Continuous random variables

Chrysafis Vogiatzis

Department of Industrial and Enterprise Systems Engineering

University of Illinois at Urbana-Champaign

Lecture 8

©Chrysafis Vogiatzis. Do not distribute without permission of the author

1 / 11 Chrysafis Vogiatzis Continuous random variables

Last time..

Continuous random variables.

Probability density functions (pdf, f (x), relative likelihood) and
cumulative distribution functions (cdf, F (x) = P(X ≤ x)).
Some key points include:
Rx
F (x) = −∞ f (y )dy , which means that f (x) = F 0 (x).
R
P(X ∈ A) = A f (x)dx.
Rβ
P(α ≤ X ≤ β) = F (β) − F (α) = α f (x)dx.
Recall that P(X = α) = 0, for any continuous random variable X .
We have seen two distributions so far:
Uniform;
Exponential.

2 / 11 Chrysafis Vogiatzis Continuous random variables

Last time..

Continuous random variables.

Probability density functions (pdf, f (x), relative likelihood) and
cumulative distribution functions (cdf, F (x) = P(X ≤ x)).
Some key points include:
Rx
F (x) = −∞ f (y )dy , which means that f (x) = F 0 (x).
R
P(X ∈ A) = A f (x)dx.
Rβ
P(α ≤ X ≤ β) = F (β) − F (α) = α f (x)dx.
Recall that P(X = α) = 0, for any continuous random variable X .
We have seen two distributions so far:
Uniform;
Exponential.

Today, we will discuss the Gamma and the Erlang distribution, and
the ubiquitous normal distribution.

2 / 11 Chrysafis Vogiatzis Continuous random variables

The Gamma distribution
We have the tools to answer two questions. Given a positive rate λ:

1. What is the probability that the next event happens during some time
interval?
2. What is the probability that we see a number of events during some time
interval?

Time to answer a third question:

3. What is the probability that the k -th event happens during some time
interval?

Definition (The Gamma distribution)

A continuous random variable X defined over the interval of [0, ∞) is Gamma
distributed if it has probability density function given by
( k k −1 −λx
λ ·x ·e
Γ(k )
, if x ≥ 0
f (x) =
0, if x < 0,

where λ, k > 0 are given parameters and Γ(k ) is the Gamma function.

3 / 11 Chrysafis Vogiatzis Continuous random variables

The Gamma distribution
We have the tools to answer two questions. Given a positive rate λ:

1. What is the probability that the next event happens during some time
interval?
2. What is the probability that we see a number of events during some time
interval?

Time to answer a third question:

3. What is the probability that the k -th event happens during some time
interval?

Definition (The Gamma distribution)

A continuous random variable X defined over the interval of [0, ∞) is Gamma
distributed if it has probability density function given by
( k k −1 −λx
λ ·x ·e
Γ(k )
, if x ≥ 0
f (x) =
0, if x < 0,

where λ, k > 0 are given parameters and Γ(k ) is the Gamma function.

3 / 11 Chrysafis Vogiatzis Continuous random variables

The Gamma distribution
We have the tools to answer two questions. Given a positive rate λ:

1. What is the probability that the next event happens during some time
interval?
2. What is the probability that we see a number of events during some time
interval?

Time to answer a third question:

3. What is the probability that the k -th event happens during some time
interval?

Definition (The Gamma distribution)

A continuous random variable X defined over the interval of [0, ∞) is Gamma
distributed if it has probability density function given by
( k k −1 −λx
λ ·x ·e
Γ(k )
, if x ≥ 0
f (x) =
0, if x < 0,

where λ, k > 0 are given parameters and Γ(k ) is the Gamma function.

3 / 11 Chrysafis Vogiatzis Continuous random variables

The Erlang distribution
In this class, we will only deal with integer values of k , and hence
Γ(k ) = (k − 1)!
We sometimes write that X ∼ Gamma(k , λ) if it follows the Gamma
distribution with rate λ and shape parameter k .
When parameter k is integer, we say the distribution is Erlang, and we
write that X ∼ Erlang(k , λ).

Example
A customs officer at the border stops cars for random inspection; they stop
every third vehicle – so they would stop the 3rd, the 6th, the 9th, and so on.
Cars cross the border with a rate of 1 every 2 minutes. What is the probability
they stop their first car within the first 10 minutes of work?

