UNIT 16 PROBABILITY DISTRIBUTION

Structure
16.0 Objectives
16.1 Introduction
16.2 Elementary Concept of Random Variable
16.3 Probability Mass Function
16.4 Probability Density Function
16.5 Probability Distribution Function
16.6 Moments and Moment Generating Functions
16.7 Three Important Probability Distributions
16.7.1 Binomial Distribution
16.7.2 Poisson Distribution
16.7.3 Normal Distribution
16.8 Let Us Sum Up
16.9 Key Words
16.10 Some Useful Books
16.11 Answer or Hints to Check Your Progress
16.12 Exercises

16. 0 OBJECTIVES
After going through this unit, you will be able to:
• understand the random variables and how they are inseparable to
probability distributions;
• appreciate moment generating functions and their role in probability
distribution; and
• solve the problems of probability, which fit into binomial, poisson and
normal distributions.

16.1 INTRODUCTION
In the previous unit on probability theory, we discussed the deterministic and
non-deterministic events and introduced to random variables, which are
outcomes of non-deterministic experiments. Such variables are always
generated with a particular pattern of probability attached to them. Thus,
based on the pattern of probability for the different values of random variable,
we can distinguish them. Once we know these probability distributions and
their properties, and if any random variable fits in a probability distribution, it
will be possible to answer any question regarding the variable. In this unit, we
have defined the random variable and made a broad distinction of the
probability distributions based on whether the random variable is continuous
or not. Then we have discussed how the moments of a probability distribution
describe the distribution completely; how the technique of moment generating
function could be used to obtain the moments of any probability distribution.
101
Statistical Methods-1 In the next section, we discuss three most widely used probability
distributions viz., binomial, poisson and normal.

16.2 ELEMENTARY CONCEPTS OF RANDOM

VARIABLE
When a random experiment is performed, we are often not interested in the
detailed results, but only in the value of some numerical quantity determined
by the experiment. It is natural to refer to a quantity whose value is
determined by the result of a random experiment as a random quantity.
A variable is called random when its occurrence depends on the chance factor.
In other words, there is a probability that the variable will take a particular
value. When we toss a coin, say thrice, the number of heads we obtain is a
random variable. Suppose in this case, X denotes the number of heads.
Clearly, X can take four values, 0, 1, 2, and 3. More importantly, there is a
probability attached with every value of the variable X. Therefore, X is a
random variable. We can cite several examples of random variable: The
number of red cards drawn when we draw 10 cards from a pack of 52 cards,
the number we obtain when a die is rolled, number of accidents in a city and
the number of printing mistakes in a page of a news paper.
Random variables could be either continuous or discrete. A discrete random
variable takes only discrete or distinct values. In the above examples all are
discrete variables. If Y is a variable that denotes the number when we roll a
die, it will always take integral values. Practically, it will take any value
among {1, 2, 3, 4, 5, 6} and cannot take the value 5.5 or 4.3. Therefore, Y is
discrete random variable.
Similarly, a random variable is continuous if it can take any value in its range.
The life of an electrical gadget, duration of phone calls received by a
telephone operator and the amount of annual rainfall in a particular district of
India are examples of continuous random variables. A random variable always
takes real values. Therefore, we can define random variable as a real valued
function defined over the points of a sample space (set of all possible
outcomes of an experiment) with a probability measure.

16.3 PROBABILITY MASS FUNCTION

Probability distribution of a random variable is a statement specifying the set
of its possible values together with the respective probabilities. When a
random experiment is theoretically assumed to serve as a model, the
probabilities could be represented as a function of the random variable.
Let a discrete random variable X assumes the values x1, x2, x3... xn with
n
probabilities p1, p2, p3,.........., pn, satisfying the condition ∑ pi = 1 The
i =1
specification of the values of xi together with the probabilities pi defines the
probability distribution of the random variable X. It is called discrete
probability distribution of X.
Often the probability of the discrete random variable X assumes the value x is
represented by f (x), f(x) = P (X = x) = probability that X assumes value x.
The function f(x) is known as the probability mass function (p.m.f.).
The discrete random variable X can assume countably infinite number of
values with p.m.f. f(x). The p.m.f. f(x) must satisfy following two conditions:
102
(1) f(x) ≥ 0 Probability Distribution

(2) ∑ f ( xi ) = 1
n

i =1

Example: An unbiased coin is tossed until the first head is obtained. If the
random variable X denotes the number of tails preceding the first head, then
what is the probability distribution of X?

The probability distribution of the random

Values of X f(X=x) variable X is shown in the table. Clearly, the
p.m.f. of X is f(X=x) =( (1/ 2 ) . It satisfies the
n

0 ½
prerequisites mentioned earlier, i.e., f(x) is
2
1 (½)
always greater than ‘0’ and ∑ f ( x ) =1. Note
n

i =1
2 (½)3 that X is a countably infinite random variable.
∑ f ( x ) =1
n

3 ( (½)4 i =1

4 (½)5 = ½ + (½)2 +(½)3 +(½)4 + ……..+ (½)n = ½{1 +

(½) +(½)2 +(½)3 + ……..+ (½)n-1}
…. ……
= ½. 1/(1- ½) = 1.
…. …… Example: Let X be a discrete random variable.
Its probability distribution is given by the
N ( (½)n following table. Its density could be represented
by the accompanying figure.

