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BITS Pilani
Pilani Campus
Dr RAKHEE
Department of Mathematics
BITS Pilani
Pilani Campus
Chapter 4
Continuous Distribution
1. f(x) 0
2. f ( x ) dx = 1
integral converges.
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f ( x)dx;
f (t ) dt
F () = lim F ( x)
x
= lim
f (t )dt = f (t )dt = 0
F (+) = lim F ( x)
x +
= lim
x +
f (t )dt = f (t )dt =1
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F ( x) = 0 ; x 2
x
t
F ( x) = f (t )dt = 0 dt + dt
6
2
x
1 t
1 2
= = ( x 4);
6 2 2 12
2
F ( x) = 1;
2< x<4
x4
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Example
The Cumulative distribution function (c.d.f.)
of a continuous random variable X is
0,
x 2 ,
F ( x) =
1 3 (3 x )2 ,
25
1 ,
x<0
1
0 x<
2
1
x<3
2
x3
the
x < 1
0,
dF
f ( x) =
= 1, 1 x 0
dx
x>0
0,
Clearly f(x) 0 for all x. But F is cdf as
+
f ( x)dx = 1
. continue
4.1.14 (b)
Consider the function defined by
F(x) = 0
;
x0 ,
= x2 ; 0 < x 0.5 ,
= x/2 ; 0.5 < x 1 ,
= 1 ;
x> 1 .
Sol.:
x<0
0
2 x 0 < x < 1/ 2
dF
f (=
x) =
dx 1/ 2 1/ 2 < x < 1
0
x >1
f ( x)dx 1
1
f ( x) =
, a<x<c
ca
1
Since
> 0 , for c > a
ca
Secondly,
1
a c a dx = 1
c
X=a
X=c
X= a
(a+c)/2 X= c
a + c
P X
=
a +c
2
1
dt = 0.5
ca
F ( x) = 0,
xa
x
1
F ( x) = P[ X x] =
ds
c
a
(
)
xa
=
, a<x<c
ca
F ( x) = 1, x c
xf
(
x
)
dx
E [H ( X )] =
provided
is finite.
H ( x) f ( x)dx
|
H
(
x
)
|
f
(
x
)
dx
continue
3. Var X = E[X2] (E[X])2 = 2 , where
E[ X ] = x f ( x)dx
2
continue
4. m.g.f. = Moment Generating Function
= E[ etX] = mX (t) =
x
dx
e
f
(
)
tx
1
f ( x) = e
10
10
x>0
continue
(b) Find the expression for the cumulative
distribution function F for X, and use it
to find the probability that the demand
will be at most 2 million kilowatt hours.
(c) If the area only has the capacity to
generate an additional 3 million kilowatt
hours, what is the probability that
demand will exceed supply?
(d) Find the average increase in demand.
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1
E[e ] = e
dx
c
a
a
tX
tx
1 e e
=
t ca
tc
ta
, t 0
a+c
E( X ) =
2
2
(c a )
Var ( X ) =
12
Pigeon
Home (0)
1
a
f (x) =
,
2
2
a + ( x b)
< x < , < b < , a > 0
is said to have a Cauchy distribution with
parameters a and b. This distribution is
interesting in that it provides an example of a
continuous random variable whose mean does
not exist. Let a = 1, b = 0 to obtain a special
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Show that
Sol:
1 1
x
f
x
dx
x
dx
|
|
(
)
=
|
|
1 + x 2
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1
x
1 x
dx
dx
+
=
2
2
0 1+ x
1 + x
0
1
1
2
2
= ln | 1 + x | + ln | 1 + x |
2
0
2
0
ln()
GAMMA DISTRIBUTION
A random variable X with density function
1
1 x /
f ( x) =
x e
( )
=0,
for x 0,
is said to have a Gamma Distribution with
parameters and ,for x > 0, > 0, > 0.
Gamma Function
Definition : The function
defined by
1. (1) = 1
Proof: By definition of Gamma function, we
have
= e dz = 1
z
Proof:
( ) = e z
1
0
+ ( 1) e z z ( 1) 1dz
0
lim( e z
z
z
) = lim
z
z
e
2
( 1) z
= lim
z
z
e
3
( 1)( 2) z
= lim
z
z
e
1
= ( 1)!lim z 0
z e
Thus,
( ) = e z
1
0
+ ( 1) e z z ( 1) 1dz
0
= ( 1)( 1)
3. () = ( 1)!
