Module 3: Random Variables

Lecture 7: Continuous Probability distribution (contd.)

1. Introduction
In the previous lecture, discussions on probability distribution functions (pdf) and some such
useful functions i.e., Uniform Distribution, Normal Distribution, Log Normal Distribution,
Exponential Distribution, Gamma Distribution, Weibull Distribution and Beta Distribution, were
presented. This lecture continues with the discussion for Beta Distribution, Gamma Distribution,
Pearson Distribution, Pearson Type III Distribution, Log Pearson Type III Distribution, Extreme
Value Distributions and Weibull Distribution. These are discussed one after another.
2. Beta Distribution
The Beta distribution is a two parameter (o and | ) continuous probability distribution defined
over the interval 0 to 1. The Beta distribution can also be defined over an interval having lower
and upper bounds a and b respectively. If the limits a and b of the Beta distribution are
unknown, then it becomes a four-parameter distribution with parameters o , | , a and b . If a
RV takes on values between 0 and 1, its probability density function is often described by the
beta distribution which is given by
( )
( )
( )
0 , ; 1 0
,
1
1 1
> < <

=

| o
| o
| o
x
B
x x
x f
X
(1)
where ( ) | o, B is the beta function given by ( ) ( )
( ) ( )
( ) | o
| o
| o
| o
+ I
I I
= =
}

dx x x B
1
0
1 1
1 ,
and ( )
}

= I
0
1
dx e x
x o
o
The cumulative Beta Distribution function is given by
( )
( )
( ) | o
| o
,
,
B
B
x F
x
X
= (2)
where ( ) ( )
}

=
x
x
dx x x B
0
1 1
1 ,
| o
| o
The following figures (Fig 1a and Fig 1b) show the pdf and CDF of beta distribution
respectively.

Fig. 1a. pdf of Beta distribution


Fig. 1b. CDF of Beta distribution

2.1 Mean and Variance of Beta Distribution
The mean is given by | |
| o
o
+
= X E
The variance is given by | |
( )( )
2
1 | o | o
o|
+ + +
= X Var
The coefficient of skewness is given by
( ) ( )
( ) o| | o
| o o |

2
1 2
+ +
+ +
=
X

If 1 = = | o , then we get the uniform distribution in the interval 0 to 1.
It may be noted that any random variable that has finite maximum and minimum points can be
expressed as a Beta distribution. Uniform distribution also has finite maximum and minimum;
however its density is uniform within these limits. Thus, it is a special case of Beta distribution.
2.2 Application of Beta distribution
In the context of Civil Engineering, proportion of highway stretch requiring repairs, proportion
of the total work involved in a building project etc. may be modeled as Beta distribution.

3. Gamma Distribution
The Gamma Distribution is typically used to model the random variables having a lower bound
zero, such as river flows. This can also be viewed as waiting time until the
th
| event in a
Poisson process. It is the distribution of a sum of | number of exponentially distributed RVs.
The pdf for Gamma distribution is given by
( )
( )
otherwise
x e x x f
x
X
0
0 , 0 , 0
1
1
=
> > >
I
=

| o
o |
| o
o
(3)
where ( )
}

= I
0
1
dx e x
x o
o
The cumulative Gamma Distribution function is given by ( )
( )
dx
e x
x F
x
x
X
}

I
=
0
1
1
o
| o
| o

where ( )
}

= I
0
1
dx e x
x o
o
The pdf and CDF of Gamma distribution are shown in Fig 2a and Fig 2b respectively.




3.1 Properties of the Gamma Function
The pdf and CDF of Gamma distribution are expressed in terms of the Gamma function which
has some special properties:
- ( ) ( )! 1 = I o o for ,... 3 , 2 , 1 = o
- ( ) ( ) o o o I = + I 1 for 0 > o
- ( )
}