Values of X f(X=x)

-3 0.216

-1 0.432

1 0.288

3 0.064

16.4 PROBABILITY DENSITY FUNCTION

In the previous section, we discussed the probability distribution of a discrete
random variable. But what if the random variable is continuous, i.e., it can
take any value in its range. Since the number of possible values a continuous
variable can take is uncountable infinite, we cannot assign a probability to
each value taken by the variable, as we did in case of the discrete random
variable. In case of continuous random variable, we assign probability to an
interval, which is in the range of the relevant random variable. A continuous
random variable on the other hand has distribution f(x) is a continuous non-
negative function, which gives the probability that the random variable will lie
in a specified interval when integrated over the interval, i.e.,
d
P(c≤ x≤ d) = ∫ f ( x )
c

The function f(x) is called the probability density function (p.d.f.) provided it
satisfies following two conditions

103
Statistical Methods-1 1) f(x) ≥ 0
b
2) If the range of the continuous random variable is (a, b) ∫ f ( x ) = 1
a

The shaded area in the following figure represents the probability that the
variable x will take values between the interval (c, d), whereas its range is (a,
b). In the figure, we have taken the values of x in the horizontal axis and those
of f(x) on the vertical axis. This is known as the probability curve. Since f(x)
is a p.d.f., total area under the probability curve is 1 and the curve cannot lie
below the horizontal axis as f(x) cannot take negative values. Any function
that satisfies the above two conditions, can serve as a probability density
function in the presence of real values only.

Example: If x is a continuous random variable with the probability density

function f(x) = k.e-3 x for x > 0 and 0 otherwise, then find k and P (0.5 ≤ x ≤ 1)
If the function specified in the problem is to serve as a p.d.f., then the
following two conditions must hold:
1) f(x) ≥ 0 for all values of x
b
2) If the range of the continuous random variable is (a, b), then ∫ f ( x ) = 1 .
a

Clearly, the range of the function given in the problem is -∝ to ∝ and for
every value of x within that interval, f(x) is positive, provided that ‘k’ is
positive. To satisfy the second condition
∞

∫ f ( x ) dx = 1
0

∞ °
or , ∫ f ( x )dx + ∫ f ( x )dx = 1
0 ∞

∞
or , ∫ f ( x ) dx = 1
0

∞ −3 x

or , ∫ ke dx = 1
0

or, k/3 = 1
or, k = 3
Thus, we get, f(x) = 3.e-3 x for x > 0 and 0 otherwise.
1
−3 x
P (0.5 ≤ x ≤ 1) = ∫ 3e dx = -e-3 + e- 1.5 = 0.173
0.5

104
 Probability Distribution
16.5 PROBABILITY DISTRIBUTION FUNCTIONS
If X is a discrete random variable and the value of it’s probability at the point
t is given by f(t), then the function given by

F(x) = ∑ f ( t ) for -∞ ≤ x ≤ ∞
x≤t

It is called the distribution function or the cumulative distribution of X and is

given by the summation of the probabilities if the random variable X takes
values less than x.
The density function of a discrete random variable satisfies following
conditions:
i) F(-∝) = 0, F(∝) = 1
ii) If a < b, then F(a) ≤ F(b) where a and b are any real number.
If X is a continuous random variable and the value of it’s probability density
at the point t is given by f(t), then the function given by
x
F(x) = P (X ≤ x) = ∫ f ( t )dt is called the distribution function. The distribution
∞

function of a continuous random variable has the same nice properties as that
of a discrete random variable viz.,
i) F(-∝) = 0, F(∝) = 1
ii) If a < b then F(a) ) ≤ F(b) where a and b are any real number
iii) Furthermore, it follows directly from the definition that
P (a ≤ x ≤ b) = F(b) - F(a), where a and b are real constants with a ≤ b.

d
iv) f ( x ) = F ( x ) where the derivatives exist.
dx
Example: Find the distribution function of the random variable x of the
previous example and use it to reevaluate P (0.5 ≤ x ≤ 1)
For all non-positive values of x, f(x) takes the value 0. Therefore,
F(x) = 0 for x ≤ 0.
For x > 0,
x
F(x) = ∫ f ( t )dt
∞