Since,
() = ( 1)( 1) = ...
= ( 1)( 2)...(1) = ( 1)!
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1
= z e dz =
2 0
1
2 z
GAMMA DISTRIBUTION
A random variable X with density function
1 x /
x e , x > 0, > 0, > 0
f ( x) = (( ) )
0,
other wise
1
Further , f ( x) dx =
( )
x /
dx
x
Let
= t dx = dt , and x = t
1
1 1 t
=
t e dt
( ) 0
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1 z
(
)
1
f
x
dx
z
e
=
=
( ) 0
Hence f ( x) is a pdf
1
x
1
exp(
)
1
x
dx
=
0 ( )
1
tx
1 x /
x
e
dx
= e
( )
1
=
( )
1
t)x
dx
x
z
let z = (1 t ) x =
(1 t )
dz
and dx =
(1 t )
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z 1 z dz
1
=
(
) e
( ) 0 1 t
(1 t )
1
1 z
=
z e dz
() (1 t ) 0
1
m X (t ) =
(
)
() (1 t )
m X (t ) = (1 t ) ,
1
t<
d
E[ X ] =
m X (t )
dt
t =0
= (1 t )
()
t =0
d
E[ X ] = 2 ( m X (t ))
dt
t =0
2
= ( + 1)
Var ( X ) = E[ X ] E[ X ] =
2
= ( + 1) () =
2
0.25
Gamma(1, 4)
f(x) 0.2
Gamma(2, 3)
Gamma(20, 0.5)
0.15
0.1
0.05
0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
x
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0.25
Gamma(1, 4)
f(x) 0.2
Gamma(2, 3)
Gamma(20, 0.5)
0.15
0.1
0.05
0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
x
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1
1 2 4
1
f ( x) =
x e =
x e ,x >0
3
( )
2!4
x
4
1 2
=
x e , x>0
128
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m X (t ) = (1 t )
1
= (1 4t ) , t <
4
3
= = 12
2
2
= = 48
= 48 = 6.9282
Exponential Distribution
In Gamma Distribution, put = 1, we
get
1 x
,
x > 0, > 0
e
f ( x) =
0 ,
elsewhere
0.3
0.25
f(x)
0.2
0.15
0.1
=3
0.05
0
1
11
13
15
17
19
x
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Cont
For the above function
Mean = = , var (X) = 2,
mX(t)=(1- t)-1 , t < 1/
1
F ( x) = e
= e
s x
1 e
ds =
1
= 1 e
x>0
0
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x<0
0,
x
F ( x) =
x>0
1 e
Proof:
The distribution function F for W is given by
F( w ) = P[ W w ] =1 P[ W > w ]
Here, we have that the first occurrence of
the event will take place after time w only
if number of occurrences in the time
interval [0,w] is zero.
Let X be the number of occurrences of
the event in this time interval [0,w].
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P[W > w] = P[ X = 0]
=
(w)
w
=e
0!
0
F ( w) =1 P[W > w] = 1 e
F ( w) = f ( w) = e
Solution :
Let X be time elapsed before the
release of the first detectable emission
a then X is an exponential distribution
with = 1/2
Therefore, f ( x) = 2 e
2 x
,x >0
6
P[ X > 3] =1 F (3) =1 (1 e ) = e ,
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Example
A computer centre maintains a telephone
consulting service to trouble shoot for its
users. The service is available for 9:00 to
5:00 each working day. Past experience
shows number of calls received per day is
a Poisson distribution with parameter
50. For a given day find the probability that
first call will be received
(i) before 10:00 a.m. (ii) after 3:00 p.m.
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1 x /
x e , x > 0, > 0, > 0
f ( x) = (( ) )
0,
other wise
Chi-square distribution
If a random variable X has a gamma
distribution with parameters = 2 and
= /2, then X is said to have a chisquare (2) distribution with degrees of
2
Freedom and denoted by , is a
positive integer.