= I
0
1
dt e t
t o
o for 0 > o
- ( ) ( ) 1 2 1 = I = I
- ( ) t = I
2
1

0 1 2 3 4 5 6 7 8 9 10
0
0.05
0.1
0.15
0.2
0.25
x
f
X

(
x
)
alpha=2, beta=2

Fig. 2a. pdf of Gamma distribution

0 2 4 6 8 10 12 14
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
x
F
X

(
x
)
alpha=2, beta=2

Fig. 2b. CDF of Gamma distribution
The two-parameter (scale parameter o and shape parameter | ) Gamma Distribution is a
positively skewed distribution. For a fixed value of | , the skewness decreases as o increases.
For a fixed value of o , the peak decreases as | increases. The effects of change of the
parameter values on the shape of the distribution are shown in Fig 2c and Fig 2d respectively.
The exponential distribution is a special case of the Gamma distribution with 1 = o . It is shown
in Fig 2e.
0 1 2 3 4 5 6 7 8 9 10
0
0.05
0.1
0.15
0.2
0.25
0.3
0.35
0.4
0.45
0.5
x
f
X

(
x
)
alpha=2, beta=1
alpha=4, beta=1
alpha=8, beta=1

Fig. 2c. Gamma distribution with same | and different o
0 1 2 3 4 5 6 7 8 9 10
0
0.05
0.1
0.15
0.2
0.25
x
f
X

(
x
)
alpha=2, beta=2
alpha=2, beta=3
alpha=2, beta=4

Fig. 2d. Gamma distribution with same o and different |

0 1 2 3 4 5 6 7 8 9 10
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
x
f
X

(
x
)
alpha=1, beta=2

Fig. 2e. Exponential distribution as a special case of Gamma distribution
3.2 Mean and Variance of Gamma Distribution
The mean is given by | | o| = X E
The variance is given by | |
2
o| = X Var
The coefficient of skewness is given by
o

2
=
3.3 Application of Gamma distribution
To understand the application of Gamma distribution, let us consider a system comprising of two
pumps where the performance of each pump is independent of the other. The occurrence of
breakdown of a pump is a Poisson distributed random variable. The life span of each pump can
be described by exponential distribution whereas the life of the total system (which is the sum of
the lives of the two pumps) may be modeled using the Gamma Distribution.
In the context of Civil Engineering, positively skewed hydrological variables such as river flows
are often modeled by Gamma distribution.
4. Pearson Distribution
The Pearson Distribution was proposed by Karl Pearson to model frequency distribution of
skewed random variables. The distribution is given by
( )
( )
( )
|
|
.
|

\
|
}
+ + +
+
=

x
X
dt
t t
t
x f
...
exp
2
2 1 0
| | |
o
(4)
The above is a family of seven distributions based on the value of the parameters.
4.1 Pearson Type III Distribution
The Pearson Type III Distribution is a 3-parameter distribution from the family of Pearson
distributions. It is sometimes called the 3-parameter Gamma distribution.
The pdf is given by ( )
o
o
o
o
x
X
e
x
p x f

|
.
|

\
|
+ = 1
0

where the mode is at 0 = x , ( ) 0
0 X
f p = , the lower bound is at o = x , and the difference
between the mean and the mode is o .
5. Log Pearson Type III Distribution
If a RV ( ) X Y log = follows Pearson Type III distribution, then the RV X follows the Log
Pearson Type III distribution. It may be noted that Log Normal Distribution is a special case of
Log Pearson Type III distribution when the RV ( ) X Y log = is symmetric about the mean.
5.1 Application of Pearson Type III and Log Pearson Type III distribution
Annual Maximum flood peaks are generally described by Pearson Type III distribution. If the
observations present a very highly positively skewed data, then Log Pearson Type III distribution
is used for modeling. This log transformation reduces the skewness and can even change a
positively skewed data to a negatively skewed one.
6. Generalized Extreme Value (GEV) Distribution
The Generalized Extreme Value Distributions are a family of continuous probability distribution
that are used to model the maximum and minimum limits of a normalized set of independent and
identically distributed random variables. These distributions are asymptotic and depend on the
nature of the tail of the distribution of the basic RV.
The Generalized Extreme Value pdf is given by
( )
(
(
(

)
`

|
.
|

\
|
+


(

|
.
|

\
|

+ =

o

o
1
1
1
1
1
1
x
X
e
x
x f
(5)
where ( ) 0 / 1 > + o x , is the location parameter, o is the scale parameter and is the
shape parameter.
The cumulative Generalized Extreme Value function is given by
( )
(
(
(

)
`

|
.
|

\
|
+

=

o

1
1
x
X
e x F (6)
6.1 Types of Extreme Value Distribution
Based on the tail behaviour of the distribution of the basic RV, there can be three types of
extreme value distributions:
- Type I: It refers to the Gumbel Distribution.
- Type II: It refers to the Frchet Distribution.
- Type III: It refers to the reversed Weibull Distribution.
The following figures (Fig 3a and Fog 3b) show the pdf and CDF of EV Type 1 distribution.
6.2 Application of EV distributions
In the context of Civil Engineering, EV distributions are often used to model very low or very
high streamflows. Gumbel distribution (EV Type I) is very useful for flood analysis.