Answer: This is an Erlang distributed random variable with k = 3 and

1
( 1 )3 ·x 2 ·e− 2 x 1 2 − 12 x
λ = 1/2 minutes: f (x) = 2 Γ(3) = 16 x e . To answer the question,
we need
Z10 Z10
1 2 − 12 x
P(X ≤ 10) = f (x)dx = x e dx = 0.87535.
16
0 0
4 / 11 Chrysafis Vogiatzis Continuous random variables
The Erlang distribution
In this class, we will only deal with integer values of k , and hence
Γ(k ) = (k − 1)!
We sometimes write that X ∼ Gamma(k , λ) if it follows the Gamma
distribution with rate λ and shape parameter k .
When parameter k is integer, we say the distribution is Erlang, and we
write that X ∼ Erlang(k , λ).

Example
A customs officer at the border stops cars for random inspection; they stop
every third vehicle – so they would stop the 3rd, the 6th, the 9th, and so on.
Cars cross the border with a rate of 1 every 2 minutes. What is the probability
they stop their first car within the first 10 minutes of work?

Answer: This is an Erlang distributed random variable with k = 3 and

1
( 1 )3 ·x 2 ·e− 2 x 1 2 − 12 x
λ = 1/2 minutes: f (x) = 2 Γ(3) = 16 x e . To answer the question,
we need
Z10 Z10
1 2 − 12 x
P(X ≤ 10) = f (x)dx = x e dx = 0.87535.
16
0 0
4 / 11 Chrysafis Vogiatzis Continuous random variables
The Erlang distribution
In this class, we will only deal with integer values of k , and hence
Γ(k ) = (k − 1)!
We sometimes write that X ∼ Gamma(k , λ) if it follows the Gamma
distribution with rate λ and shape parameter k .
When parameter k is integer, we say the distribution is Erlang, and we
write that X ∼ Erlang(k , λ).

Example
A customs officer at the border stops cars for random inspection; they stop
every third vehicle – so they would stop the 3rd, the 6th, the 9th, and so on.
Cars cross the border with a rate of 1 every 2 minutes. What is the probability
they stop their first car within the first 10 minutes of work?

Answer: This is an Erlang distributed random variable with k = 3 and

1
( 1 )3 ·x 2 ·e− 2 x 1 2 − 12 x
λ = 1/2 minutes: f (x) = 2 Γ(3) = 16 x e . To answer the question,
we need
Z10 Z10
1 2 − 12 x
P(X ≤ 10) = f (x)dx = x e dx = 0.87535.
16
0 0
4 / 11 Chrysafis Vogiatzis Continuous random variables
The Erlang distribution visually

Figure: The Erlang distribution probability density function visualized for

different values of λ and integer values of k .

0.8

0.6

0.4

0.2

0
0 0.2 0.4 0.6 0.8 1
5 / 11 Chrysafis Vogiatzis Continuous random variables
The Erlang distribution visually

Figure: The Erlang distribution probability density function visualized for

different values of λ and integer values of k .

1
λ = 1, k = 1

0.8

0.6

0.4

0.2

0
0 2 4 6 8 10
5 / 11 Chrysafis Vogiatzis Continuous random variables
The Erlang distribution visually

Figure: The Erlang distribution probability density function visualized for

different values of λ and integer values of k .

1
λ = 1, k = 1
λ = 1, k = 2
0.8

0.6

0.4

0.2

0
0 2 4 6 8 10
5 / 11 Chrysafis Vogiatzis Continuous random variables
The Erlang distribution visually

Figure: The Erlang distribution probability density function visualized for

different values of λ and integer values of k .

1
λ = 1, k = 1
λ = 1, k = 2
0.8 λ = 1, k = 5

0.6

0.4

0.2

0
0 2 4 6 8 10
5 / 11 Chrysafis Vogiatzis Continuous random variables
The Erlang distribution visually

Figure: The Erlang distribution probability density function visualized for

different values of λ and integer values of k .

1
λ = 1, k =1
λ = 1, k =2
0.8 λ = 1, k =5
λ = 2, k =5
0.6

0.4

0.2

0
0 2 4 6 8 10
5 / 11 Chrysafis Vogiatzis Continuous random variables
The Erlang distribution visually

Figure: The Erlang distribution probability density function visualized for

different values of λ and integer values of k .

1
λ = 1, k =1
λ = 1, k =2
0.8 λ = 1, k =5
λ = 2, k =5
0.6 λ = 5, k =5

0.4

0.2

0
0 2 4 6 8 10
5 / 11 Chrysafis Vogiatzis Continuous random variables
The Erlang distribution visually

Figure: The Erlang distribution probability density function visualized for

different values of λ and integer values of k .

