Continuous Random Variable and

Their Probability Distributions:

Part II
Cyr Emile MLAN, Ph.D.
mlan@stat.uconn.edu
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Some Common Continuous Random Variables

Text Reference: Introduction to Probability and Its
Application, Chapter 5.
Reading Assignment: Sections 5.3-5.5, 5.7, March
18 - March 22

In this set of note, we will discuss several common but

useful distribution models for continuous random
variables.

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The Uniform Distribution

A random variable X is uniformly distributed over the
unit interval [a, b] (a<b) if its probability density function
is given is by

1
f (x) = b a
0,

We write

a x b,
elsewhere .

X U [a, b].

The cumulative distribution function

of X is

F (x) =

f (u)du =

0,

x a

ba

1,

x < a,

a x b,

x > b.

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The Uniform Distribution

Example 5.8:
The direction of an imperfection with respect to a
reference line on a circular object such a tire, brake
rotor, or flywheel is, in general, subject to uncertainty.
Consider the reference line connecting the valve stem
on a tire to the center point, and let X be the angle
measured clockwise to the location of an imperfection.
One possible probability density function for X is

1
, 0 x < 360
f (x) =
360
0,
elsewhere

Find the probability that the angle of occurrence lies

within 90o and 180o .
b). Find the probability that the angle of occurrence lies
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within 0o and 90o .
a).

The Uniform Distribution

c).

Find the probability that the angle of occurrence is

within 90o of the reference line .

Solution:
180

1
x x=180
a). P (90 X 180) =
dx =
=

360
360 x=90
90
Z 90
1
x x=90 1
b). P (0 X 90) =
dx =
= .

360
360 x=0
4
0
1 1
c). P (0 X 90) + P (270 X < 360) = + =
4 4
Z

1
.
4

1
.
2

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The Uniform Distribution

The mean and variance are respectively
a+b
(b a)2
E[X] =
and Var(X) =
.
2
12

The moment generating function of X is

MX (t) =

b
a

etx
ebt eat
dx =
ba
(b a)t

if t 6= 0

and MX (0) = 1.

There is a relationship between the uniform distribution and the

Poisson distribution. Suppose that the number of events that
occur in an interval (0, t) has a Poisson distribution. If exactly one
of these events is known to have occurred in the interval (a, b)
with 0 a < b t, then the conditional probability distribution of
the actual time of occurrence for this event given it has occurred
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is uniform over (a, b).

Joke

Old statisticians never die,

they just undergo a
transformation.

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The Exponential Distribution

Density Function
A random variable X is said to have an exponential
distribution with parameter > 0 if it has density

1 ex/ ,
f (x) =
0,

if x > 0,
otherwise.

Notation
If X has an exponential distribution with parameter ,

we write

X Exp().

Cumulative Distribution Function

If X Exp(), then the cumulative distribution function
is given by

1 ex/ , if x > 0,
F (x) =
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0, Continuous
otherwise.

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The Exponential Distribution

Survival Function
If X Exp(), then the survival function, or the
tail-probability function, or the reliability function, is
given by

ex/ , if x > 0,
S(x) = 1 F (x) =
1,
otherwise.

Hazard Function

The hazard function of the exponential distribution is

f (x)
ex/
1
=
= .
h(x) =
R(x)
ey

Thus, the exponential distribution has a constant

hazard over time.
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The Exponential Distribution

Moment Generating Function
If X Exp(), then the moment generating function is
MX (t)

tX

= E[e
=

]=

1
,
1t

tx 1 x/
e
e
dx =

1
for t < .

1 (1/t)x
e
dx

Moments
Expanding in powers of t, we get
X
X
1
tk
1
k
k
=
=
MX (t) =
(t ) =
(k! ) .
1t
1t
k!

k=0

k=0

Thus, E[X k ] = k!k ,

for k = 0, 1, 2, . . . .
In particular,
E[X] = , and
Var(X) = E[X 2 ] (E[X])2 = 2 2 ()2 = 2 .