Fig. pdf of Type I EV distribution


Fig. CDF of Type I EV distribution
7. Weibull Distribution
The pdf of Weibull Distribution is given by
( )
otherwise
x for e
x
x f
x
X
0
0
1
=
> |
.
|

\
|
=
(
(

|
.
|

\
|

|

|

The cumulative distribution function is given by
( )
otherwise
x for e x F
x
X
0
0 1
=
> =
(
(

|
.
|

\
|

A typical pdf and CDF of Weibull distribution are shown in the following figures (Fig 1a and Fig
1b respectively).

0 0.5 1 1.5 2 2.5 3 3.5 4

0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
x
f
X

(
x
)
lamda=1, beta=2

Fig. 1a. pdf of Weibull distribution

0 0.5 1 1.5 2 2.5 3
0
0.2
0.4
0.6
0.8
1
x
F
X

(
x
)
lamda=1, beta=2

Fig. 1b. CDF of Weibull distribution

7.1 Mean, Variance and Coefficient of Skewness of Weibull Distribution
The mean is given by ( )
1
1

+ I = |
The variance is given by ( ) ( ) | |
1 2 1 2 2
1 2 1

+ I + I = | | o
The coefficient of skewness is given by
( ) ( ) ( ) ( )
( ) ( ) | |
2
3
1 2 1
1 1 1 1 3
1 2 1
3 1 2 1 1 3 1 2


+ I + I
+ I + + I + I + I
=
| |
| | | |

It may be noted that when the parameter 1 = | , the Weibull distribution becomes an exponential
distribution. For a constant value of , as | increases, the skewness decreases and the Weibull
distribution becomes almost symmetrical. On the other hand, for a constant value of | , as
increases, the peak lowers and the Weibull distribution becomes flatter. The following figures
(Fig 1c and Fig 1d respectively) show the change in shape of the distribution due to change in
parameter values.
0 0.5 1 1.5 2 2.5 3 3.5 4
0
0.2
0.4
0.6
0.8
1
1.2
1.4
1.6
1.8
2
x
f
X

(
x
)
lamda=1, beta=1
lamda=1, beta=2
lamda=1, beta=4

Fig. 1c. Weibull distribution with same (scale parameter) and different | (shape parameter)
0 0.5 1 1.5 2 2.5 3 3.5 4
0
0.2
0.4
0.6
0.8
1
1.2
1.4
1.6
1.8
2
x
f
X

(
x
)
lamda=1, beta=2
lamda=2, beta=2
lamda=3, beta=2

Fig. 1d. Weibull distribution with same | (shape parameter) and different (scale parameter)

7.2 Application of Weibull distributions
Weibull distribution is often used to model the failure time of a system. In such cases, the shape
parameter | has the following interpretations:
- If 1 > | , it indicates that the failure rate is increasing with time i.e., the tendency to fail is
increasing with aging of the system
- If 1 = | , it indicates that the system has a constant failure rate
- If 1 < | , it indicates that the failure rate is high initially and decreases gradually as the
defective elements are removed from the population
In the context of Civil Engineering, Weibull distribution may be used to study failure strengths
of engineering materials and also to describe the failure time of machines. Probability
distribution of wind speed is sometimes modeled as Weibull distribution. Hydrological variables,
such as, annual maximum daily rainfall depth can be modeled by Weibull distribution.

8. Concluding Remarks
In this lecture, in addition to those discussed in the last lecture, some more continuous
probability distribution functions are discussed. Though the list is not exhaustive, these are
mostly used in different civil engineering problems. There are some more useful distribution
functions used for statistical tests, which depend on the probability distributions of sample
statistics. Some of the most important probability distributions of sample statistics are:
- Chi square distribution
- F distribution
- t distribution
These distributions will be discussed in later lectures.