105
Statistical Methods-1 x
or ∫ 3e−3t dt
0

or, 1 – e-3 x
Thus, F(x) = 0 for x ≤ 0, and F(x) = 1 – e-3 x for x > 0.
To determine P (0.5 ≤ x ≤ 1), we use the fourth property of the distribution
function of a continuous random variable.
P (0.5 ) ≤ x ) ≤ 1) = F(1) - F(0.5) = (1 – e-3) – (1 – e-3 × 0.5) = 0.173
Check Your Progress 1
1) What is the difference between probability mass function and probability
density function? What are the properties that p.d.f. or p.m.f. must satisfy?
2) If X is a discrete random variable having the following p.m.f.,
X P (X=x) (i) determine the value of the constant k.
0 0 (ii) find P (X<5)
1 k
(iii) find P (X>5)
2 2k
3 2k
4 3k
5 k2
6 2k2
7 7k2 + k

3) For each of the following, determine whether the given function can serve
as a p.m.f.
i) f(x) = (x - 2)/5 for x = 1,2,3,4,5
ii) f(x) = x2/30 for x = 0,1,2,3,4
iii) f(x) = 1/5 for x = 0,1,2,3,4,5
4) If X has the p.d.f.
f(x) = k.e-3x for x > 0
0 otherwise.
Find k and P (0.5) ≤ X) ≤ 1)
5) Find the distribution function of for the above p.d.f. and use it to
reevaluate
P (0.5 ) ≤ X ≤ 1)

16.6 MOMENTS AND MOMENT GENERATING

FUNCTIONS
Moments
If X is a discrete random variable, which takes the values x1 , x2 , x 3 ……,xn
and f(x) is the probability that X will take the value x, the expected value of X
is given by E (X) = ∑ xi f ( xi )
n

i =1

106
Correspondingly, if X is a continuous random variable and f(x) gives the Probability Distribution
probability density at x, the expected value of x is given by E (X) =
∞

∫ x f ( x )dx
−∞

In the definition of continuous random variable, of course we assume that the

integral exists, otherwise, the mathematical expectation is undefined. The
expected value of a random variable gives its mean value if we think f(x) as
the relative frequency of the random variable X when it takes the value x.
Again, if g (x) is a continuous function of the value of the random variable X,
then expected value of g (x) is given by E (g (x)) = ∑ g ( xi ) f ( xi ) , when X is
n

x =1

a discrete random variable. When it is a continuous random variable, the

∞
expected value of g (x) is given by E (g (x)) = ∫ g ( x ) f ( x ) dx .
−∞

The determination of mathematical expectation can often be simplified by

using the following theorems (proofs of the theorems are discussed in the unit
on probability)
1) E (a + b. X) = a + b. E (X)
2) E (a) = a, where a is a constant.

3) If c1 , c2 , c3 ,…….. cn are constants, E ⎡ ∑ ci g ( xi ) ⎤ = ∑ ci E ⎡⎣ g ( xi ) ⎤⎦

n n

⎢⎣ i =1 ⎥⎦ i =1
In statistics as well as economics, the notion of mathematical expectation is
very important. It is a special kind of moment. We will introduce the concept
of moments and moment generating functions in the following.
The rth order moment about the origin of a random variable x is denoted by µ’r
and given by the expected value of xr.
n
Symbolically, for discrete random variable µ’r = ∑ xi r f ( xi ) , for r = 1, 2, 3… n.
i =1

∞
r
For continuous random variable µ’r = ∫ x f ( x)dx . It is interesting to note
−∞
that the term moment comes from physics. If f(x) symbolizes quantities of
points of masses, where x is discrete, acting perpendicularly on the x axis at
distance x from the origin, then µ’1 as defined earlier would give the center of
gravity, which is the first moment about the origin. Similarly, µ’2 gives the
moments of inertia.
In statistics, µ’1 gives the mean of a random variable and it is generally
denoted by µ.
The special moments we shall define are of importance in statistics because
they are useful in defining the shape of the distribution of a random variable,
viz.,the shape of it’s probability distribution or it’s probability density.
The rth moment of random variable about mean is given by µ r . It is the
n
expected value of (X - µ)r , symbolically, µr = E ((X - µ)r) = ∑ (xi – µ)r f(xi),
i=1

for r = 1, 2, 3, ….., n, for discrete random variable and for continuous random
∞

variable it is given by µr = ∫ (x – µ)r. f(x) d x.

−∞

107
Statistical Methods-1 The second moment about mean is of special importance in statistics because
it gives an idea about the spread of the probability distribution of a random
variable. Therefore, it is given a special symbol and a special name. The
variation of a random variable and it’s positive square root is called standard
deviation. The variance of a variable is denoted by Var (X) or V (X) or simply
by σ2.

