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Random Variable
Probability Distribution of a Continuous Random Variable
• Let X be a continuous random variable.
• A continuous random variable X can assume all possible
values between a given interval say a £ x £ b.
• Range set of X is an interval on the real line.
• X can take infinite number of values and they are always
uncountable.
• We can not assign a probability to each possible value.
• Point probability p(x) becomes meaningless in this case.
• Replace the pmf p, by a function f defined for all values of
a £ x £ b.
• This probability distribution function f of a continuous
random variable is known as probability density function
(pdf)
Properties: probability density function (pdf)
• Equivalent to the case of discrete random variable we have
probability density function (pdf) f satisfying the following properties:
ì 1 1 æ x-µ ö 2
- ç ÷
ï e 2 è s ø
, -¥ < x < ¥, - ¥ < µ < ¥, s > 0,
f ( x) = í
s 2p
ï 0, otherwise
î
• We write X ~ N(μ, σ ).
• Let X ~ N(μ, σ ).
• μ and σ are called as the parameters of normal
distribution.
• Mean of Normal Distribution: E(X) = μ
• Variance of Normal Distribution: Var(X) = σ2
• Probability curve is ‘Bell Shaped’.
• Location is characterized by μ
• Spread is characterized by σ
• Theoretically it extends from -∞ to ∞. σ
s = 10 s = 10 s = 10
µ = 5 µ = 10 µ = 15
s = 5
s = 10
s = 15
µ = 0
s = 5
s = 15
s = 10
µ = 15
µ = 5 µ = 0
Areas under the Normal Curve
• No matter what the values of µ and s are for a
normal probability distribution:
Ø Approximately 68.27% of the area under the curve is
covered within 1 standard deviation on either side of
mean.
– i.e., Approximately 68.27% of all the values lie within 1
standard deviation from the mean
– i.e., the probability that a normal variable will be within
1 standard deviation from its mean (on either side) is
approximately 0.6827.
1σ 1σ 2σ 2σ
3σ 3σ
Area under normal curve
μ = 100
σ = 30
Area a
100 130
1σ = 30
μ = 60
σ = 35 Area b
60 95
1σ = 35
Computing Normal Probabilities
a b
F(a) F(b)
(X+5)~N(15, σ)
(X-5)~N(5, σ)
µ=5 µ = 10 µ = 15
X/2~N(0, 5)
X~N(0, 10)
2X~N(0, 20)
µ=0
a-10 µ = 0 a µ = 10
s = 1
s = 2 a/2 a
Conversion process…..
X -µ
Transformation rule: Z=
s
• Variable Z measures deviation from mean in units of
standard deviation.
95.45%
-3s -2s -s µ s 2s 3s
99.73%
STANDARD
NORMAL MEAN=0
CURVE 68.27% S.D=1
95.45%
Z=0
-3 -2 -1 1 2 3
99.73%
X
• For area on –ve side, find area on +ve side for the same
value (symmetric curve)
0 z
Normal Tables
Find area under the normal curve
1) P( 0 £ Z £ 1.2)
ANS: .3849
0 1.2
2) P( -.68 £ Z £ 0)
= P( 0 £ Z £ .68)= .2518
3) P( -.46 £ Z £ 2.21)
-.46 2.21
P( -.46 £ Z £ 0) +P( 0£ Z £ 2.21)
= .1772 + .4864 = .6636
4) P( .81 £ Z £ 1.94 )
.81 1.94
P( 0 £ Z £ 1.94) – P( 0 £ Z £ .81)
=.4738 - .2910 = .1828
5) TO THE LEFT OF Z = - .6
-.6
6) TO THE RIGHT OF Z= -1.28
-1.28
7) RIGHT OF Z= 2.05 AND LEFT OF Z= -1.44
-1.44 2.05
s =4
76 80
• Ans = 0.1587
Example:
• A bank manager has learnt that the length of time the
customers have to wait for being attended by the teller
is normally distributed with mean time of 5 minutes and
standard deviation of 0.8 minutes. Find the probabilities
that a customer has to wait:
• for less than 6 minutes
• for more than 3.5 minutes
• between 3.4 and 6.2 minutes
.9 s = 12
60 x
Sol: 75.6
Example:
• The marks on a statistics test are normally distributed
with a mean of 62 and a variance of 225.
• The instructor wishes to assign ‘B’ or higher to the top
30% of the students in the class.
• Obtain minimum marks required to get a ‘B’ or higher?
• µ = 62 and s = 15
• X~N(62, 15)
• P(X ≥ x) = 0.70, x= ?
• Z~N(0,1)
• Find z s.t. P(Z ≥ z)=.20
• Z=.53
• Now using the transformation rule x=µ +Zs = 69.95 Approx
Example:
• Mensa is an organization whose members possess IQs that
are in top 2% of the population.
• It is known that IQs are normally distributed with a mean of
100 and a standard deviation of 16.
• Find the minimum IQ needed to be a Mensa member.
• Sol: 132.8