Continuous Random

Variable
Ranjit Biswal
PG Department of mathematics
F.M. University
Continuous Random Variable

 A random variable is said to be continuous random variable if its space of

random variable is an interval or union of interval.
 A continuous random variable is one which take an infinite number of possible
values.
Continuous random variable usually measurements .Example includes
I. Height and weight of the students in a class .
II. The amount of sugar in an orange .
III. The time require to run a mile.
IV. The diameter of an electric table .
Probability density function (pdf)

 Let, X be the a continuous random variable. A real valued function f(x) is

probability density function iff
1. f(x)≥0 for all x real
∞
2. ‫׬‬−∞ 𝑓(𝑥) 𝑑𝑥 = 1
Cumulative distribution function

Let X be a continuous random variable with a density function f(x). The

cumulative distribution function for x ,denoted by
𝑥
FX(x) = P(X< x) = ‫׬‬−∞ 𝑓 𝑡 𝑑𝑡,
Characteristics of the probability density
function
 The Probability that the random variable will take a value on the
interval from a to b is given by
𝑏
P(a≤ 𝑥 ≤ 𝑏 ) = ‫ = 𝑡𝑑 𝑡 𝑓 𝑎׬‬F(b) − F(a)
 According to fundamental theorem of integral calculus it follows that
𝑑𝐹 𝑥
=f(x)
𝑑𝑥

 If F is non-decreasing function then

𝑥
lim 𝐹 𝑥 = lim ‫׬‬−∞ 𝑓 𝑡 𝑑𝑡 = 1
𝑥→∞ 𝑥→∞
𝑥
and lim 𝐹 𝑥 = lim ‫׬‬−∞ 𝑓 𝑡 𝑑𝑡 = 0
𝑥→−∞ 𝑥→−∞

 P(X>x) = 1-F(x)
 Expectation and variance of continuous
random variable
 Let, X be a continuous random variable with density function f(x)
▪ The expectation or expected value or mean of x is defined by
∞
𝜇 = 𝐸 𝑥 = ‫׬‬−∞ 𝑋𝑓 𝑥 𝑑𝑥
▪ The variance of x is defined by
∞
var (X)=E[(X-𝜇)2 ]=‫׬‬−∞(𝑋 − 𝜇)2 f(x)dx
▪ Let x be a continuous random variable with density function f(x) and H(x)
be a real valued function of X, then H(x) is a random variable and its
∞
expectation is given by E[H(x)] =‫׬‬−∞ 𝐻 𝑥 𝑓 𝑥 𝑑𝑥,provided
∞
▪ E[H(x)] =‫׬‬−∞ 𝐻 𝑥 𝑓 𝑥 𝑑𝑥, is finite .
Higher order moment and moment generating
function

 Let, x be a continuous random variable with pdf f(x). The Kth order moment of
X is defined as E(Xk).
 The moment generating function (mgf) for X is denoted by Mx(t) and is
defined by Mx(t)=E[etx], provided this expectation is finite for all real numbers
t.
 Theorem:
if Mx(t) is moment generating function for a random variable X, then
the Kth moment of X is given by
𝑘
𝑑 𝑀𝑥 (𝑡)
E(X )=
t |t=0
𝑑𝑡𝑘
Some continuous probability distribution

 Uniform distribution
 Exponential probability distribution
 Normal distribution
Continuous Uniform Distribution

A random variable is uniformly distributed whenever the

probability is proportional to the interval’s length.
The uniform probability density function is:
 f (x) = 1/(b – a) for a < x < b
=0 elsewhere
where: a = smallest value the variable can assume
b = largest value the variable can assume
 Uniform Probability Distribution

Expected Value of x

E(x) = (a + b)/2

Variance of x

Var(x) = (b - a)2/12
Uniform Probability Distribution
Example:
Slater customers are charged for the amount of
salad they take. Sampling suggests that the amount
of salad taken is uniformly distributed between 5
ounces and 15 ounces.
Uniform Probability Distribution

Uniform Probability Density Function

f(x) = 1/10 for 5 < x < 15

=0 elsewhere

where:
x = salad plate filling weight
Uniform Probability Distribution

Expected Value of x

E(x) = (a + b)/2
= (5 + 15)/2
= 10

Variance of x

Var(x) = (b - a)2/12
= (15 – 5)2/12
= 8.33
Uniform Probability Distribution
 Uniform Probability Distribution
for Salad Plate Filling Weight

f(x)

1/10

x
0 5 10 15
Salad Weight (oz.)
Uniform Probability Distribution

What is the probability that a customer

will take between 12 and 15 ounces of salad?

f(x)

P(12 < x < 15) = 1/10(3) = .3

1/10

x
0 5 10 12 15
Salad Weight (oz.)
Normal Probability Distribution
 The normal probability distribution is the most important distribution
for describing a continuous random variable.