The above example shows how probability distributions vary with the
variance of the random variable. A high value of σ2 means the spread of the
distribution is thick at the tails and a low value of σ2 implies the spread of the
distribution is tall at the mean of the distribution and the tails are flat.
Similarly, third order moment about mean describes the symmetry or
skewness (i.e., lack of symmetry) of the distribution of a random variable.
We state few important theorems on moments without going into details as
they have been covered in the unit on probability.
1) σ2 = µ’2 – µ2
2) If the random variable X has the variance, then Var (a.X + b) = a2 σ2
3) Chebyshev’s theorem: To determine how σ or σ2 is indicative of the
spread or the dispersion of the distribution of the random variable,
Chebyshev’s theorem is very useful. Here we will only state the theorem:
If µ and σ2 are the mean and variance of a random variable, say X, then for
any constant k the probability is at least ( 1 – 1/k2) that X will take on a value
within k standard deviations (k. σ); symbolically
P( |X - µ | < k.σ) ≥ 1 – 1/k2

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 Probability Distribution

µ – k.σ µ + k.σ

Moment Generating Functions

Although moments of most distributions can be determined directly by
evaluating the necessary integrals or sums, there is an alternative procedure,
which sometimes provides considerable simplifications. This technique is
known as the technique of moment generating function.
The moment generating function of a random variable X, where it exists is
given by,

Mx (t) = E (etX) = ∑ etx f ( x ) = when X is discrete, and

n

i =1

∞
Mx (t) = E (etX) = ∫ etx f ( x ) dx when X is continuous
−∞

To explain why, we refer to this function as a “moment generating function”.

Let us substitute for etx with its Maclaurin’s series expansion as follows:
etx = 1 + tx + t2x2/2! + t3x3/3! +………+ trxr/r! +…………………………..
Thus, for discrete case we get,
n

∑ e f(x) = ∑
n
Mx (t) = E (etx) = i (1 + tx + t2x2/2! + t3x3/3! +.......+ trxr/r!
i=1
i =1
n n n n
+………).f(x) = ∑ f(x) +t. ∑ x.f(x) + t2 /2!. ∑ x2f(x) + t3 /3!. ∑ x3f(x)
i=1 i=1 i=1 i=1
n
r r 2 r
+…..+ t /r!. ∑ x f(x) + …………= 1 + t. µ + t /2!. µ’2 +…….+ t /r!. µ’r
i=1

+…………….
Thus, we can see that in the Maclaurin’s series of the moment generating
function of X, the coefficient of tr/r! is µ’r, which is nothing but the rth order
moment about the origin. In the continuous case, the argument is the same
(readers many verify that).
To get the rth order moment about the origin, we differentiate Mx (t) r times
with respect to t and put t = 0 in the expression obtained. Symbolically,
µ’r = dr Mx (t)/dtr|t=0
An example will make the above clear.
Example: Find the moment generating function of the random variable whose
probability density is given by
F(x) = e-x if x > 0

109
Statistical Methods-1 0 otherwise
and use that to find the expression for µ’r.
By definition,
0 ∞
tx
Mx (t) = E (e ) =
r
∫ et f (x )dx = ∫ e−r (1 – t) dx = 1/ 1- t for t<1.
−∞ −∞

