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Named Continuous R.V.s
Quantitative Techniques - 1
Prof. Pritam Ranjan
OM & QT, IIM Indore
Email: pritamr@iimidr.ac.in
Oce: A - 102, Phone: 512
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Continuous R.V.s
Named Continuous R.V.s
Examples
Let X be a continuous random variable
au
2 2
2au+a
FX (u) =
6
u b6
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Continuous R.V.s
Named Continuous R.V.s
Examples - HW
Let X be a random variable with the CDF given by
0
u<0
u
0u<1
3
FX (u) =
2u1
1u<2
3
1
u 2.
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Continuous R.V.s
Named Continuous R.V.s
Examples
Suppose X has p.d.f. fX (x) and Y = aX + b for constants a and b.
Find the p.d.f. fY (y ) of Y .
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Continuous R.V.s
Named Continuous R.V.s
Examples - Reliability: HW
The lifetime of lightbulbs (X ) manufactured by a particular company follows
the following distribution (mean: = E (X ) = 100 hrs)
1
u
exp( 100
)
u>0
100
fX (u) =
0
otherwise.
(a) What is the probability that a random lightbulb will last at least 65 hours?
(b) What is the standard deviation of the lifetime of a lightbulb?
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Continuous R.V.s
Named Continuous R.V.s
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Continuous R.V.s
Named Continuous R.V.s
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Continuous R.V.s
Named Continuous R.V.s
Exponential Gamma
Weibull
Pareto
Normal
Students t
Chi-square
Fishers F
..
.
https://en.wikipedia.org/wiki/Category:Continuous distributions
Continuous Univariate Distributions- Johnson, Kotz & Balakrishnan
Prof. Pritam Ranjan
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Continuous R.V.s
Named Continuous R.V.s
Uniform distribution
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Continuous R.V.s
Named Continuous R.V.s
Uniform distribution
Notation: X unif (a, b) (popular: standard uniform a = 0, b = 1)
pdf
fX (u) =
1
(ba)
u (a, b)
otherwise.
cdf
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Continuous R.V.s
Named Continuous R.V.s
Uniform distribution
Expectation
Variance
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Continuous R.V.s
Named Continuous R.V.s
Uniform - example
A packaging line consistently packages 200 cartons per hour. After weighing
every package variation was found in weights ranging from 18.2 lbs - 20.4 lbs.
The customer requires <20.0 lbs for ergonomic reasons.
(a) Find the mean and standard deviation
(b) Find the probability that a package weigh less than 18.0 lbs
(c) Find the probability that a package exceeds the customer requirement.
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Continuous R.V.s
Named Continuous R.V.s
Uniform - example: HW
According to the National Association of Insurance Commissioners, the average
annual cost for automobile insurance in the United States in a recent year was
$691. Suppose automobile insurance costs are uniformly distributed in the
United States with a range of $200 to $1,182.
What is the probability that a persons annual cost for automobile insurance
in the United States is between $410 and $825?
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Continuous R.V.s
Named Continuous R.V.s
Uniform - example: HW
If X Unif (0, 1), nd the distribution of Y = aX + b.
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Continuous R.V.s
Named Continuous R.V.s
Uniform - example
Suppose X Unif [5, 10]. Find the probability that X 2 5X 6 is
greater than zero.
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Continuous R.V.s
Named Continuous R.V.s
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Continuous R.V.s
Named Continuous R.V.s
Important remarks
Random number generator on your calculator are supposedly
uniform (actually they are quasi random)
Basis for generating numerous other random numbers
discrete
continuous
Probability integral transformation
Let X be a random variable and Y = FX (X ) such that FX () is
invertible, then Y Unif (0, 1)
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Continuous R.V.s
Named Continuous R.V.s
Uniform - example: HW
Suppose X U[0, 1] and
Y =
Find the p.m.f. of Y .
1
x <p
0 otherwise.
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Continuous R.V.s
Named Continuous R.V.s
Uniform - example
Suppose X U[0, 1] and Y = ln(X ). Find the p.d.f. of Y .
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Continuous R.V.s
Named Continuous R.V.s
Exponential distribution
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Continuous R.V.s
Named Continuous R.V.s
Exponential distribution
Notation: X Exp() for > 0
Motivating examples:
e u
0
u>0
otherwise.
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Continuous R.V.s
Named Continuous R.V.s
Exponential distribution
Expectation
Variance
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Continuous R.V.s
Named Continuous R.V.s
Exponential distribution
Memoryless property
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Continuous R.V.s
Named Continuous R.V.s
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Continuous R.V.s
Named Continuous R.V.s
Reliability - example: HW
Laptop computers produced by a company have an average life of 38.36
months. Assume that the life of a computer is exponentially distributed (which
is a good assumption).
(a) What is the probability that a computer will fail within 12 months?
(b) If the company wants not more than 5% of the computers to fail during the
warranty period, what should be the warranty period?
(c) If he wants to be 95% condent of being on time for the class, how much
time should he allow for waiting for the shuttle?
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Continuous R.V.s
Named Continuous R.V.s
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Named Continuous R.V.s
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Named Continuous R.V.s
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Named Continuous R.V.s
Homework
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