IT 504 - Introduction to probability and Statistics

Week 05 - Continuous Probability Distributions

Mahasen Dehideniya

Department of Statistics and Computer Science

University of Peradeniya

Mahasen Dehideniya (DSCS - UOP) IT 504 - Week 05 0 / 17

Continuous uniform distribution
A continuous random variable X with uniform distribution with
parameters a and b.


1
 (b−a) , fora < x < b,


fX (x) =



0, otherwise

If X ∼ U ni(a, b),

(a + b)
E(X) =
2

(b − a)2
V ar(X) =
12

Mahasen Dehideniya (DSCS - UOP) IT 504 - Week 05 1 / 17

Exponential distribution
A continuous random variable X with exponential distribution with
parameters λ

f (x) = λe−λx , x>0

If X ∼ exp(λ),
1
E(X) =
λ
1
V ar(X) =
λ2

Mahasen Dehideniya (DSCS - UOP) IT 504 - Week 05 2 / 17

Exponential distribution - Shape of the distribution

1.5
λ
0.5
1.0 1
1.5
f(x)

0.5

0.0
0 2 4 6 8
x

Mahasen Dehideniya (DSCS - UOP) IT 504 - Week 05 3 / 17

Normal distribution
A one of the most important distributions in statistics

Many measurements have (approximately) normal distribution.

A unimodal symmetric continuous distribution having two parameters, µ

(mean) and σ 2 (variance).

Denoted by N (µ, σ 2 )

The mean is equal to both the mode and the median.

If X ∼ N (µ, σ 2 ),

( !2 )
1 1 x−µ
fX (x) = √ exp − for − ∞ < x < ∞, σ > 0
σ 2π 2 σ

Mahasen Dehideniya (DSCS - UOP) IT 504 - Week 05 4 / 17

Normal distribution - Shape of the distribution
The normal distribution has a symmetric bell-shape.
It is symmetric about mean µ.
The spread of the distribution depends on σ.

σ2
0.4 0.5
1
f(x)

µ
0.2
2
5

0.0
0 2 4 6 8
x

Mahasen Dehideniya (DSCS - UOP) IT 504 - Week 05 5 / 17

Cumulative probability P (X < a)
Let X ∼ N (2, 0.25),

Z a ( !2 )
1 1 x−µ
P (X < a) = √ exp − dx
−∞ σ 2π 2 σ
It cannot be integrated explicitly and so tables are used to obtain the value
of P (X < a).

However, it is not practical to use unique table for each parameter value
combination

Standard Normal distribution

Mahasen Dehideniya (DSCS - UOP) IT 504 - Week 05 6 / 17

Standard Normal distribution
A single reference distribution, which has mean 0 and variance 1.

Z ∼ N (0, 1)

The pdf for Z,

( )
1 1
φ(z) = √ exp − z2 for − ∞ < z < ∞
2π 2

The distribution function is denoted by Φ (the capital of φ)

Z a
Φ(a) = P (Z ≤ a) = P (Z < a) = φ(z)dz
−∞

Mahasen Dehideniya (DSCS - UOP) IT 504 - Week 05 7 / 17

Example
If Z ∼ N (0, 1), find P (Z < 1.38)

1.38
z

Mahasen Dehideniya (DSCS - UOP) IT 504 - Week 05 8 / 17

Example
If Z ∼ N (0, 1), find P (Z < 1.38)