When |t|<1, the Maclaurin’s series for this moment generating function is
Mx (t) = 1 + t + t2 + t3 + t4 +……. + tr +……… = 1 + 1!.t/1! + 2!.t2 /2! + 3!.t3
/3! + +……. + r!.tr /r! +………
Hence, µ’r = dr Mx(t)/dtr|t=0 = r! for r = 0, 1, 2…
If ‘a’ and ‘b’ are constants, then
1) Mx +a (t) = E (et ( x +a)) = eat. Mx (t)
2) Mx.b (t) = E (et .b.x) = Mx (b.t)
3) M (x +a) /b (t) = E (et ( x +a) /b) = e( a /b )t . Mx (t/b)
Among the above three results, the third one is of special importance. When a
= - µ and b = σ, M (x -µ) /σ (t) = E (et ( x – µ) /σ) = e( -µ /σ )t. Mx (t/σ)
Check Your Progress 2
1) Given X has the probability distribution f(x) = 1/8. 3Cx for x = 0, 1, 2, and
3, find the moment generating function of this random variable and use it
to determine µ’1 and µ’2.
………………………………………………………………………………
………………………………………………………………………………
………………………………………………………………………………
………………………………………………………………………………
………………………………………………………………………………
16.7.1 Binomial Distribution
Repeated trials play has a very important role in probability and statistics,
especially when the number of trials is fixed and the probability of success (or
failure) in each of the trial is independent.
The theory, which we discuss in this section, has many applications; for
example, it applies to events like the probability of getting 5 heads in 12 flips
of a coin or the probability that 3 persons out of 10 having a tropical disease
will recover. To apply binomial distribution in these cases, the probability (of
getting head in each flip and recovering from the tropical disease for each
person) should exactly be the same. More importantly, each of the coin tossed
and chance of recovering of each patient should be independent.
To derive a formula for the probability of getting ‘x successes in n trials’
under the stated conditions we proceed as follows: suppose the probability of
getting a success is ‘p’ since every experiment has only two possible
outcomes (this type of events are called Bernoulli events) - the probability of a
success or a failure. The probability of failure is simply ‘1 – p’ and the trials
or the experiments are independent of each other. The probability of getting
‘x’ successes and ‘n – x’ failures in n trials is given by p x (1 - p )n - x . The
probabilities of success and failure are multiplied by virtue of the assumption
that these experiments are independent. Since the probability applies to any
110
sequence of n trials in which there are ‘x’ successes and ‘n – x’ failures, we Probability Distribution
have to count how many sequences of this kind are possible and then we have
to multiply, p x.( 1 - p )n − x, by that number. Clearly, the number of ways in
which we have ‘x’ successes and ‘n – x’ failures is given by nCx. Therefore,
the desired probability of getting ‘x’ success in ‘n’ trials is given by nCxpx(1-
p) n –x. Remember that the binomial distribution is a discrete probability
distribution with parameters n and p.
A random variable X is said to have a binomial distribution and is referred as
a binomial random variable, if and only if it’s probability distribution is given
by
B(x;n,p) = nCx. p x.( 1 - p ) n − x for x=0, 1, 2, ……..,n
Example: Find the probability of getting 7 heads and 5 tails in 12 tosses of an
unbiased coin.
Substituting x = 7, n = 12, p = ½ in the formula of binomial distribution, we
get the desired probability of getting 7 heads and 5 tails.
B (7;12,1/2) = 12C7. 1/2 7.( 1 – 1/2) 5 =12C7. (1/2)12
There are a few important properties of the binomial distribution. While
discussing these, we retain the notations used earlier in this unit.
• The mean of a random variable, say X, which follows binomial
distribution is µ = n. p and variance σ2 = n. p.(1-p) = n. p. q (the proofs of
these properties are left as recap exercises)
• b (x; n, p) = b (n - x, n, 1- p)
b (n - x, n, 1- p) = nCn-x (1-p)n-x.px = b (x; n, p) [as nCn-x = nCx]
• Binomial distribution may have either one or two modes. When (n+1)p is
not an integer, mode is the largest integer contained therein. However,
when (n+1)p is an integer, there are two modes given by (n + 1)p and {( n
+ 1)p -1}.
• Skewness of binomial distribution is given by (q - p)/√n.p.q, where q = (1-p)
• The kurtosis of binomial distribution is given by (1– 6pq)/npq
• If X and Y are two random variables, where X follows binomial
distribution with parameters ( n1, p) and Y follows binomial distribution
with parameters (n2, p), then the random variable (X +Y) also follows
binomial distribution with parameters (n1 + n2, p).
• Binomial distribution can be obtained as a limiting case of hypergeometric
distribution.
• The moment generating function of a binomial distribution is given by
n n
Mx (t)=E (etx)= ∑ e f ( x ) = ∑ e . nCx. px (1-p)n-x
tx tx

i =0 i =0

n
= ∑ nCx. (pet )x (1-p)n-x. The summation is easily recognized as the
i=0

binomial expansion of {p.et + (1-p)} n = { 1 + p (et - 1 )} n

We can derive the mean and variance of the binomial distribution
using the moment generating function.
If we differentiate Mx (t) with respect to t twice, we get
M’x (t)= npet [1 + p (et - 1)]n-1
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Statistical Methods-1 M’’x (t)= npet (1 – p +npet) [ 1 + p (et - 1)]n-2
And substituting t = 0, we get µ’1 = np and µ’2 = np( 1- p + np)
Thus, µ = n.p and σ2 = µ’2 – (µ’1)2 = np( 1- p + np)– (np)2 =n. p.(1-p)

16.7.2 Poisson Distribution

When the number of trials discussed in the case of binomial distribution is
very large, the calculation of the probabilities with binomial distribution
becomes very cumbersome. Suppose we want to know what is the probability
that in a clinical test 200 out of 300 mice will survive, after being infected by
a virus. There is 50% chance that each mouse can fight with the virus by
producing antibodies. If we use binomial distribution, the required probability
is given by 300C200. ½ 300. In this section, we will discuss a probability
distribution, which can be used to approximate binomial probabilities of this
kind. Specifically, we will investigate the limiting form of the binomial
distribution when n→∝ and p→ 0, while n.p remains constant. Let us suppose
λ = n.p, therefore p = λ / n. We can also write the binomial distribution as
b (x,n,p) = nCx (λ / n)x (1 – (λ / n))n-x = n (n-1)(n-2)(n-3)…….(n-x+1)/x! ×(λ /
n)x (1- (λ / n))n-x = 1. (1-1/n)( 1-2/n)( 1-3/n)...(1- (x-1)/n)/x! × λx×[(1-(λ/n))-
n/λ λ
]- × (1-(λ/n))-x
Finally, if we have n → ∞ while x and p are constants
(1-1/n)( 1-2/n)( 1-3/n)...(1- (x-1)/n) → 1
(1-(λ/n))-x → 1
(1-(λ/n))-n/λ → e
Therefore, the limiting form of the binomial distribution becomes
P (x, λ) = λxe-λ/x! for x = 0, 1, 2, 3, ………..
Thus, in the limit when n → ∞, p →0 and np = λ remains constant; the
number of success is a random variable and will follow a poisson distribution
with only parameter λ. This distribution is named after the French
mathematician Simeon Poisson. Following random variables are classic
examples of poisson distribution.
1) Number of accidents on a road crossing.
2) Number of defects per unit area of a sheet material.
3) Number of telephone calls received by a telephone attendant.
4) Number of suicides in a year in an area etc.
There are few important properties of the poisson distribution.
• Poisson distribution is a discrete probability distribution, where the
random variable assumes countably infinite number of values such as
0,1,2,3, ……. to ∞ . The distribution is completely specified if the
parameter λ is known.
• Mean and variance of poisson distribution are the same, both being λ.
• Poisson distribution like the binomial distribution may have either one or
two modes. When λ is not an integer, mode is the largest value contained
in λ and when λ is an integer, there are two modes, λ and (λ – 1).