1
λ = 1, k = 1
λ = 1, k = 2
0.8 λ = 1, k = 5
λ = 2, k = 5
0.6 λ = 5, k = 5
λ = 5, k = 10

0.4

0.2

0
0 2 4 6 8 10
5 / 11 Chrysafis Vogiatzis Continuous random variables
The normal distribution

Probably the most well-studied continuous random variable.

Given two parameters referred to as the mean (µ) and the
standard deviation (σ) or variance (σ 2 ):
(x−µ)2
−
pdf: f (x) = √ 1 e 2σ 2
2π·σ
Rx
cdf: F (x) = f (t)dt
−∞

We then say that a random variable X is N (µ, σ 2 ) distributed.

It is symmetric and bell-shaped.

6 / 11 Chrysafis Vogiatzis Continuous random variables

The normal distribution

Probably the most well-studied continuous random variable.

Given two parameters referred to as the mean (µ) and the
standard deviation (σ) or variance (σ 2 ):
(x−µ)2
−
pdf: f (x) = √ 1 e 2σ 2
2π·σ
Rx
cdf: F (x) = f (t)dt
−∞

We then say that a random variable X is N (µ, σ 2 ) distributed.

It is symmetric and bell-shaped.

6 / 11 Chrysafis Vogiatzis Continuous random variables

The normal distribution

Probably the most well-studied continuous random variable.

Given two parameters referred to as the mean (µ) and the
standard deviation (σ) or variance (σ 2 ):
(x−µ)2
−
pdf: f (x) = √ 1 e 2σ 2
2π·σ
Rx
cdf: F (x) = f (t)dt
−∞

We then say that a random variable X is N (µ, σ 2 ) distributed.

It is symmetric and bell-shaped.

6 / 11 Chrysafis Vogiatzis Continuous random variables

Mean and standard deviation/variance?

The location and the spread of the normal distribution are determined
uniquely by its two defining parameters µ and σ (or σ 2 ):

Figure: Some examples of how the normal distribution is affected by its

mean and standard deviation.

0.4

0.2

5 10 15 20 25 30

7 / 11 Chrysafis Vogiatzis Continuous random variables

Mean and standard deviation/variance?

The location and the spread of the normal distribution are determined
uniquely by its two defining parameters µ and σ (or σ 2 ):

Figure: Some examples of how the normal distribution is affected by its

mean and standard deviation.

0.4 µ = 8, σ = 1

0.2

5 10 15 20 25 30

7 / 11 Chrysafis Vogiatzis Continuous random variables

Mean and standard deviation/variance?

The location and the spread of the normal distribution are determined
uniquely by its two defining parameters µ and σ (or σ 2 ):

Figure: Some examples of how the normal distribution is affected by its

mean and standard deviation.

0.4 µ = 8, σ = 1
µ = 8, σ = 2

0.2

5 10 15 20 25 30

7 / 11 Chrysafis Vogiatzis Continuous random variables

Mean and standard deviation/variance?

The location and the spread of the normal distribution are determined
uniquely by its two defining parameters µ and σ (or σ 2 ):

Figure: Some examples of how the normal distribution is affected by its

mean and standard deviation.

0.4 µ = 8, σ = 1
µ = 8, σ = 2
µ = 16, σ = 1
0.2

5 10 15 20 25 30

7 / 11 Chrysafis Vogiatzis Continuous random variables

Standard normal distribution

−3 −2 −1 1 2 3

Due to its applicability, we have also devised a standard version.

In this version, we have that µ = 0, σ = 1.
If a random variable is following a standard normal distribution,
we write that it is N (0, 1) distributed.
We have tables that contain useful values for the cdf (so that we
do not have to calculate an integral every time).
Any normal distribution can be converted to the standard normal
distribution through a procedure usually called a z-transform.

8 / 11 Chrysafis Vogiatzis Continuous random variables

Standard normal distribution

−3 −2 −1 1 2 3

Due to its applicability, we have also devised a standard version.

In this version, we have that µ = 0, σ = 1.
If a random variable is following a standard normal distribution,
we write that it is N (0, 1) distributed.
We have tables that contain useful values for the cdf (so that we
do not have to calculate an integral every time).
Any normal distribution can be converted to the standard normal
distribution through a procedure usually called a z-transform.