1.38
z

z 0 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09

0 0.0000 0.0040 0.0080 0.0120 0.0160 0.0199 0.0239 0.0279 0.0319 0.0359
0.1 0.0398 0.0438 0.0478 0.0517 0.0557 0.0596 0.0636 0.0675 0.0714 0.0753
0.2 0.0793 0.0832 0.0871 0.0910 0.0948 0.0987 0.1026 0.1064 0.1103 0.1141
0.3 0.1179 0.1217 0.1255 0.1293 0.1331 0.1368 0.1406 0.1443 0.1480 0.1517
0.4 0.1554 0.1591 0.1628 0.1664 0.1700 0.1736 0.1772 0.1808 0.1844 0.1879
0.5 0.1915 0.1950 0.1985 0.2019 0.2054 0.2088 0.2123 0.2157 0.2190 0.2224
0.6 0.2257 0.2291 0.2324 0.2357 0.2389 0.2422 0.2454 0.2486 0.2517 0.2549
0.7 0.2580 0.2611 0.2642 0.2673 0.2704 0.2734 0.2764 0.2794 0.2823 0.2852
0.8 0.2881 0.2910 0.2939 0.2967 0.2995 0.3023 0.3051 0.3078 0.3106 0.3133
0.9 0.3159 0.3186 0.3212 0.3238 0.3264 0.3289 0.3315 0.3340 0.3365 0.3389
1 0.3413 0.3438 0.3461 0.3485 0.3508 0.3531 0.3554 0.3577 0.3599 0.3621
1.1 0.3643 0.3665 0.3686 0.3708 0.3729 0.3749 0.3770 0.3790 0.3810 0.3830
1.2 0.3849 0.3869 0.3888 0.3907 0.3925 0.3944 0.3962 0.3980 0.3997 0.4015
1.3 0.4032 0.4049 0.4066 0.4082 0.4099 0.4115 0.4131 0.4147 0.4162 0.4177
Mahasen Dehideniya (DSCS - UOP)0.4222
1.4 0.4192 0.4207 0.4236 IT 504 - Week 0.4265
0.4251 05 0.4279 0.4292 0.4306 0.4319 8 / 17
Exercise
If Z ∼ N (0, 1), find
1. P (Z < 2.54)
2. P (0.45 < Z < 1.75)
3. P (Z < a) = 0.8944
4. P (Z < a) = 0.2877

Mahasen Dehideniya (DSCS - UOP) IT 504 - Week 05 9 / 17

Exercise

Mahasen Dehideniya (DSCS - UOP) IT 504 - Week 05 10 / 17

Exercise

Mahasen Dehideniya (DSCS - UOP) IT 504 - Week 05 11 / 17

Exercise

Mahasen Dehideniya (DSCS - UOP) IT 504 - Week 05 12 / 17

Normal approximation to the Binomial distribution
When p is close to 0.5 and n is large, we can use the Normal distribution
as an approximation for the Binomial distribution.

If X ∼ Bin(n, p) and n and p are such that np > 5 and n(1 − p) > 5
then X ∼ N (np, npq) approximately. (q = 1 − p )

Mahasen Dehideniya (DSCS - UOP) IT 504 - Week 05 13 / 17

Continuity correction
When a discrete distribution is approximated by the continuous distribution
(Normal) , we use continuity correction to obtain a more accurate value.
Let X be a discrete random variable and a be a constant value,
P (X ≤ a) = P (X < a + 0.5)
P (X < a) = P (X < a − 0.5)
P (X > a) = P (X > a + 0.5)
P (X ≥ a) = P (X > a − 0.5)

Mahasen Dehideniya (DSCS - UOP) IT 504 - Week 05 14 / 17

Exercise
Find the probability of obtaining between 4 and 7 heads inclusive with 12
tosses of a fair coin,
1. using the binomial distribution,
2. using the normal approximation to the binomial distribution.

Mahasen Dehideniya (DSCS - UOP) IT 504 - Week 05 15 / 17

Normal approximation to the Poisson distribution
Although the shape of the Poisson distribution is skewed, as λ increases
this skewness become less visible.
The Normal distribution as an approximation for the Poisson distribution
when λ is large.
λ should be greater than 20 for a good approximation.
If X ∼ P oi(λ) and λ is very large, then the normal distribution can be
used as an approximation where X ∼ N (λ, λ).

Mahasen Dehideniya (DSCS - UOP) IT 504 - Week 05 16 / 17

Exercise
A radioactive disintegration gives count that follow a Poisson distribution
with mean count per second of 25. Find the probability that in a second
the count is between 23 and 27 inclusive using the normal approximation
to the Poisson distribution.

Mahasen Dehideniya (DSCS - UOP) IT 504 - Week 05 17 / 17