112
 • The distribution has skewness = 1/ √λ and kurtosis = 1/ λ, therefore we Probability Distribution

can conclude that poisson distribution is positively skewed and

leptokurtic.
• If X1 and X2 are two random variables following the poisson
distribution with parameters λ1 and λ2 respectively, then the random
variable (X1 + X2) also follows poisson distribution with the parameter
(λ1 + λ2).
• As we have discussed earlier, the poisson distribution could be used as
an approximation to binomial distribution when n is large but np is
fixed.
• The moment generating function of the poisson distribution is given by
Mx (t)=E (etX)
∞
= ∑ etx.f(x)
i=0

∞
= ∑ etx. λxe-λ/x!
i=0

∞
= e-λ ∑ etx. λx/x!
i=0

∞
= e-λ ∑ (λet)x /x!
i=0

∞
In the above expression ∑ (λet)x /x! can be recognized as the Maclaurin’s
i=0
z t
series of e where z = λe .
Thus, the moment generating function of the poisson distribution is
Mx (t)= e-λ.e λet
Differentiating Mx (t) twice with respect to t we get,
Mx’ (t) = λ.et.eλ( et - 1)
Mx”(t) = λ.et.eλ( et - 1) + λ2 .e2t.eλ( et - 1)
Therefore, µ’1 = Mx’ (0) = λ and µ’2 = Mx “ (0) = λ + λ2 and we get µ =
λ and σ2 = µ’2 – (µ’1)2 = λ + λ2 - λ2 = λ
Example: Let X be a random variable following poisson distribution. If P(X =
1) =P(X = 2), find P (X = 0 or 1) and E (X).
For poisson distribution, the p.m.f. is given by P (x, λ) = λxe-λ/x!
Therefore, P (X = 1) = λ1e-λ/1! = λe-λ
P (X = 2) = λ2e-λ/2! = λ2e-λ/2
As P (X = 1) =P (X = 2), from the equation λe-λ = λ2e-λ/2, we get λ = 2.
Therefore, E (X) = λ = 2 and
P (X = 0 or 1) = P (X = 0) +P (X = 1) = 20e-2/0! + 21e-2/1! = 3.e-2.
Example: In a textile mill, on an average, there are 5 defects per 10 square
feet of cloth produced. If we assume a poisson distribution, what is the
probability that a 15 square feet cloth will have at least 6 defects?

113
Statistical Methods-1 Let X be a random variable denoting the number of defects in a 15 square feet
piece of cloth.
Since on an average, there are 5 defects per 10 square feet of cloth, there will
be on an average 7.5 defects per 15 square feet of cloth i.e., λ = 7.5. We are to
find P(X ≥ 6) = 1- P( X ≤ 5).
You are asked to verify the table for
X P (X) λ = 7.5 with the help of a calculator. From the table
0 0.0006 we obtain P(X ≤ 5) = .2415. Therefore, P( X ≥ 6) =
1 0.0041 1- .2415 = .7585.
2 0.0156
3 0.0389
4 0.0729
5 0.1094

16.7.3 Normal Distribution

The normal distribution, which we will study in this section is the cornerstone
of modern statistical theory. It was first investigated in the eighteenth century
when scientists observed an astonishing degree of regularity in errors of
measurement. They found that the patterns of the errors of measurement could
be closely approximated by continuous curves, which they referred as the
“normal curves”. The mathematical properties of such continuous curves were
first studied by Abraham de Moivre, Pierre Laplace and Karl Gauss.
A continuous random variable X is said to follow a normal distribution, and it
is referred to as a normal random variable, if and only if the probability
density is given by
1
1 − {( x − µ ) / σ }
2

F(x) = n (x,µ,σ) = ×e 2
for -∝ < x <∝, where σ >0
σ 2Π
The shape of normal distribution is like a cross section of a bell and is shown
as,

While defining the p.d.f. of normal distribution we have used the standard
notations, where σ stands for standard deviation and µ for mean of the random
variable X. Note that f(x) is positive as long as σ is positive which is
guaranteed by the fact that standard deviation of a random variable is always
positive. Since f(x) is a p.d.f. while X can assume any real value, integrating
f(x) over -∝ to ∝ we should get the value 1. In other words, the area under the
curve must be equal to 1. Let us prove that