8 / 11 Chrysafis Vogiatzis Continuous random variables

Standard normal distribution

−3 −2 −1 1 2 3

Due to its applicability, we have also devised a standard version.

In this version, we have that µ = 0, σ = 1.
If a random variable is following a standard normal distribution,
we write that it is N (0, 1) distributed.
We have tables that contain useful values for the cdf (so that we
do not have to calculate an integral every time).
Any normal distribution can be converted to the standard normal
distribution through a procedure usually called a z-transform.

8 / 11 Chrysafis Vogiatzis Continuous random variables

z-transforms and the z-table
Remark
X −µ
If X is N (µ, σ 2 ), then Z = σ is N (0, 1).

Note: we usually write f (x), F (x) to signal the pdf and cdf of a
non-standard normal distribution, and φ(z), Φ(z) to signal the
pdf and cdf of the standard normal distribution.
The z-transform equivalency implies that we may:
1 calculate the corresponding z value through the transformationl
2 then use a table containing probabilities to find that z value;
3 and hence obtain the probability we are after.
Let X be N (400, 400) (i.e., σ 2 = 400 =⇒ σ = 20).
Example 1: P (X ≤ 400)? Example 3: P (X ≤ 375)?
z = x−µ
σ
= 400−400
20
= 0. z = x−µ
σ
= 375−400
20
= −1.25.
P (X ≤ 400) = P (Z ≤ 0). P (X ≤ 375) = P (Z ≤ −1.25).
Example 2: P (X ≤ 451)?
z = x−µ
σ
= 451−400
20
= 2.55.
P (X ≤ 451) = P (Z ≤ 2.55).
9 / 11 Chrysafis Vogiatzis Continuous random variables
z-transforms and the z-table
Remark
X −µ
If X is N (µ, σ 2 ), then Z = σ is N (0, 1).

Note: we usually write f (x), F (x) to signal the pdf and cdf of a
non-standard normal distribution, and φ(z), Φ(z) to signal the
pdf and cdf of the standard normal distribution.
The z-transform equivalency implies that we may:
1 calculate the corresponding z value through the transformationl
2 then use a table containing probabilities to find that z value;
3 and hence obtain the probability we are after.
Let X be N (400, 400) (i.e., σ 2 = 400 =⇒ σ = 20).
Example 1: P (X ≤ 400)? Example 3: P (X ≤ 375)?
z = x−µ
σ
= 400−400
20
= 0. z = x−µ
σ
= 375−400
20
= −1.25.
P (X ≤ 400) = P (Z ≤ 0). P (X ≤ 375) = P (Z ≤ −1.25).
Example 2: P (X ≤ 451)?
z = x−µ
σ
= 451−400
20
= 2.55.
P (X ≤ 451) = P (Z ≤ 2.55).
9 / 11 Chrysafis Vogiatzis Continuous random variables
z-transforms and the z-table
Remark
X −µ
If X is N (µ, σ 2 ), then Z = σ is N (0, 1).

Note: we usually write f (x), F (x) to signal the pdf and cdf of a
non-standard normal distribution, and φ(z), Φ(z) to signal the
pdf and cdf of the standard normal distribution.
The z-transform equivalency implies that we may:
1 calculate the corresponding z value through the transformationl
2 then use a table containing probabilities to find that z value;
3 and hence obtain the probability we are after.
Let X be N (400, 400) (i.e., σ 2 = 400 =⇒ σ = 20).
Example 1: P (X ≤ 400)? Example 3: P (X ≤ 375)?
z = x−µ
σ
= 400−400
20
= 0. z = x−µ
σ
= 375−400
20
= −1.25.
P (X ≤ 400) = P (Z ≤ 0). P (X ≤ 375) = P (Z ≤ −1.25).
Example 2: P (X ≤ 451)?
z = x−µ
σ
= 451−400
20
= 2.55.
P (X ≤ 451) = P (Z ≤ 2.55).
9 / 11 Chrysafis Vogiatzis Continuous random variables
z-transforms and the z-table
Remark
X −µ
If X is N (µ, σ 2 ), then Z = σ is N (0, 1).