It is widely used in statistical inference.

It has been used in a wide variety of applications
including:
•Heights of people
•Test scores
•Rainfall amounts
•Scientific measurements
Normal Probability Distribution
 Normal Probability Density Function

1 − ( x −  )2 /2 2
f (x) = e
 2

where:
 = mean
 = standard deviation
 = 3.14159
e = 2.71828
Normal Probability Distribution

Characteristics

The distribution is symmetric.

x
Normal Probability Distribution

Characteristics

The entire family of normal probability

distributions is defined by its mean  and its
standard deviation  .

Standard Deviation 

x
Mean 
 Normal Probability Distribution

Characteristics

The highest point on the normal curve is at the

mean, which is also the median and mode.

x
 Normal Probability Distribution

Characteristics

The mean can be any numerical value: negative,

zero, or positive.

x
-10 0 25
 Normal Probability Distribution

Characteristics

The standard deviation determines the width of the

curve: larger values result in wider, flatter curves.

 = 15

 = 25

x
 Normal Probability Distribution

Characteristics

Probabilities for the normal random variable are

given by areas under the curve. The total area
under the curve is 1 (.5 to the left of the mean and
.5 to the right).

.5 .5
x
 Normal Probability Distribution

Characteristics

68.26% of values of a normal random variable

are within +/- 1 standard deviation of its mean.

95.44% of values of a normal random variable

are within +/- 2 standard deviations of its mean.

99.72% of values of a normal random variable

are within +/- 3 standard deviations of its mean.
 Normal Probability Distribution

Characteristics
99.72%
95.44%
68.26%


x
 – 3  – 1  + 1  + 3
 – 2  + 2
Standard Normal Probability Distribution

Characteristics

A random variable having a normal distribution

with a mean of 0 and a standard deviation of 1 is
said to have a standard normal probability
distribution.
 Standard Normal Probability Distribution

Characteristics

The letter z is used to define the standard

normal random variable.

=1

z
0
 Standard Normal Probability Distribution

Converting to the Standard Normal Distribution

x−
z=


We can think of z as a measure of the number of

standard deviations x is from .
Standard Normal Probability Distribution

Example:
Pep Zone sells auto parts and supplies including
a popular multi-grade motor oil. When the stock of
this oil drops to 20 gallons, a replenishment order is
placed.
The store manager is concerned that sales are
being lost due to stockouts while waiting for a
replenishment order.
Standard Normal Probability Distribution

Example
It has been determined that demand during
replenishment lead-time is normally distributed
with a mean of 15 gallons and a standard deviation
of 6 gallons.
The manager would like to know the probability
of a stockout during replenishment lead-time. In
other words, what is the probability that demand
during lead-time will exceed 20 gallons?

P(x > 20) = ?

 Standard Normal Probability Distribution

Solving for the Stockout Probability

Step 1: Convert x to the standard normal distribution.

z = (x - )/
= (20 - 15)/6
= .83

Step 2: Find the area under the standard normal

curve to the left of z = .83.

see next slide

 Standard Normal Probability Distribution

Cumulative Probability Table for

the Standard Normal Distribution
z .00 .01 .02 .03 .04 .05 .06 .07 .08 .09
. . . . . . . . . . .
.5 .6915 .6950 .6985 .7019 .7054 .7088 .7123 .7157 .7190 .7224
.6 .7257 .7291 .7324 .7357 .7389 .7422 .7454 .7486 .7517 .7549
.7 .7580 .7611 .7642 .7673 .7704 .7734 .7764 .7794 .7823 .7852
.8 .7881 .7910 .7939 .7967 .7995 .8023 .8051 .8078 .8106 .8133
.9 .8159 .8186 .8212 .8238 .8264 .8289 .8315 .8340 .8365 .8389
. . . . . . . . . . .

P(z <
.83)
 Standard Normal Probability Distribution

Solving for the Stockout Probability

Step 3: Compute the area under the standard normal

curve to the right of z = .83.

