Continuous Random

Variable
MATH142-2
Engineering Data Analysis
 Course Outcome
Compute the probability distribution of a random variable for
both discrete and continuous data.
 Intended Learning Outcomes
• At the end of the lesson, the students are•
expected to
• Determine probabilities from the•
probability density functions;
• Determine probabilities from cumulative
distribution functions and cumulative•
distribution functions from probability
density functions, and the reverse;
• Calculate means and variances for•
continuous random variables; and
• Calculate probabilities, determine means
and variances for some common
continuous probability distributions.
Understand the assumptions for
continuous probability distributions
Select an appropriate continuous
probability distribution to calculate
probabilities for specific applications.
Calculate probabilities, means and
variances for some common continuous
probability distributions
Approximate probabilities for binomial
and Poisson distributions
 Continuous Random Variable
PROBABILITY DENSITY FUNCTION A histogram is an approximation to a
For a continuous random variable X, a probability density function.
probability density function is a function
such that
(1) f(x) ≥ 0
(2) ∫ 𝑓 𝑥 𝑑𝑥 = 1
CUMULATIVE DISTRIBUTION FUNCTION
(3) 𝑃 𝑎 ≤ 𝑋 ≤ 𝑏 = ∫ 𝑓 𝑥 𝑑𝑥
The cumulative distribution function of
area under f(x) from a to b for any a and b a continuous random variable X is
(4-1)
If X is a continuous random variable, for (4-3)
any x1 and x2, for −∞ < x < ∞.
P(x1 ≤ X ≤ x2)= P(x1 < X ≤ x2)
Then, given F(x), as long as
= P(x1 ≤ X < x2)= P(x1 < X < x2)
the derivative exists.
(4-2)
 Mean and Variance of a Continuous Random Variable

Expected Value of CRV

If X is a continuous random variable with probability 4-7/111 Suppose that f(x) = 1.5x2
density function f(x), for −1 < x < 1. Determine the following:
𝐸ℎ 𝑋 =∫ ℎ 𝑥 𝑓 𝑥 𝑑𝑥 (a) P(0 < X) (b) P(0.5 < X)
(4-5)
(c) P(−0.5 ≤ X ≤ 0.5) (d) P(X < −2)
Suppose X is a continuous random variable with
probability density function f(x). The mean or (e) P(X < 0 or X > −0.5)
expected value of X, denoted as μ or E(X), is
(f) x such that P(x < X) = 0.05
𝜇=𝐸 𝑋 =∫ 𝑥𝑓 𝑥 𝑑𝑥
(4-4)
2. Solve for the cumulative distribution
function F(x).
The variance of X, denoted as V(X) or σ2, is
3. Find the mean and variance of the
𝜎 =𝑉 𝑋 =∫ 𝑥 − 𝜇 𝑓 𝑥 𝑑𝑥
random variable X.
=∫ 𝑥 𝑓 𝑥 𝑑𝑥 − 𝜇
The standard deviation of X is σ = √σ2.
 Mean and Variance of a Continuous Random Variable

Let the continuous random variable X 4-3/112 Electric Current For the copper
denote the current measured in a thin current measurement in Example 4-1, the
copper wire in milliamperes (mA). Assume cumulative distribution function of the
that the range of X is [4.9, 5.1] and the random variable X consists of three
probability density function of X is f(x) = 5. expressions.
What is the probability that a current is less
than 5mA? 5 5
P  X  5    f ( x) dx   5 dx  0.5
4.9 4.9