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The Exponential Distribution

Example 5.9:
A sugar refinery has three processing plants, all of
which receive raw sugar in bulk. The amount of sugar
that one plant can process in one day can be modeled
as having an exponential distribution with a mean of 4
tons for each of three plants. If the plants operate
independently, find the probability that exactly two of the
three plants will process more than 4 tons on a given
day.

Solution:
Let X denote the amount of sugar that each plant can
process. Then X Exp(4) The probability that any
given plant will process more than 4 tons on a given day
is
P (X > 4) = e4/4 = e1 0.3679
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The Exponential Distribution

Assuming that the three plants operate independently,
we have
 
3
P (exactly two plants use more than 4 tons) =
(0.3679)2 (1 0.3679)
2
= 0.2566

Lack of Memory
If X Exp(), then


P X s + t|X t = P (X s)

for all t > 0 and s > 0.

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The Exponential Distribution

Imagine that X represents the length of time that a
certain item functions before failing. Consider the
probability that an item that is still functioning at age t
will continue to function for at least an additional time s.
The distribution of additional functional life of an item of
age t is the same as that of a new item.
The exponential distribution is used to model the
distribution of the amount of time until some event of
interest occurs (time until bus arrives, time until arrival
at an emergency room)

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The Exponential Distribution

The exponential distribution is also used to model the
distribution of times between the occurrence of
successive events, such as customers arriving at a
service facility or calls coming in to a switchboard.
The reason for this is that the exponential distribution is
closely related to the Poisson process.
Theorem 5.7:
Suppose that the number of events occurring in any time of length
t has a Poisson distribution with parameter t (where , the rate of
the event process, is the expected number of events occurring in
1 unit of time) and that numbers of occurrences in nonoverlapping
intervals are independent of one another. Then the distribution of
elapsed time between the occurrence of two successive events is
1
exponential with parameter = .

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The Exponential Distribution

Example 5.10:
A pumping station operator observes that the demand for water at a
certain hour of the day, X can be modeled as an exponential random
variable with a mean of 100 cfs (cubic feet per second).
a).

Find the probability that the demand will exceed 200 cfs on a
randomly selected day.

b).

What is the maximum water-producing capacity that the station

should keep on line for his hour so that the demand will exceed
this production capacity with a probability of only .01?

Solution:
We have X Exp(100)
a). P (X > 200) = e200/100 = .1353
b).

Find such that P (X > ) = .01, i.e., e/100 = .01.

Hence = 100 ln(.01) = 460.52 cfs .
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The Exponential Distribution

Example 5.11:
The length of time X to complete a certain key task in house
construction is an exponentially distributed random variable with a
mean of 10 hours. The cost C of completing this task is given by
C = 100 + 40X + 3X 2 .
a).

Find the expected value.

b).

Would you expect C to exceed 2, 607 very often?

Solution:
We have X Exp(10)
a).

E(C) = 100+40 E(X)+3 E(X 2 ) = 100+40(10)+3(2)(10)2 = 1100 .

b).

We have


P (C > 2607) = P X < 109/3 or X > 23

= P X < 109/3) + P X > 23
= 0 + e23/10 = .1003 .

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The Gamma Distribution

Gamma Function
The complete gamma
function is defined as
Z

x1 ex dx ,

() =

for > 0.

Properties:
(i) When = k , Zwhere k is an integer, we have

(k) =

xk1 ex dy = E[X k1 ] = (k 1)!,

where X Exp(1).

In particular,
R xwe have
(1) = 0 e dx = 1 = (1 1)!
R x
(2) = 0 xe dx = 1 = (2 1)!
R 2 x
(3) = 0 x e dx = 2 = (3 1)!

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The Gamma Distribution

(ii) When > 0, we have
( + 1) = ().
To see this, we use integration by parts:
Z
Z
( + 1) =
x+11 ex dx =
x ex dx
0
0
 Z
Z



=x (ex ) +
ex d(x ) =
x1 ex dx

0
0
0
Z
=
x1 ex dx = ().
0

(iii) When = 12 , we have

 

= .
2

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The Gamma Distribution

A positive random variable X has a gamma distribution
with parameters > 0 and > 0, denoted by
X Gam(, ),

if X has density
1
f (x) =
x1 ex/ , x > 0,
()
> 0 is the shape parameter and it influences the
peakedness of the distribution,
> 0 is the scale parameter and controls the spread of
the distribution.

