Continuous Probability Distribution:

1- Normal Distribution

Its graph, called the normal curve, is the bell-shaped curve

of the following figure. The normal distribution is often
referred to as the Gaussian distribution.

A continuous random variable X having the bell-shaped distribution is called a normal random
variable. The mathematical equation for the probability distribution of the normal variable
depends on the two parameters μ and σ, its mean and standard deviation, respectively. Hence, we
denote the values of the density of X by n(x; μ, σ).

Normal Distribution: The density of the normal random variable X, with mean μ and variance
σ2, is
1 x− µ
1 − ( 2
)
n(x; μ, σ) = e2 σ , − ∞ < x < ∞,
σ 2π

where π = 3.14159 . . . and e = 2.71828 . . . .

Once μ and σ are specified, the normal curve is completely determined. For example, if μ = 50
and σ = 5, then the ordinates n(x; 50, 5) can be computed for various values of x and the curve
drawn.

Properties of the normal curve:

1. The mode occurs at x = μ.

2. The curve is symmetric about the mean μ.
3. The curve has its points of inflection at x = μ ± σ;
it is concave downward if μ −σ <X < μ+ σ and is
concave upward otherwise.
4. The normal curve approaches the horizontal axis asymptotically as we proceed in either
direction away from the mean.
∞

5. The total area under the curve and above the horizontal axis is equal to 1. ∫ n( x; µ ,σ )dx =1
−∞

Theorem: The mean E(X) = μ and variance Var (X) = σ2, Hence, the standard deviation = σ.

PHM111s - Probability and Statistics

Areas under the Normal Curve
x2 x2 1 x− µ 2
1 − (
P(x 1 < X < x 2 ) = ∫ n( x; µ ,σ )dx =
)

x σ 2π
∫e
x1
2 σ
dx
1

is represented by the area of the shaded region.

PHM111s - Probability and Statistics

standard normal distribution:

Consider the transformation

X −µ
Z= σ .

where Z is the normal random variable with mean 0 and variance 1.

x− µ
Whenever X assumes a value x, the corresponding value of Z is given by z = σ . Therefore, if X
falls between the values x = x 1 and x = x 2 , the random variable Z will fall between the
corresponding values z 1 = (x 1 −μ)/σ and z 2 = (x 2 − μ)/σ. Consequently, we may write
x2 1 x− µ 2
1 − ( ) 1 z − 12 z
2 2

P(x 1 < X < x 2 ) =

σ 2π
∫e
x1
2 σ
dx = ∫ e dz
2π z 1

z2

⇒ ∫ n( z;0,1)dz=
z1
P( z1 < Z < z2 ),

2
1 − z2
n(z; 0, 1) = e , − ∞ < z < ∞,
2π

Definition: The distribution of a normal random variable with mean 0 and variance 1 is called a
standard normal distribution.

The following table indicates the area under the standard normal curve corresponding to
z
1 z − 12 z 2

Ф(Z) = P(Z ≤ z) = ∫ f ( z )dz = ∫ e dz [Cumulative distribution function] for values of z

−∞ 2π −∞
ranging from −3.49 to 3.49.

Ф(0) = 0.5, Ф(−∞) = 0 and Ф(∞) = 1

PHM111s - Probability and Statistics

PHM111s - Probability and Statistics
e.g. P(Z < 1.74) = Ф(1.74) = 0.9591,
The z value leaving an area of 0.2148 under the curve to the left of z is seen to be −0.79.

Example 11.1: Given a standard normal distribution, find the area under the curve that lies
(a) to the right of z = 1.84 and
(b) between z = −1.97 and z = 0.86.

Solution: (a) The area to the right of z = 1.84 is equal to 1 minus the area in the table to the left of
z = 1.84, namely, 1 − 0.9671 = 0.0329.
PHM111s - Probability and Statistics
 (b) The area between z = −1.97 and z = 0.86 is equal to the area to the left of z = 0.86
minus the area to the left of z = −1.97. From the table, we find the desired area to be
0.8051 − 0.0244 = 0.7807.

Example 11.2: Given a standard normal distribution, find the value of k such that
(a) P(Z > k) = 0.3015 and
(b) P(k < Z < −0.18) = 0.4197.
Solution:
(a) 1− Ф(k) = 0.3015 ⇒ Ф(k) = 0.6985. From the table, it follows that k = 0.52.
(b) Ф(−0.18) − Ф(k) = 0.4197 ⇒ Ф(k) = 0.4286 − 0.4197 = 0.0089. Hence, from the
table, we have k = −2.37.

Example 11.3: Given a random variable X having a normal distribution with μ = 50 and σ = 10,
find the probability that X assumes a value between 45 and 62.
Solution: The z values corresponding to x 1 = 45 and x 2 = 62 are

45−50 62−50
Z =10 = −0.5 and Z =10 = 1.2.
1 2
Therefore,
P(45 < X < 62) = P(−0.5 < Z < 1.2).