P(z > .83) = 1 – P(z < .83)

= 1- .7967
= .2033

Probability
of a stockout P(x > 20)
 Standard Normal Probability Distribution

Solving for the Stockout Probability

Area = 1 - .7967
Area = .7967
= .2033

z
0 .83
Normal approximation to binomial

 If X is a binomial random variable with mean μ = np and variance σ2 = npq,

𝑥−𝑛𝑝
then the limiting form of the distribution of Z = √𝑛𝑝𝑞 , as n → ∞, is the
standard normal distribution n(z; 0, 1). i.e. Z~𝑁(0,1)
 Continuity correction:
if X is a binomial random variable and if we looking for
P(x=5), then by continuity correction we can approximate P(4.5<X<5.5), i.e. if
we seek the area under the normal curve to the left of X ,it is more accurate to
use x+0.5. this is a correction to accommodate the fact ,that a discrete
distribution is being approximated by a continuous distribution .the correction
+0.5 is called a continuity correction.
Normal approximation to binomial

 Example :

multiple-choice quiz has 200 questions, each with 4 possible answers of which only
1 is correct. What is the probability that sheer guesswork yields from 25 to 30
correct answers for the 80 of the 200 problems about which the student has no
knowledge?

Solution:
The probability of guessing a correct answer for each of the 80
questions is p = 1/4. If X represents the number of correct answers resulting from
guesswork, then
P(25 ≤ X ≤ 30) = σ30𝑋=25 b(x; 80, 1/ 4) .
Using the normal curve approximation with
𝜇 = np = (80)(1/4) = 20
and 𝜎 = 𝑛𝑝𝑞 = (80)(1/4)(3/4) = 3.873,
Normal approximation to binomial

we need the area between x1 = 24.5 and x2 = 30.5. The corresponding z

values are
z1 = 24.5 − 20 /3.873 = 1.16 and z2 = 30.5 − 20 /3.873 =2.71

now,
The probability
P(25 ≤ X ≤ 30) = P(24.5<x<30.5)≈ P(1.16 <Z< 2.71)
= P(Z < 2.71) − P(Z < 1.16)
=0.9966 – 0.8770 = 0.1196
 Exponential Probability Distribution

The exponential probability distribution is useful in

describing the time it takes to complete a task.
The exponential random variables can be used to
describe:
•Time between vehicle arrivals at a toll booth
•Time required to complete a questionnaire
•Distance between major defects in a highway
Exponential probability distribution

 Defination:
A continuous random variable X is said to be an exponential random variable
with parameter β if its probability density function is of the following form
f (x) = 1/ β e − x/ β , x > 0, β > 0
Exponential distribution is a special case of Gamma distribution with parameters
α = 1 and β.
Note:
In a Poisson process discrete events are being observed over a continuous
time interval. If we let W denote the time of the occurrence of the first event,
then W is a continuous random variable. And, this W is called exponential random
variable. That is, time required until first occurrence
Exponential probability distribution

 Mean(𝝁): =𝜷
 Variance( 𝝈𝟐) =𝜷𝟐
 Mx (t) =(1-𝜷𝒕)-1
 Poisson process

 Consider a Poisson process with parameter λ. Let W denote the time of the occurrence
of the first event. W has an exponential distribution with β = 1/ λ
Proof:
The distribution function F for W is given by
F(w) = P(W ≤ w) = 1 − P(W > w)
▪ The first occurrence of the event will take place after time w only if no occurrences
of the events are recorded in the time interval [0,w].
▪ Let X denote the number of occurrences of the event in this time interval.
▪ Thus, X is Poisson Random variable with parameter λw
▪ Thus
P(W > w) = P(X = 0) = e −λw

Now we can have f (w) = λe −λw .

This is the pdf of an exponential Random variable with 𝛽 = 1

Relationship between the Poisson
and Exponential Distributions
The Poisson distribution
provides an appropriate description
of the number of occurrences
per interval

The exponential distribution

provides an appropriate description
of the length of the interval
between occurrences
properties

 If Xi ∼ Exp(β), and Xi are independent, then σ𝑛𝑖=1 Xi ∼ Γ(n, β)

Memory less property:

 If X is an exponential random variable , P(X>x+h| X>h) =P(X>x) for x>0 and
h>0.
Thank you