0, 𝑥 < 4.9
What is the probability that a current is 𝐹 𝑥 = 5𝑥 − 24.5, 4.9 ≤ 𝑥 < 5.1
greater than 4.95 mA? 1, 5.1 ≤ 𝑥
5.1
P  4.95  X  5.1   f ( x )dx  0.75
4.95
 Guided Learning Activity
4-2/111 Suppose that for 4-5/111 Suppose that for 3 < x <
0 < x < 8. Determine the following: 5. Determine the following probabilities:
(a) P(X < 2) (b) P(X < 9) (a) P(X < 4) (b) P(X > 3.5)
(c) P(2 < X < 4) (d) P(X > 6) (c) P(4 < X < 5) (d) P(X < 4.5)
(e) x such that P(X < x) = 0.95. (e) P(X < 3.5 or X > 4.5)
4-20/114 Determine the cumulative
distribution function for the distribution in • 4-6/111 Suppose that f(x) = e−(x − 4) for 4 <
Exercise 4-2. x. Determine the following:
4-40/116 Determine the mean and variance • (a) P(1 < X) (b) P(2 ≤ X < 5)
of the random variable in Exercise 4-2.
• (c) P(5 < X) (d) P(8 < X < 12)
• (e) x such that P(X < x) = 0.90
 Guided Learning Activity
• 4-13/113 Suppose the cumulative 4-18/114 Suppose the cumulative
distribution function of the random distribution function of the random
variable X is variable X is
0, 𝑥 < 0 0, 𝑥 < −2
𝐹 𝑥 = 0.2𝑥, 0 ≤ 𝑥 < 5 𝐹 𝑥 = 0.25𝑥 + 0.5, −2 ≤ 𝑥 < 2
1, 5 ≤ 𝑥 1, 2 ≤ 𝑥
Determine the following: Determine the following:
• (a) P(X < 2.8) (b) P(X > 1.5) (a) P(X < 1.8) (b) P(X > −1.5)
• (c) P(X < −2) (d) P(X > 6) (c) P(X < −2) (d) P(−1 < X < 1)

4-21/114 Determine the cumulative

distribution function for the distribution in
Exercise 4-3.
f(x) = 0.5 cos x for −π/2 < x < π/2
 Guided Learning Activity
4-47/116 The thickness of a conductive
coating in micrometers has a density 4-29/114 Determine the probability density
function of 600x −2 for 100 μm < x < 120 μm. function.
(a) Determine the mean and variance of the 0, 𝑥 < 0
coating thickness. 𝐹 𝑥 =
0.2𝑥, 0 ≤ 𝑥 < 4
0.04𝑥 + 0.64, 4 ≤ 𝑥 < 9
(b) If the coating costs $0.50 per 1, 9 ≤ 𝑥
micrometer of thickness on each part, what
is the average cost of the coating per part?
(c) Find the cumulative distribution function
F(x)
(d) Find the mean and Variance of the
random variable X.
 Continuous Uniform Distribution
A continuous random variable X with
probability density function 4-50/118 Suppose X has a continuous uniform
distribution over the interval [1.5, 5.5].
f(x) = ,a≤x≤b (a) Determine the mean, variance, and standard
(4-6) deviation of X.
is a continuous uniform random variable. (b) What is P(X < 2.5)?
(c) Determine the cumulative distribution function.

Mean and Variance

If X is a continuous uniform random
variable over a ≤ x ≤ b,
𝜇 = 𝐸 𝑋 = and 𝜎2 = 𝑉 𝑋 =
(4-7)
 Guided Learning Activity
4-54/118 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.
4-46/116 Suppose the probability
density function of the length of
computer cables is f(x) = 0.1 from 1200
to 1210 millimeters.
(a) Determine the mean and standard
deviation of the cable length.
(b) If the length specifications are 1195 <
x < 1205 millimeters, what proportion of
cables is within specifications?
 Exponential Distribution

Section 4.7 Exponential Distribution

Copyright © 2019 John Wiley & Sons, Inc. All Rights Reserved 12
 0.05

Exponential Distribution 
P 0.033  X  0.05    25e -25x dx
0.033
0.05
 -e -25x  0.152
In a large corporate computer network, user log-ons 0.033

to the system can be modeled as a Poisson process An alternative solution is

with a mean of 25 log-ons per hour. What is the P  0.033  X  0.05  F  0.05 - F  0.033  0.152
probability that there are no log-ons in the next 6
minutes (0.1 hour)? What is the interval of time such that the
Let X denote the time in hours from the start of the probability that no log-on occurs during the
interval until the first log-on. interval is 0.90?

P  X > 0.1   25e -25 x dx  e
-25 0.1
 0.082  
P X > x  e -25x  0.90, - 25x  ln 0.90  
0.1
-0.10536
The cumulative distribution function also can x  0.00421 hour  0.25 minute
-25
be used to obtain the same result as follows
What is the mean and standard deviation of the
P  X > 0.1  1 - F  0.1  0.082 time until the next log-in? 1 1
m   0.04 hour  2.4 minutes
l 25
What is the probability that the time until the next 1 1
s    0.04 hour  2.4 minutes
log on is between 2 and 3 minutes ? l 25
Practical Interpretation: Organizations make wide use of probabilities
for exponential random variables to evaluate resources and staffing
levels to meet customer service needs
 Reaction Time
• The time until a chemical reaction is complete (in The exponential distribution is the only
milliseconds) is approximated by this cumulative
continuous distribution with this property
distribution function:

F  x   0
1- e -0.01 x
for x  0
for 0  x
• What is the Probability density function?

f  x 
dF  x  d  0
dx
 
dx 1 - e
-0.01 x 
0
0.01e 
-0.01 x
for x  0
for 0  x
• What is the probability that a reaction completes within
200 ms?
P  X  200   F  200   1 - e -2  0.8647

Section 4.2 Cumulative Distribution Functions

Copyright © 2019 John Wiley & Sons, Inc. All Rights Reserved 14
 Guided Learning Activity
4-8/111 The probability density 4-1/111 Suppose that f(x) = e−x for 0
function of the time to failure of an < x. Determine the following:
electronic component /
in a copier (in (a) P(1 < X) (b) P(1 < X <
hours) is 𝑓 𝑥 = for x > 0. 2.5)
Determine the probability that
(c) P(X = 3) (d) P(X < 4)
(a) A component lasts more than 3000
hours before failure. (e) P(3 ≤ X)
(b) A component fails in the interval (f) x such that P(x < X) = 0.10
from 1000 to 2000 hours. (g) x such that P(X ≤ x) = 0.10.
(c) A component fails before 1000 2. Find the Cumulative Distribution
hours. Function
(d) The number of hours at which 10% 3. Find the mean and the Variance
of all components have failed. of the
 Guided Learning Activity
4.6.2 Suppose that X is a Poisson random variable
with λ = 6.
(a) Compute the exact probability that X is less
than four.
(b) Approximate the probability that X is less than an account has an error in a month is 0.001, and
four and compare to the result in part
(c) Approximate the probability that 8 < X < 12.
4.6.3 The manufacturing of semiconductor chips
produces 2% defective chips. Assume that the chips
are independent and that a lot contains 1000 chips.
Approximate the following probabilities:
(a) More than 25 chips are defective.
(b) Between 20 and 30 chips are defective.
4.6.6 Phoenix water is provided to approximately 1.4
million people who are served through more than
362,000 accounts
(http://phoenix.gov/WATER/wtrfacts.html). All accounts
are metered and billed monthly. The probability that
accounts can be assumed to be independent.
(a) What are the mean and standard deviation of the
number of account errors each month?
(b) Approximate the probability of fewer than 350
errors in a month.
(c) Approximate a value so that the probability that
the number of errors exceeds this value is 0.05.
(d) Approximate the probability of more than 400
errors per month in the next two months. Assume
that results between months are independent.
 Lack of Memory Property
Let X denote the time between Suppose that X has an exponential
detections of a particle with a Geiger
counter. Assume X has an exponential distribution with a mean of 10.
distribution with E(X) = 1.4 minutes. Determine the following:
What is the probability that we detect
a particle within 0.5 minute of starting (a) P(X < 5)
the counter? (b) P(X < 15|X > 10)
P  X  0.5   F  0.5   1 - e-0.5 1.4  0.30 (c) Compare the results in parts (a) and
What is the probability that a particle (b) and comment on the role of the
is detected in the next 30 seconds? lack of memory property.

P 3  X  3.5   F 3.5 - F 3  0.035  0.30

P X  3.5 X > 3   P  X > 3 1- F  3 0.117
Practical Interpretation: After waiting for 3 minutes without a detection, the
probability of a detection in the next 30 seconds is the same as the probability
of a detection in the 30 seconds immediately after starting the counter. The
fact that we have waited 3 minutes without a detection does not change the
•c
probability of a detection in the next 30 seconds.
 Erlang and Gamma Distributions
• The probability density function that defines as an Erlang
random variable

• An Erlang random variable with r = 1 is an exponential random

variable

Section 4.8 Erlang and Gamma Distributions

Copyright © 2019 John Wiley & Sons, Inc. All Rights Reserved 18
 Gamma Function

Section 4.8 Erlang and Gamma DIstributions

Copyright © 2019 John Wiley & Sons, Inc. All Rights Reserved 19
 Example 4.20
The time to prepare a micro-array slide for high-output genomics is a Poisson process with a mean of 2
hours per slide. What is the probability that 10 slides require more than 25 hours to prepare?
Let X denote the time to prepare 10 slides. Because of the assumption of a Poisson process, X has a
gamma distribution with λ = ½, r = 10, and the requested probability is 𝑃(𝑋 > 25).

P  X > 25   P  N  9 
E  N   25 1 2   12.5 slides in 25 hours
e -12.5 12.5 
k
9
P  N  9    0.2014
k 0 k!