114
 Probability Distribution
∞
1
{( x − µ ) / σ }
∫ 1 2

×e 2
dx = 1
−∞ σ 2Π
We substitute ( x - µ)/σ = z in the R.H.S of the above equation to get
1
∞
1 {( x − µ ) / σ }
2 ∞ 1 ∞
1
1 − z2 2 − z2
∫ ×e ∫ 2Π ∫0
2
dx = e 2
dz = e 2
dz
−∞ σ 2Π 2Π −∞
[Since the p.d.f. is symmetrical , integrating the function from 0 to ∞
twice is the same as integrating the same function −∞ to ∞ ]
1 ∞
2 ⎛1⎞ − z2 ⎛1⎞
= × Γ ⎜ ⎟ / 2 [since ∫ e 2 dz = Γ ⎜ ⎟ / 2 ]
2Π ⎝2⎠ 0 ⎝2⎠
= 2/√2Π × √Π / √2
= 1 ……………………….[ proved]
Normal distribution has many nice properties, which make it amenable to be
applied to many statistical as well as economic models.
Example: The height distribution of a group of 10,000 men is normal with
mean height 64.5” and standard deviation 4.5. Find the number of men whose
height is
a) less than 69” but greater than 55.5”
b) less than 55.5”
c) more than 73.5”
The mean and standard deviation of a normal distribution is given by
µ = 64.5” and σ = 4.5. We explain the problem graphically. From the figure
below, we can easily comprehend what we are asked to do. We are to find out
the shaded regions but as we know area under a standard normal curve only,
we have to reduce the given random variable into a standard normal variable

Let X is the continuous random variable measuring the height of each man.
Therefore, (X – 64.5)/4.5 = z is a standard normal variable.
The following table shows values of z for corresponding values of x. In the
table true
115
Statistical Methods-1 area under standard normal curve is given for
X Z
only positive values of the standard normal
55.5 -2 variable and as the distribution is symmetrical,
area under the curve for negative values of the
64.5 0 standard normal variable is easy to find out. For
standard normal curve (say for the variable z)
69 1 the area under the curve to the left is
conventionally denoted by Ф (z1). This is shown
73.5 2 in the figure below.
a) P (55.5<X<69) = P (-2<z<1) = Ф (1) - Ф (-2) = .82, Therefore, men of
height less than 69” but greater than 55.5” is 10000×0.82 = 8200
b) P (X<55.5) = P (z<-2) = .02, Therefore, men of height less than 55.5” is
10000×0.02 = 200
c) P (X>73.5) = P (z > 2) = 1 - P (z < 2) = 1 - .98 = .02, Therefore, men of
height greater than 73.5” is 10000×0.02=200

Properties of Normal Distribution

• Normal distribution is a continuous probability distribution.
• Normal distribution has two parameters, namely, µ and σ.
• Mean and standard deviation of a normal distribution is given by µ and σ
respectively.
• For a normal distribution, the mean, median and mode are the same, i.e. µ.
As a corollary to the above property, we can say that the first and third
quartiles are equidistant from the mean of the normal distribution.
Approximately,
Q1 = µ – 0.67× σ and
Q3 = µ + 0.67× σ
• All odd order central moments of the normal distribution are 0.
In general µ2r = 1.3.5…….( 2r - 1) σ2r for r = 1,2,3,……
µ2r +1 = 0 for r = 1,2,3,……
• The normal distribution is symmetrical as well as mesokurtic and
skewness = 0 and kurtosis = 0.
• Normal distribution is symmetrical about it’s mean. The two tails of the
distribution are extended to infinity on both sides of the mean. The tails of
116
the distribution never meet the horizontal axis. The maximum ordinate of Probability Distribution

the p.d.f. is at the mean, which is given by 1/σ√2Π.

• The points of inflextion of the normal curve are at x = µ + σ and x = µ
– σ respectively. At these two points, normal curve changes its
curvature.
• If a random variable X follows normal distribution with the mean and
variance µ and σ respectively, then the random variable z = (x - µ)/σ is
called standard normal variable. It has a density function
2
−z
1
f(x) = e 2 dz …………………….-∝ < z < ∝
2Π
The continuous probability distribution defined above is known as
standard normal distribution. In fact, this is a special kind of
probability distribution with mean zero and standard deviation 1. The
approximate area under the standard normal curve is shown in the
following figure.