= 2 and = /2,
1
2
1
x / 2
f ( x) =
x e ,x >0
/2
2
2
2
2
E[ ] = , Var[ ] = 2
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=1
(1 / 2 ) 1 x / 2
x e , x > 0,
1/ 2
f ( x) = ((1 / 2) )2
0,
other wise
f ( x) =
1
/2
( )2
2
1
2
x / 2
,x >0
for = 2
1 x / 2
f ( x) = e ,
2
x>0
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=2
1 x / 2
f ( x) = e , x > 0
2
for = 10
0.1
f(x)
0.05
-2.08E-16
0
10
15
20
25
x
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P[X2 < t]
0.100 0.250
0.500
1.61
2.67
4.35
2.20
3.45
5.35
2.83
4.25
6.35
Another notation
For 0 < r < 1, we denote by , for a
chi-square r.v. with degrees of
freedom, a unique number such that
2
r
2
P[X
2
r]
=r
for exampleP[X210
2
0.05
] = 0.05
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0.1
f(x)
0.05
0.05
0
0
P[X210
2
0.05
10
15
] = 0.05
= 1 - P[X210
2
0.95 ]
20
25
= 0.95
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P[X2 t]
0.90
0.95
0.975
10
16.0
18.3
20.5
11
17.3
19.7
21.9
12
18.5
21.0
23.3
0.1
f(x)
0.05
0.05
-2.08E-16
0
P[X210
2
0.05
10
15
20
= 18.3
] = 0.05
2
.05
25
2
15
X ?
X ?
Sol: is random var iable with
2
= 2, = / 2, hence
1
(15 / 2 ) 1 x / 2
f ( x) =
x
e
,x >0
15 / 2
(15 / 2) 2
=0
otherwise
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2
15
Sol:
15 / 2
m X (t ) = (1 t ) = (1 2t ) , t < 1 / 2
P[ X 22.3]
2
15
(iv) Find
P[X2 < t]
15
4.60
5.23
6.26 22.3
16
5.14
5.81
6.91 23.5
17
5.70
6.41
7.56 24.8
2
15
= 1 0.900 = 0.10
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P[X2 < t]
15
4.60
5.23
6.26 22.3
16
5.14
5.81
6.91 23.5
17
5.70
6.41
7.56 24.8
P[6.26 X 15 22.3]
2
15
2
0.05
5.23
6.26 25.0
P[X2 < t]
15
2
P[X
5.23
6.26 30.6
> r] = r.
P[X215 > 20.01] = 0.01.
P[X215 20.01] = 0.99.
2
0.01 = 30.6
15
1
f ( x) =
e
2
(
x )2
2 2
x, (, ); > 0.
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(i ) f ( x) 0 x (-, )
(ii) f(x)dx = 1
-
To prove
1 x
dx = 1
2 -
x
let
= z dx = dz
1
2
1 x
1
dx =
e
2 -
1
z2
2
dz
1
e
2 -
1
z2
2
1
dz = 2
e
2 0
1
z2
2
1
z2
2
dz
1
z2
2
e dz = e dz = I
0
I I = e
0
=
0
1
x2
2
e
0
dx e
0
1
( x2 + y2 )
2
1
y2
2
dy
dxdy
e
0 0
1 2 2
(x +y )
2
dxdy
= lim
e
rdrd
R
0 0
/2 R /2
w
= lim
e
dw
d
R
0 0
/2 R
1
(r2 )
2
2
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i.e. I =
1
e
2 -
1
z2
2
1
dz = 2
e
2 0
=
1
z2
2
dz
=1
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Cumulative Distribution
Function
Z=
1
f ( z) =
e
2
z2
z (, )
FZ ( z ) = P( Z z ) =
f ( z ) dz
1
=
2
z2
dz
1
F ( x) = P( X x) =
2
s
Let
=z
1
F ( x) =
2
2 2
ds,
s = + z ds = dz
s )2
(
z2
x -
dz = P Z
= FZ ( z )
Rajiv
1
mZ (t ) = E[e ] =
2
Zt
1
=
2
z2
2
zt
e
e
dz
z2
zt
2
dz
2
2
2
2
2
z
z 2tz + t
t t
(z t)
+ =
zt
=
2
2
2 2 2
2
t
2
( z t ) 2
2
1
mZ (t ) = e
e
2
Let z - t = w dz = dw
2
mZ (t ) = e
t
2
1
2
w2
2
dz
dw = e
t2
2
m (t ) = e
m X (t ) = E[e ] = E[e
Xt
= e E[e
=e
( t ) Z
t( Z + )
t 2 2
t
2
]=e e
t 2 2
t +
2
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d