Section 4.8 Erlang and Gamma DIstributions

Copyright © 2019 John Wiley & Sons, Inc. All Rights Reserved 20
 Weibull Distribution

Section 4.9 Weibull Distribution

Copyright © 2019 John Wiley & Sons, Inc. All Rights Reserved 21
 Example 4.21 | Bearing Wear
• The time to failure (in hours) of a bearing in a mechanical shaft is satisfactorily modeled as a Weibull
random variable with β = ½ and δ = 5,000 hours.
• What is the mean time until failure?

E  X   5000   1  1 2   5000   1.5 

 5000  0.5   4, 431.1 hours

• What is the probability that a bearing will last at least 6,000 hours?
6000
  
P X > 6,000  1- F 6,000  exp[-(  5000
) ^ 2]

 e ^ -1.44  0.237

Practical Interpretation: Consequently, only 23.7% of all bearings last at least 6000 hours

Section 4.9 Weibull Distribution

Copyright © 2019 John Wiley & Sons, Inc. All Rights Reserved 22
 Lognormal Distribution
An important special case occurs when W has a normal distribution. In that
case, the distribution of W is called a lognormal distribution

Section 4.10 Lognormal Distribution

Copyright © 2019 John Wiley & Sons, Inc. All Rights Reserved 23
 Example 4.22a | Semiconductor Laser
The lifetime of a semiconductor laser has a lognormal distribution with θ = 10 and ω = 1.5 hours.
What is the probability that the lifetime exceeds 10,000 hours?

P  X > 10, 000   1 - P exp W   10, 000

 1 - P W  ln 10, 000  
 ln 10, 000  - 10 
 1-   
 1.5 
 1 -   -0.5264 
 1 - 0.30
 0.701
Section 4.10 Lognormal Distribution
Copyright © 2019 John Wiley & Sons, Inc. All Rights Reserved 24
 Example 4.22b | Semiconductor Laser

• What lifetime is exceeded by 99% of lasers? • What is the mean and variance of the lifetime?

P  X > x   P exp W  > x   P W > ln  x   E  X   e 

2 2
2
 e101.5 2

 ln  x  - 10   exp 11.125   67,846.29

 1-     0.99
 1.5 
From Appendix Table III, 1 -   z   0.99 when z  -2.33
2

 2


V  X   e2  e - 1  e 210 1.5 e1.5 - 1
2

 2


 exp  22.25   exp  2.25 - 1  39,070, 059,886.6
ln  x  - 10
Hence  -2.33 and x  exp  6.505   668.48 hours
1.5 SD  X   197,661.5

Practical Interpretation:
The standard deviation of a lognormal random variable can be large relative to the mean

Section 4.10 Lognormal Distribution

Copyright © 2019 John Wiley & Sons, Inc. All Rights Reserved 25
 Beta Distribution

Section 4.11 Beta Distribution

Copyright © 2019 John Wiley & Sons, Inc. All Rights Reserved 26
 Example 4.23

• The service of a constant-velocity joint in an automobile requires disassembly, boot

replacement, and assembly. The proportion of the total service time for disassembly follows a
beta random variable with α = 2.5 and β = 1.
• What is the probability that a disassembly proportion exceeds 0.7?
• Let X denote the proportion. 1
      -1
P  X > 0.7    
 -1
0.7         x 1 - x dx

  3.5  1
 x
1.5
dx
  2.5    1 0.7

2.5 1.5  0.5   x 2.5

1

 
1.5  0.5   2.5 0.7

 1 -  0.7 
2.5
 0.59

Section 4.11 Beta Distribution

Copyright © 2019 John Wiley & Sons, Inc. All Rights Reserved 27
 Summary
• Probability density function is a function used to calculate probabilities and to specify
the probability distribution of a continuous random variable.
• The cumulative distribution function of a continuous random variable X is
•
• for −∞ < x < ∞.
• Then, given F(x), as long as the derivative exists.
 Summary
• Continuous uniform distribution
• f(x) = 1/(b − a), a ≤ x ≤ b

• μ = E(X) = (a + b)/2

• σ2 = V(X) = (b − a)2/12
 Summary
• Probability density function
•

•
•
•
 References
• Montgomery and Runger. Applied Statistics and Probability for Engineers, 6th Ed. ©
2014
• Montgomery and Runger. Applied Statistics and Probability for Engineers, 5th Ed. ©
2011
• Walpole, et al. Probability and Statistics for Engineers and Scientists 9th Ed. © 2012,
2007, 2002