Probability Distributions:

Continuous Distributions
Daniel Romero Rodriguez
2019

Probability Distributions 1
Continuous Random Variable
•𝑃 𝑋 = 𝑎 = 0

•𝑃 𝑋 < 𝑎 = 𝑃 𝑋 ≤ 𝑎

•𝑃 𝑋 > 𝑎 = 𝑃 𝑋 ≥ 𝑎

•𝑃 𝑎 ≤ 𝑋 ≤ 𝑏 = 𝑃 𝑎 < 𝑋 ≤ 𝑏 = 𝑃 𝑎 ≤ 𝑋 < 𝑏 = 𝑃 𝑎 < 𝑋 < 𝑏

Probability Distributions 2
Probability Density Function (pdf)
The function f(x) is a probability density function (pdf) for the
continuous random variable X, defined over the set of real
numbers

•𝑓 𝑥 ≥ 0, for all 𝑥 ∈ 𝑅.
∞
• ‫׬‬−∞ 𝑓 𝑥 𝑑𝑥 = 1.
𝑏
•𝑃 𝑎 < 𝑋 < 𝑏 = ‫𝑓 𝑎׬‬ 𝑥 𝑑𝑥

Probability Distributions 3
Probability Density Function (pdf)

Probability Distributions 4
Example 1

𝑥 2ൗ −1 < 𝑥 < 2
𝑓 𝑥 =൝ 3
0 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

• (a) Verify that f(x) is a density function.

• (b) Find P(0 < X ≤ 1).

Probability Distributions 5
Continuous and Discrete Random Variables
a.
2
∞ 2
𝑥2 𝑥3 8 1
න 𝑓 𝑥 𝑑𝑥 = න 𝑑𝑥 = อ = + =1
−∞ −1 3 9 9 9
−1

b. Find 𝑃 0 < 𝑋 ≤ 1
1
1
1 𝑥2 𝑥3
𝑃 0<𝑋≤1 =න 𝑑𝑥 = อ =
0 3 9 9
0

Probability Distributions 6
Example 2: pdf
Let X be a random variable that measures the measures the diameter
of a part. The ideal diameter is 12.5 mm. However, previous data show
that there are parts with a higer diameter. The pdf is
𝑓 𝑥 = 20𝑒 −20 𝑥−12.5 , for 𝑥 ≥ 12.5

Find the proportion of parts with a diameter greater than 12.6 mm

Probability Distributions 7
Example 2: Pdf plot

Probability Distributions 8
Example 2
12.6
• 𝑃 𝑋 > 12.6 = 1 − 𝑃 12.5 < 𝑋 < 12.6 = 1 − ‫׬‬12.5 20𝑒 −20 𝑥−12.5 𝑑𝑥

12.6
• 𝑃 𝑋 > 12.6 = 1 − − ‫׬‬12.5 −20𝑒 −20 𝑥−12.5 𝑑𝑥

−20 𝑥−12.5 12.6

• 𝑃 𝑋 > 12.6 = 1 − −𝑒 ห12.5

• 𝑃 𝑋 > 12.6 = 1 − − 𝑒 −20 0.1 − 𝑒 0 = 0.1353

Probability Distributions 9
Cumulative Distribution Function
The cumulative distribution function F(x) of a continuous random
variable X with density function f(x) is
𝑥
𝐹 𝑥 = 𝑃 𝑋 ≤ 𝑥 = න 𝑓 𝑡 𝑑𝑡 , −∞ < 𝑥 < ∞
−∞

𝑃 𝑎 <𝑋 <𝑏 =𝐹 𝑏 −𝐹 𝑎

𝑑𝐹 𝑥
𝑓 𝑥 =
𝑑𝑥

Probability Distributions 10
Example CDF

(a) Calculate 𝐹 𝑥 for the following function 𝑓 𝑥

𝑥 2ൗ −1 < 𝑥 < 2
𝑓 𝑥 =൝ 3
0 𝑂𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

(b) Find 𝑃 0 < 𝑋 ≤ 1

Probability Distributions 11
Example CDF Solution
For −1 < 𝑥 < 2,
𝑥
𝑥
𝑡2 𝑡3 𝑥3 1 𝑥3 + 1
𝐹 𝑥 =න 𝑑𝑡 = อ = + =
−1 3 9 9 9 9
−1
Therefore,
0 𝑥 < −1
𝑥3 + 1
𝐹 𝑥 = −1 ≤ 𝑥 < 2
9
1 𝑥≥2

Probability Distributions 12
 CDF

Probability Distributions 13
Expected Value
Let X be a random variable with probability distribution f(x). The mean,
or expected value, of X is
∞
𝐸 𝑋 = 𝜇 = න 𝑥𝑓 𝑥 𝑑𝑥
−∞

If 𝑔 𝑋 is a function of a continuous random variable 𝑋 with pdf

𝑓 𝑥 ,
∞
𝐸 𝑔 𝑋 = න 𝑔 𝑥 𝑓 𝑥 𝑑𝑥
−∞

Probability Distributions 14
Variance

∞ ∞
𝑉 𝑋 = 𝜎2 = න 𝑥 − 𝜇 2 𝑓 𝑥 𝑑𝑥 = න 𝑥 2 𝑓 𝑥 𝑑𝑥 − 𝜇2
−∞ −∞

Probability Distributions 15
Example
The probability density function of the lifetime in hours of an electronic
product is

20000
𝑓 𝑥 = ቐ 𝑥3 𝑥 > 100
0 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
Find the expected value.

Probability Distributions 16
Problem
A gas station has two pumps that can provide 10.000 gallons each per
month. The random variable X is the amount of gas (in 10.000 units)
with the following pdf:

𝑥 0<𝑥<1
𝑓 𝑥 = ቐ2 − 𝑥 1≤𝑥<2
0 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

Probability Distributions 17
Problem: Questions
a) Plot and check that 𝑓 𝑥 is a pdf.
b) Determine and plot 𝐹 𝑥
c) Find the probability that the gas station pumps between 8000 and
12000 gallons.
d) Find the expected value

Probability Distributions 18