PHM111s - Probability and Statistics

 P(−0.5 < Z < 1.2) is shown by the area of the shaded region in the following figure.
This area may be found by subtracting the area to the left of the ordinate z = −0.5 from
the entire area to the left of z = 1.2. Using the table, we have
P(45 < X < 62) = P(−0.5 < Z < 1.2) = Ф(1.2) − Ф(−0.5)
= 0.8849 − 0.3085 = 0.5764.

Using the Normal Curve in Reverse

Sometimes, we are required to find the value of z corresponding to a specified probability that
falls between values listed in the table.

Example 11.4: Given a normal distribution with μ = 40 and σ = 6, find the value of x that has
(a) 45% of the area to the left and
(b) 14% of the area to the right.
Solution: (a) For an area of 0.45 to the left of the desired x value, we require a z value that leaves
an area of 0.45 to the left. From the table, we find Ф(−0.13) = 0.45, so the desired z
value is −0.13. Hence,
x− µ
Z = σ ⇒ x = σ z + µ.
⇒ x = (6)(−0.13) + 40 = 39.22.

(b) For an area equal to 0.14 to the right of the desired x value, we require a z value that
leaves 0.14 of the area to the right and hence an area of 0.86 to the left. Again, from
the table, we find Ф(1.08) = 0.86, so the desired z value is 1.08 and
x = (6)(1.08) + 40 = 46.48.

PHM111s - Probability and Statistics

Example 11.5: A certain type of storage battery lasts, on average, 3.0 years with a standard
deviation of 0.5 year. Assuming that battery life is normally distributed, find the
probability that a given battery will last less than 2.3 years.

Solution: To find P(X < 2.3), we need to evaluate the area under the normal curve to the left of
2.3. This is accomplished by finding the area to the left of the corresponding z value.
Hence, we find that
−3
Z = 2.3
0.5 = −1.4,
and then, using the table, we have
P(X <2.3) = P(Z < −1.4) = 0.0808.

Example 11.6: An electrical firm manufactures light bulbs that have a life, before burn-out, that
is normally distributed with mean equal to 800 hours and a standard deviation of
40 hours. Find the probability that a bulb burns between 778 and 834 hours.

Solution: The z values corresponding to x 1 = 778 and x 2 = 834 are

778−800 834−800
Z = 40 =
−0.55 and Z = 40 =
0.85.
1 2
Hence,
P(778 < X < 834) = P(−0.55 < Z < 0.85) = P(Z < 0.85) − P(Z < −0.55)
= 0.8023 − 0.2912 = 0.5111.

PHM111s - Probability and Statistics

 2- Exponential Distribution

To predict the amount of waiting time until the next event

• The amount of time you need to wait until the bus arrives.
• The amount of time until the hardware component fails.
• ………

The continuous random variable X has an exponential distribution, with parameter β, if

its density function is given by

 1 − x/ β
 e , x ≥ 0,
f ( x; β ) =  β where β > 0.
 0 elsewhere,


The mean and variance of the exponential distribution are μ = β and σ2 = β2.

100
Example: Let the random variable X has an exponential distribution, with parameter β = ,
3
if its density function is given by
 0.03e −0.03 x , x > 0,
f ( y) = 
 0 elsewhere,
a) Find mean, variance and standard deviation
b) Find the probability that X is
1- At least 5
2- At most 7
3- Between 3 and 6

100 100 2 100

Solution: a) μ = β = , Var(X) = σ2 = β2 = ( ) and Standard deviation (X) = σ = ( ).
3 3 3
∞

b) 1. P(X ≥ 5) = ∫ 0.03e dx =
− e −0.03 x |5∞ =
−0.03 x
e −0.15
5
7

2. P(X ≤ 7) = ∫ 0.03e dx =
− e −0.03 x |70 =
1 − e −0.21
−0.03 x

3. P(3≤ X ≤ 6) = ∫ 0.03e dx =
− e −0.03 x |36 =
e −0.09 − e −0.18
−0.03 x

PHM111s - Probability and Statistics

Example 11.12: Based on extensive testing, it is determined that the time Y in years before a
major repair is required for a certain washing machine is characterized by the
density function

 1 − y /4
 e , y > 0,
f ( y) =  4
 0 elsewhere,

Note that Y is an exponential random variable with μ = β = 4 years. The machine

is considered a bargain if it is unlikely to require a major repair before the sixth
year. What is the probability P(Y > 6)? What is the probability that a major
repair is required in the first year?

Solution: Consider the cumulative distribution function F(y) for the exponential distribution,
y y
1
F ( y )= ∫ f (t )dt =
β∫
dt = 1 − e − y / β .
−t/β
e
−∞ 0

Then P(Y > 6) = 1 − F(6) = e− 3/2 = 0.2231

.
The probability that a major repair is necessary in the first year is:

P(Y < 1) = F(1) = 1 – e-1/4 = 1− 0.779 = 0.221.

PHM111s - Probability and Statistics