Mean = E[ X ] = m X (t ) =
dt
t =0
2
d
2
2
and E[X ] = 2 m X (t ) = +
dt
t =0
2
2
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(i) If X is N(, )
a
c
P(a X c) = FZ
FZ
(ii ) FZ ( z ) = 1 FZ ( z )
(iii ) FZ ( z ) 0 if z -3.5
FZ ( z ) 1 if z 3.5
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Example
Using table, find the values of
(i) P[Z 1.31]
(ii) P[Z < 1.31]
(iii) P[Z = 1.31]
(iv) P[Z > 1.31]
(v) P[-1.305 Z 1.43]
(vi) z .10 (vii) z .90
(viii) The point z such that
P(-z Z z) = 0.9
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1
FZ ( z ) = P( Z z ) = f ( z ) dz =
2
0.03
z2
dz
0.04
1
FZ ( z ) = P( Z z ) = f ( z ) dz =
2
0.03
z2
dz
0.04
0.03
0.04
(vi) z .10
(vii) z .90
(vi) P(Z zr ) = r
P(Z z.10 ) = 0.10
P(Z < z.10 ) = 0.90
z.10 = 1.28
0.05 0.06 0.07 0.08 0.09
.8997 .9015
1.2
z
1.4
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(vii) z .90 = ?
(viii) The point z such that
P(-z Z z) = 0.9
P(-z Z z) = F(z) - F(-z)
=2F(z) 1 = 0.9
i.e. F(z) = 0.95
z = 1.645
z
1.6
0.04
0.05
0.9495 0.9505
1.4
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Example
X is normally distributed and the mean of X is
12 and standard deviation is 4.
(i) Find P(X 10), P(X 10), P(0 X 12)
(ii) Find r, where P(X > r) = 0.24
(iii) Find a and b, where P(a < X< b) = 0.50
and P(X > b) = 0.25
Example
If X is normal random variable with
P(X 35) = 0.07 & P(X 63) = 0.89
Find mean & standard deviation of X.
Log-Normal Distribution
The positive random variable Y is
said
to
have
a
log-normal
distribution, if logeY is normally
distributed.
That is,
logeY ~ N(,)=X
dy
dF (ln y )
d ln y
=
= F (ln y )
dy
dy
1
= F (ln y ) .
y
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ln y
x )2
(
2 2
dx,
, x (, ); > 0.
dw
,
x = ln w, w = e , dx =
w
x
1
G( y) =
2
1
0 w e
(
ln w )2
2 2
dw
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2
dG
1 1
2
e
,y>0
=
dy
2 y
= 0 otherwise
Hence, the density for Y is given by
(
ln y )2
g ( y) =
1
2 y
(
ln y )2
2 2
, (, ); y, > 0
= 0 other wise.
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Problem 46
Let Y denote the diameter in millimeters of
styrofoam pellets used in packing. Assume
that Y has a log-normal distribution with
parameter = 0.8, = 0.1.
(i)
X - ln(2.7) .8
P
>
0.1
= P ( Z > 1.93) = 1 F (1.93)
= 1 - 0.9732 = 0.0268
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(ii)
ln y1 .8 X - ln y2 .8
P
<
<
= 0.95
0.1
0.1
ln y2 .8
ln y1 .8
<Z<
P
= 0.95
0. 1
0.1
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0.95
0.025
z0.975
0.025
z0.025
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ln y2 0.8
ln y1 0.8
P
<Z<
= 0.95
0.1
0.1
ln y1 0.8
= z0.975
0.1
ln y2 0.8
= z0.025
0.1
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ln y1 0.8
= z0.975 = 1.96, y1 = 1.829
0.1
ln y2 0.8
= z0.025 = 1.96, y2 = 2.707
0.1
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Thank You