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CHAPTER 4 (Week 6)
CONTINUOUS PROBABILITY
DISTRIBUTION
Dr.S.Rajalingam

L1- Exponential and Normal distribution


Remark : Refer to Chapter 3

Exponential and Normal


Distribution
Learning Objectives:
At the end of the lecture, you will be able to :
- Select an appropriate continuous probability
distribution to calculate probabilities in specific
application
- Calculate the probability, means and variance for each
of the continuous distributions presented
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The probability functions are described by formulas


that depend on some parameter values:
The expectations (means) and variances of the
distributions are also specified in terms of these
parameters.

Common continuous distributions:

uniform distribution
exponential distribution
gamma distribution
Weibull distribution
beta distribution
normal distribution

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uniform distribution

exponential distribution

Weibull
distribution

beta distribution

The exponential distribution has a state space x 0


The exponential distribution is often used to model
failure or waiting times and inter arrival times.
The random variable X that equals the distance between
successive events of a Poisson process with mean l > 0 is
an exponential random variable with parameter l .

In Poisson l is the mean number of occurrences in that


interval.
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Events

Time

X1

X2

X4

X3

Independent exponential random variables

Exponential Distribution

Probability

Density Function (pdf) of exponential distribution

le l x , x 0
f ( x)
, otherwise
0
Cumulative Distribution Function

0,
F ( x) l x
1 e

x 0,
x0

Mean and Variance

E ( X)

1
1
, V ( X) 2
l
l
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Example 1:
Let X is the number of individuals failing in a large group and has a
exponential distribution. If we assume that the mean of X is 10, what is
the probability that more than 20 will fail at the same time?

le l x , x 0
f ( x)
, o/w
0

Solution:

(0.1)e 0.1x
f ( x)
0

,x0

Mean E ( X )

10

l 0.1

, otherwise

(a) P( x 20) (0.1)e 0.1x dx e 0.1x


20

20

e 2 0.135
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Example 2:
Let X be an exponential random variable with = 0.05 Calculate the
following probabilities:
a. P(X < 50)
b. P(x > 60)
c. P(50 < x < 60)
le l x , x 0
d. What is the mean and the variance of X.

(0.05)e 0.05x , x 0
f ( x)
, otherwise
0
50

f ( x)
0

o/w

50

(a) P( x 50) (0.05)e 0.05x dx e 0.05x


0
0

1 e 2.5 1 0.082 0.918


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le l x , x 0
f ( x)
, o/w
0

E ( X)

1
1
, V ( X) 2
l
l

(b) P( x 60) (0.05)e 0.05x dx e 0.05x


60
60

e 3 0.05
60

60

(c) P(50 x 60) (0.05)e 0.05x dx e 0.05x


50
50

e 2.5 e 3 0.082 0.05 0.032


(d ) E ( x)

1
1
20, V ( x)
400
0.05
(0.05) 2
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Exercise:

DYS

The lifetime of a certain electronic component


is known to be exponentially distributed with
a mean lifetime of 100 hours. What is the
probability that
(i)the lifetime of the component is more than
100hours?
(ii)the lifetime of the component is between
50 to 100hours?
(iii)a component will fail before 50hours?
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The most important of all continuous probability distribution


Used extensively as the basis for many statistical inference
methods.
The probability density function is a bell-shaped curve that is
symmetric about m.

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The notation X ~ N (m , s2 ) denotes the


random variable X has a normal
distribution with mean m and variance s

A normal distribution with mean m 0


and variance s2 = 1 is known as the
standard normal distribution.

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Standard Normal Distribution (Graphic)

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Probability Density function of X ~ N ( m,s 2 )


f ( x)

1
1 [( x m ) / s ]2
e 2
2 s

, x ,

where m is a real number and s 0 .

E(X) = m and

V(X) = s 2

Graph
pdf

cdf
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In order to compute P(a X b) when X is a normal rv


with parameters m and s, we must determine
b

2 s

12 [( x m ) / s ]2

However, it is not easy to evaluate this expression, so numerical


techniques have been used to evaluate the integral when m 0 and
s 1, for certain values of a and b and results are tabulated.
standard normal distribution : The normal distribution with
parameter values m 0 and s 1.
standard normal random variable (Z ) : A random variable
having this distribution.
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Z ~ N ( 0 , 1)

Probability Density of Standard Normal RV

( z)

z2

1
e 2 , z
2

Cumulative Distribution Function


z

P(Z z) ( z) (t ) dt

t2
2

1
e dt , z

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The function ( z ) P(Z z ) is the area under the


standard normal density curve to the left of z

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Example 1: Evaluate
a) P(Z 1.25)

(1.25) 0.8944

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Example 1: Evaluate
b) P(Z 1.25) (1.25) 0.1056

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Example 1: Evaluate
a) P(Z 1.25)

(1.25) 0.8944
c) P(Z 1.25)

1 P( Z 1.25)
1 (1.25)
0.1056

b) P(Z 1.25)

(1.25) 0.1056
d ) P(0.38 Z 1.25)

(1.25) (0.38)

0.8944 0.3520
0.5424
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Example 2:

After completing a study, the civil engineering


department in UTP concluded that the time UTP
employees spend commuting to work each day is
normally distributed with a mean equal to 15
minutes and a standard deviation equal to 5
minutes. One employee has indicated that he
commutes 25 minutes per day. Find the probability
that an employee would commute 25 or more
minutes per day.

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Solution Example 2:

The random variable X is the time employees spend


commuting to work and
X ~ N(m , s2)
where m = 15 and s2=(5)2

x m 25 15
P( X 25) P

5
s
P( z 2)
1 P( z 2)

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x m 25 15
P( X 25) P

5
s
P( z 2)
1 P( z 2)
1 (2)
1 0.977
0.023
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Exercise:
The line width of a tool used for semiconductor manufacturing is
assumed to be normally distributed with a mean of 0.55 mm and
variance of 0.0025 mm.
(a) What is the probability that a line width is greater than 0.60 mm?
(b) What is the probability that a line width is between 0.45 mm and
0.65mm?
(c) The line width of 95% of samples is below what value?

DYS
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END

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