Note: we usually write f (x), F (x) to signal the pdf and cdf of a
non-standard normal distribution, and φ(z), Φ(z) to signal the
pdf and cdf of the standard normal distribution.
The z-transform equivalency implies that we may:
1 calculate the corresponding z value through the transformationl
2 then use a table containing probabilities to find that z value;
3 and hence obtain the probability we are after.
Let X be N (400, 400) (i.e., σ 2 = 400 =⇒ σ = 20).
Example 1: P (X ≤ 400)? Example 3: P (X ≤ 375)?
z = x−µ
σ
= 400−400
20
= 0. z = x−µ
σ
= 375−400
20
= −1.25.
P (X ≤ 400) = P (Z ≤ 0). P (X ≤ 375) = P (Z ≤ −1.25).
Example 2: P (X ≤ 451)?
z = x−µ
σ
= 451−400
20
= 2.55.
P (X ≤ 451) = P (Z ≤ 2.55).
9 / 11 Chrysafis Vogiatzis Continuous random variables
z-transforms and the z-table
Remark
X −µ
If X is N (µ, σ 2 ), then Z = σ is N (0, 1).

Note: we usually write f (x), F (x) to signal the pdf and cdf of a
non-standard normal distribution, and φ(z), Φ(z) to signal the
pdf and cdf of the standard normal distribution.
The z-transform equivalency implies that we may:
1 calculate the corresponding z value through the transformationl
2 then use a table containing probabilities to find that z value;
3 and hence obtain the probability we are after.
Let X be N (400, 400) (i.e., σ 2 = 400 =⇒ σ = 20).
Example 1: P (X ≤ 400)? Example 3: P (X ≤ 375)?
z = x−µ
σ
= 400−400
20
= 0. z = x−µ
σ
= 375−400
20
= −1.25.
P (X ≤ 400) = P (Z ≤ 0). P (X ≤ 375) = P (Z ≤ −1.25).
Example 2: P (X ≤ 451)?
z = x−µ
σ
= 451−400
20
= 2.55.
P (X ≤ 451) = P (Z ≤ 2.55).
9 / 11 Chrysafis Vogiatzis Continuous random variables
z-transforms and the z-table
Remark
X −µ
If X is N (µ, σ 2 ), then Z = σ is N (0, 1).

Note: we usually write f (x), F (x) to signal the pdf and cdf of a
non-standard normal distribution, and φ(z), Φ(z) to signal the
pdf and cdf of the standard normal distribution.
The z-transform equivalency implies that we may:
1 calculate the corresponding z value through the transformationl
2 then use a table containing probabilities to find that z value;
3 and hence obtain the probability we are after.
Let X be N (400, 400) (i.e., σ 2 = 400 =⇒ σ = 20).
Example 1: P (X ≤ 400)? Example 3: P (X ≤ 375)?
z = x−µ
σ
= 400−400
20
= 0. z = x−µ
σ
= 375−400
20
= −1.25.
P (X ≤ 400) = P (Z ≤ 0). P (X ≤ 375) = P (Z ≤ −1.25).
Example 2: P (X ≤ 451)?
z = x−µ
σ
= 451−400
20
= 2.55.
P (X ≤ 451) = P (Z ≤ 2.55).
9 / 11 Chrysafis Vogiatzis Continuous random variables
z-transforms and the z-table
Remark
X −µ
If X is N (µ, σ 2 ), then Z = σ is N (0, 1).

Note: we usually write f (x), F (x) to signal the pdf and cdf of a
non-standard normal distribution, and φ(z), Φ(z) to signal the
pdf and cdf of the standard normal distribution.
The z-transform equivalency implies that we may:
1 calculate the corresponding z value through the transformationl
2 then use a table containing probabilities to find that z value;
3 and hence obtain the probability we are after.
Let X be N (400, 400) (i.e., σ 2 = 400 =⇒ σ = 20).
Example 1: P (X ≤ 400)? Example 3: P (X ≤ 375)?
z = x−µ
σ
= 400−400
20
= 0. z = x−µ
σ
= 375−400
20
= −1.25.
P (X ≤ 400) = P (Z ≤ 0). P (X ≤ 375) = P (Z ≤ −1.25).
Example 2: P (X ≤ 451)?
z = x−µ
σ
= 451−400
20
= 2.55.
P (X ≤ 451) = P (Z ≤ 2.55).
9 / 11 Chrysafis Vogiatzis Continuous random variables
z-transforms and the z-table
Remark
X −µ
If X is N (µ, σ 2 ), then Z = σ is N (0, 1).

