ENGINEERING DATA ANALYSIS

CONTINUOUS PROBABILITY DISTRIBUTION

Objectives:
 explain what is meant by the term continuous random variable
 explain what is meant by the term continuous probability distribution
 use three continuous distributions which are important to engineers

Definition: Continuous Random Variable

 A random variable X is said to be continuous if it can assume any value or infinite number of
possible values in a given interval. This contrasts with the definition of a discrete random variable
which can only assume discrete values.

 In experiments of this kind we never determine the probability that the random variable assume a
particular value but only calculate the probability that it lies within a given range of values.

 This kind of random variable is called a continuous random variable and it is characterised or can
be modelled, not by probabilities of the type P(X = x) (as was the case with a discrete random
variable), but by a function f(x) called the probability density function (pdf for short).

 The probability P(a < X < b) is the area under the function curve f(x) and so is given by the integral
𝑏
∫ 𝑓(𝑥)𝑑𝑥
𝑎

Example: Identify the following function whether it is a probability density function or not.
𝑥, 0 ≤ 𝑥 ≤ 1
1. 𝑓(𝑥) = {
0, 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒
𝑥
1− 2, 0 ≤ 𝑥 ≤ 2
2. 𝑓(𝑥) = {
0, 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒
2 10
𝑥 − 4𝑥 + 3 , 0 ≤ 𝑥 ≤ 3
3. 𝑓(𝑥) = {
0, 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒

Note:
 𝑓(𝑥) represents the height of the curve at point x
 The probability the random variable X is exactly equal to any specific value is 0 that is
𝑃(𝑥 = 𝑎) = 0. Thus 𝑃(𝑎 < 𝑥 < 𝑏) = 𝑃(𝑎 ≤ 𝑥 ≤ 𝑏).
DEFINITION: The cumulative distribution function (cdf)
 The cdf represents the probability of observing a value less than or equal to x.

 Analogous to the formula for the cumulative distribution function: 𝐹(𝑥) = ∑𝑥𝑖≤𝑥 𝑃(𝑋 = 𝑥𝑖 )
used in the case of a discrete random variable X with associated probabilities 𝑃(𝑋 = 𝑥𝑖), we
define a cumulative probability distribution function 𝐹(𝑥) for continuous random variable X by
means of the integral (being a form of a sum):
𝑥
𝐹(𝑥) = 𝑃(𝑋 ≤ 𝑥) = ∫ 𝑓(𝑡)𝑑𝑡
−∞
Where t is called the dummy variable because x is one of our limits of integration.

𝑥3
Example: What is the cumulative distribution function of 𝑓(𝑥) = 60 𝑓𝑜𝑟 2 ≤ 𝑥 ≤ 4?
What is P(X≤ 2.7)?

Mean and variance of a continuous distribution

 Let X be a continuous random variable with associated pdf f(x). Then its expectation and variance
denoted by E(X) (or μ) and V(X) (or 𝜎 2 ) respectively are given by:
∞
𝜇 = 𝐸(𝑋) = ∫ 𝑥 𝑓(𝑥)𝑑𝑥
−∞
∞ ∞
𝜎 2 = 𝑉(𝑋) = ∫ (𝑥 − 𝜇)2 𝑓(𝑥)𝑑𝑥 = ∫ 𝑥 2 𝑓(𝑥)𝑑𝑥 − 𝜇 2
−∞ −∞

Example: Find the mean and variance for following pdf:

𝑥
, 0≤𝑥≤2
1. 𝑓(𝑥) = { 2
0, 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒
3
𝑥(2 − 𝑥), 0 ≤ 𝑥 ≤ 2
2. 𝑓(𝑥) = { 4
0, 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒

Important continuous probability distributions

There are a number of continuous distributions which have important applications in engineering and
science. Among the most important continuous probability distributions are:
 Continuous Uniform Probability Distribution
 Normal Probability Distribution
 Exponential Probability Distribution
CONTINUOUS UNIFORM PROBABILITY DISTRIBUTION
 The Uniform or Rectangular distribution, where the random variable X is restricted to a finite
interval [a, b] and f(x) is constant over the range of possible values of x often defined by a function
of the form:

where: a = smallest value the variable can assume

b = largest value the variable can assume

 The expected value and variance of the continuous uniform probability distribution:
𝑎+𝑏
𝐸(𝑋) =
2
(𝑏 − 𝑎)2
𝑉(𝑋) =
12

Example: Slater customers are charged for the amount of salad they take. Sampling suggests that the
amount of salad taken is uniformly distributed between 5 ounces and 15 ounces.
a. Determine the probability density function.
b. Draw a graph of f(x).
c. What is the probability that a customer will take between 12 and 15 ounces of salad?
d. Find the expected value and variance of X.

Example: The amount of time a person must wait for a train to arrive in a certain town is uniformly
distributed between 0 and 40 minutes.

a. Determine the probability density function.

b. Draw a graph of f(x).
c. What is the probability that a person must wait less than 8 minutes?
d. What is the probability that a person must wait more than 30 minutes?
e. Find the expected value and variance of X.