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The Gamma Distribution

0.6

Gamma(alpha,1)

0.4
0.3
0.2
0.1
0.0

probability density function

0.5

alpha=.5
alpha=1
alpha=2
alpha=3
alpha=4
alpha=5

6
8Data Models:
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Continuous
x

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The Gamma Distribution

b=1/3
b=1
b=1
b=2
b=3

0.2

0.4

0.6

0.8

a=2,
a=1,
a=2,
a=2,
a=3,

0.0

probability density function

1.0

Gamma(a,b)

4
6
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Data Models:
Part II
x

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The Gamma Distribution

0.04
0.03
0.02
0.01
0.00

probability density function

0.05

Gamma(50, 1)

20

40

60
80
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Part II100
x

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The Gamma Distribution

Moment Generating Function of Gam(, )
If X Gam(, ), then
1
1 x/
MX (t) =E[etX ] =
etx
x
e
dx

()
0
Z
1
1
1 (1/t)x

=
x
e
dx
=
()(1/

t)
() 0
()
1
1
=
,
=

(1/ t)
(1 t)
Z

for any t < 1/ .

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The Gamma Distribution

Mean and Variance for Gam(, )
Let X Gam(, ), we have
E[X] =
Var(X) = 2 .

A Special Case
When = 1, the gamma distribution reduces to an
exponential distribution. That is,
Gam( = 1, ) = Exp().

n
When = and = 2, we say that we say that the
2
r.v. X has a chi-square distribution. We write
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X 2n .

The Gamma Distribution

Theorem 5.8:
If Xi , i = 1, . . . , n are n independent gamma random variables with respective parameters (i , ), then
n
X
i=1

Xi Gam =

i ,

i=1

Theorem 5.9:
If Xi , i = 1, . . . , n are n independent exponential random
variables, each with rate , then
n
X
i=1

Xi Gam ( = n, )
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Joke

George was having trouble with a

toothache, so he decided to visit the
dentist"
"How much do you charge for extracting
a tooth?"
"Two hundred thirty-five dollars," replied
the dentist.
"Two hundred thirty-five dollars for only
two minutes work"
"Well," replied the dentist, "if you wish, I
can extract it very slowly."
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The Beta Distribution

Beta Function
The complete beta function is defined as
Z 1
B(s, t) =
xs1 (1 x)t1 dy, s > 0, t > 0.
0

Relationship between beta and gamma

functions
(s)(t)
B(s, t) =
.
(s + t)

From the above the identity, it is easy to see that

B(s, t) = B(t, s).
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The Beta Distribution

A random variable X has a beta distribution with
parameters > 0 and > 0 if it has density
1
f (x) =
x1 (1 x)1 , 0 < x < 1.
B(, )

We write
X beta(, ).

We note that beta(1, 1) is U (0, 1).

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The Beta Distribution

Mean and Variance
Assume X beta(, ). Then we have
1

Z 1
1
1
1
1
E[X] =
x
x
(1 x)
dx =
x1+1 (1 x)1 dx
B(, )
0
0 B(, )
Z 1
B( + 1, )
1
x1+1 (1 x)1 dx
=
B(, )
0 B( + 1, )
B( + 1, )
( + 1)() ( + )
=

=
B(, )
( + + 1) ()()
()()
( + )

=
=
( + )( + ) ()()
+
Z

and

E[X](1 E[X])
Var(X) =
=
.
2
( + + 1)( + )
( + + 1)
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The Exponential Distribution

Example 5.12:
The proportion of time, per day, that all checkouts counters in a
supermarket are busy is a random variable X having probability
density function

K x2 (1 x)4 , 0 x 1
f (x) =
0,
elsewhere
a).

Find the value of K that makes this a probability density function.

b).

Find the mean and variance of X.

Solution:

The form of the probability density function implies that we have:

X beta( = 3, = 5). Hence,
1
= 105 .
a). K =
B(3, 5)
3
5
b). E(X) =
and Var(X) =
.
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192Continuous Data Models: Part II