Note: we usually write f (x), F (x) to signal the pdf and cdf of a
non-standard normal distribution, and φ(z), Φ(z) to signal the
pdf and cdf of the standard normal distribution.
The z-transform equivalency implies that we may:
1 calculate the corresponding z value through the transformationl
2 then use a table containing probabilities to find that z value;
3 and hence obtain the probability we are after.
Let X be N (400, 400) (i.e., σ 2 = 400 =⇒ σ = 20).
Example 1: P (X ≤ 400)? Example 3: P (X ≤ 375)?
z = x−µ
σ
= 400−400
20
= 0. z = x−µ
σ
= 375−400
20
= −1.25.
P (X ≤ 400) = P (Z ≤ 0). P (X ≤ 375) = P (Z ≤ −1.25).
Example 2: P (X ≤ 451)?
z = x−µ
σ
= 451−400
20
= 2.55.
P (X ≤ 451) = P (Z ≤ 2.55).
9 / 11 Chrysafis Vogiatzis Continuous random variables
z-transforms and the z-table
NORMAL CUMULATIVE DISTRIBUTION FUNCTION (Φ(z))

z 0.00 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09
0.0 0.5000 0.5040 0.5080 0.5120 0.5160 0.5199 0.5239 0.5279 0.5319 0.5359
0.1 0.5398 0.5438 0.5478 0.5517 0.5557 0.5596 0.5636 0.5675 0.5714 0.5753
0.2 0.5793 0.5832 0.5871 0.5910 0.5948 0.5987 0.6026 0.6064 0.6103 0.6141
0.3 0.6179 0.6217 0.6255 0.6293 0.6331 0.6368 0.6406 0.6443 0.6480 0.6517
0.4 0.6554 0.6591 0.6628 0.6664 0.6700 0.6736 0.6772 0.6808 0.6844 0.6879
0.5 0.6915 0.6950 0.6985 0.7019 0.7054 0.7088 0.7123 0.7157 0.7190 0.7224
0.6 0.7257 0.7291 0.7324 0.7357 0.7389 0.7422 0.7454 0.7486 0.7517 0.7549
0.7 0.7580 0.7611 0.7642 0.7673 0.7703 0.7734 0.7764 0.7794 0.7823 0.7852
0.8 0.7881 0.7910 0.7939 0.7967 0.7995 0.8023 0.8051 0.8078 0.8106 0.8133
0.9 0.8159 0.8186 0.8212 0.8238 0.8264 0.8289 0.8315 0.8340 0.8365 0.8389
1.0 0.8413 0.8438 0.8461 0.8485 0.8508 0.8531 0.8554 0.8577 0.8599 0.8621
1.1 0.8643 0.8665 0.8686 0.8708 0.8729 0.8749 0.8770 0.8790 0.8810 0.8830
1.2 0.8849 0.8869 0.8888 0.8907 0.8925 0.8944 0.8962 0.8980 0.8997 0.9015
1.3 0.9032 0.9049 0.9066 0.9082 0.9099 0.9115 0.9131 0.9147 0.9162 0.9177
1.4 0.9192 0.9207 0.9222 0.9236 0.9251 0.9265 0.9279 0.9292 0.9306 0.9319
1.5 0.9332 0.9345 0.9357 0.9370 0.9382 0.9394 0.9406 0.9418 0.9429 0.9441
1.6 0.9452 0.9463 0.9474 0.9484 0.9495 0.9505 0.9515 0.9525 0.9535 0.9545
1.7 0.9554 0.9564 0.9573 0.9582 0.9591 0.9599 0.9608 0.9616 0.9625 0.9633
1.8 0.9641 0.9649 0.9656 0.9664 0.9671 0.9678 0.9686 0.9693 0.9699 0.9706
1.9 0.9713 0.9719 0.9726 0.9732 0.9738 0.9744 0.9750 0.9756 0.9761 0.9767
2.0 0.9772 0.9778 0.9783 0.9788 0.9793 0.9798 0.9803 0.9808 0.9812 0.9817
2.1 0.9821 0.9826 0.9830 0.9834 0.9838 0.9842 0.9846 0.9850 0.9854 0.9857
2.2 0.9861 0.9864 0.9868 0.9871 0.9875 0.9878 0.9881 0.9884 0.9887 0.9890
2.3 0.9893 0.9896 0.9898 0.9901 0.9904 0.9906 0.9909 0.9911 0.9913 0.9916
2.4 0.9918 0.9920 0.9922 0.9925 0.9927 0.9929 0.9931 0.9932 0.9934 0.9936
2.5 0.9938 0.9940 0.9941 0.9943 0.9945 0.9946 0.9948 0.9949 0.9951 0.9952
2.6 0.9953 0.9955 0.9956 0.9957 0.9959 0.9960 0.9961 0.9962 0.9963 0.9964
2.7 0.9965 0.9966 0.9967 0.9968 0.9969 0.9970 0.9971 0.9972 0.9973 0.9974
2.8 0.9974 0.9975 0.9976 0.9977 0.9977 0.9978 0.9979 0.9979 0.9980 0.9981
2.9 0.9981 0.9982 0.9982 0.9983 0.9984 0.9984 0.9985 0.9985 0.9986 0.9986
3.0 0.9987 0.9987 0.9987 0.9988 0.9988 0.9989 0.9989 0.9989 0.9990 0.9990

