: ii

(e) Let (l, m) and (d, f) be subintervals of (a, c)

(10) Find the general expression for the

EXPECTATION & DISTRIBUTION

MEAN ,VARIANCE, S.D. & MGF (m.g.f.)

where X is the c.r.v. with density f(x).

2. Let X be the c.r.v. with density

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Variance is shape parameter in the

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Section 4.2, page 141, 17

(a)Find the moment generation function

(b) Use mX(t) to find the average length of such

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Exercise 4.2.24 page 143

MGF of uniform distribution

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Use definition to find mean and

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Section 4.1, page no 139, 6

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is uniformly distributed over the interval [0, 2].

(b) Sketch the graph of the density.

(e) If 10 birds are released independently

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Example : A random variable X with density

Cauchy distribution with density

| x | f ( x) dx does not exist.

Multiply and divide by 2, we get

which does not exist, as

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