10 / 11 Chrysafis Vogiatzis Continuous random variables

Example solutions

Example 1: P(X ≤ 400) = P(Z ≤ 0) = Φ(0).

z 0.00 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09
0.0 0.5000 0.5040 0.5080 0.5120 0.5160 0.5199 0.5239 0.5279 0.5319 0.5359
And, hence, P(X ≤ 400) = 0.5.
Example 2: P(X ≤ 451) = P(Z ≤ 2.55) = Φ(2.55).
z 0.00 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09
2.5 0.9938 0.9940 0.9941 0.9943 0.9945 0.9946 0.9948 0.9949 0.9951 0.9952
Which implies that P(X ≤ 451) = 0.9946.
Example 3: P(X ≤ 375) = P(Z ≤ −1.25) = Φ(−1.25).
Many z tables do not have negative values.
Thankfully, due to the symmetry of the normal distribution, we may
use the positive value!
z 0.00 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09
1.2 0.8849 0.8869 0.8888 0.8907 0.8925 0.8944 0.8962 0.8980 0.8997 0.9015
Finally, we have that Φ(−z) = 1 − Φ(z) = 1 − 0.8944 = 0.1056.

11 / 11 Chrysafis Vogiatzis Continuous random variables

Example solutions

Example 1: P(X ≤ 400) = P(Z ≤ 0) = Φ(0).

z 0.00 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09
0.0 0.5000 0.5040 0.5080 0.5120 0.5160 0.5199 0.5239 0.5279 0.5319 0.5359
And, hence, P(X ≤ 400) = 0.5.
Example 2: P(X ≤ 451) = P(Z ≤ 2.55) = Φ(2.55).
z 0.00 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09
2.5 0.9938 0.9940 0.9941 0.9943 0.9945 0.9946 0.9948 0.9949 0.9951 0.9952
Which implies that P(X ≤ 451) = 0.9946.
Example 3: P(X ≤ 375) = P(Z ≤ −1.25) = Φ(−1.25).
Many z tables do not have negative values.
Thankfully, due to the symmetry of the normal distribution, we may
use the positive value!
z 0.00 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09
1.2 0.8849 0.8869 0.8888 0.8907 0.8925 0.8944 0.8962 0.8980 0.8997 0.9015
Finally, we have that Φ(−z) = 1 − Φ(z) = 1 − 0.8944 = 0.1056.

11 / 11 Chrysafis Vogiatzis Continuous random variables

Example solutions

Example 1: P(X ≤ 400) = P(Z ≤ 0) = Φ(0).

z 0.00 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09
0.0 0.5000 0.5040 0.5080 0.5120 0.5160 0.5199 0.5239 0.5279 0.5319 0.5359
And, hence, P(X ≤ 400) = 0.5.
Example 2: P(X ≤ 451) = P(Z ≤ 2.55) = Φ(2.55).
z 0.00 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09
2.5 0.9938 0.9940 0.9941 0.9943 0.9945 0.9946 0.9948 0.9949 0.9951 0.9952
Which implies that P(X ≤ 451) = 0.9946.
Example 3: P(X ≤ 375) = P(Z ≤ −1.25) = Φ(−1.25).
Many z tables do not have negative values.
Thankfully, due to the symmetry of the normal distribution, we may
use the positive value!
z 0.00 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09
1.2 0.8849 0.8869 0.8888 0.8907 0.8925 0.8944 0.8962 0.8980 0.8997 0.9015
Finally, we have that Φ(−z) = 1 − Φ(z) = 1 − 0.8944 = 0.1056.

11 / 11 Chrysafis Vogiatzis Continuous random variables