• If X and Y are two normal variables with mean µ1 and µ2 and standard
deviation σ1 and σ2, then ( X + Y) is also a normal variable with mean
(µ1 + µ2) and variance (σ12 + σ22).
• The moment generating function of a normal curve is given by
µ t +1/ 2.σ 2t 2
MX (t) = e
2
∞ ⎛ x−µ ⎞
1 −1/ 2⎜
σ ⎟⎠
MX (t) = ∫ tx
e × e ⎝ dx
−∞ σ 2π
The above expression could be written, after some algebraic
manipulation as the following:
∞ ⎡ x − ( µ + tσ 2 ) ⎤
−1/ 2 ⎢
1 ⎥
MX (t) =e µt + ½(tσ)2
× ∫ e ⎣⎢ σ ⎦⎥
dx = eµt + ½(tσ)2
σ 2π −∞

[since 1/σ√2Π ∫ e-1/2 [{x – (µ + tσ2)}/σ ]2 dx = 1]

−∞

Differentiating MX (t) with respect to t twice, we can get

M’X (t) = (µ + σ2t) MX (t)
M”X (t) = [(µ + σ2t)2 + σ2] MX (t)
117
Statistical Methods-1 Substituting t = 0 in the above two equations
M’X (0) =µ
M”X (0) = µ2 + σ2. Therefore, E (X)= µ and Variance (X)= σ2.
Check Your Progress 3
1) The mean and standard deviation of a binomial distribution is given by 4
⎛8⎞
and ⎜ ⎟ respectively. Find the values of n and p.
⎝3⎠
2) Prove that poisson distribution is a limiting case of binomial distribution.
3) In turning out some toys in a manufacturing process in a factory, the
average number of defectives is 10%. What is the probability of getting
exactly 3 defectives in a sample of 10 toys chosen at random, by using
poisson approximation to the binomial distribution? (take e = 2.72)
4) 2% of the items made by a machine are defective. Find the probability that
3 or more items are defective in a sample of 100 items? (e-1 = 0.368, e-2 =
.135, e-3 = .0498)
5) The mean weight of 500 students at a University is 151 lbs and the s.d is
15. Assuming the weights are normally distributed, find how many
students (i) weight between 120 and 155 lbs.
ii) more than 155 lbs.
Given: Ф (0.27) = 0.6064; Ф (2.07) = 0.9808; Ф (t) implies the area under
the standard normal curve to the left of the ordinate at the point t.
6) The mean of a normal distribution is 50 and 5% of the values are greater
than 60. Find the standard deviation of the distribution (given that the area
under the standard normal curve between z = 0 and z = 1.64 is 0.45)
7) For a certain normal distribution, the first moment about 10 is 40, and the
fourth moment about 50 is 48. Find the arithmetic mean and the standard
deviation of the distribution.
8) Find the probability that 7 out of 10 persons will recover from a tropical
disease if we can assume independence and the probability is 0.8 that any
one of them will recover from the disease.

16.8 LET US SUM UP

In this unit we learnt the concepts like random variable, probability mass
function and probability density function. You have been introduced to the
three most elementary and most used distributions in theory of probability
namely, Binomial, Poisson and Normal. First two of them are discrete and the
last one being continuous. A distribution is defined mostly by its moments;
therefore we have introduced the concepts concerning moments and how they
are used to characterize a distribution. The moment generation function is a
tricky tool of determining the moments of different distributions.

16.9 KEY WORDS

Binomial Distribution: A discrete probability distribution satisfying the
following conditions is a binomial distribution
1) It involves finite repetition of identical trials
118
2) Each trial has two possible outcomes: success and failure. Probability Distribution

3) Trials are independent of each other.

4) The probability of the outcomes (success and failure) does not change
from one trial to another.
Continuous Random Variable: If a random variable can take any value
within its range then it is called a continuous random variable.
Discrete Random Variable: If a random variable takes only countable
number of values and there is no possible values of the variable located
between two juxtaposed values of the variable, then it is called a discrete
random variable.
Normal Distribution: It is a continuous probability distribution with the
following nice properties:
1) It is symmetrical about its mean;
2) All the measures of central tendency for this distribution is the same, i.e.,
for normal distribution Mean = Mode = Median; and
3) A variable following normal distribution can take any value within the
range (- ∞ , ∞ ).
Probability Distribution: Probability distribution of a random variable is a
statement specifying the set of its possible values together with the respective
probabilities.
Probability Mass Function: Often the probability of the discrete random
variable X assuming the value x is represented by f (x), f(x) = P (X = x) =
probability that X assumes value x. The function f(x) is known as the
probability mass function (p.m.f.) given that it satisfies following two
conditions:
1) f(x) ≥ 0

∑ f ( xi ) = 1 .
n
2)
i =1

Probability Density Function: A continuous random variable having a

probability distribution f(x) which is a continuous non-negative function,
which gives the probability that the random variable will lie in a specified
interval when integrated over the interval, i.e.,
d
P(c≤ x≤ d) = ∫ f ( x ) . The function f(x) is called the probability density
c

function (p.d.f.) provided it satisfies following two conditions

1) f(x) ≥ 0
b
2) the range of the continuous random variable is (a, b) ∫ f ( x ) = 1 .
a

Poisson Distribution: A discrete probability distribution which is the limiting

form of the binomial distribution, provided
1) The number of trials is very large in fact tending to infinity.
2) The probability of success in each trial is very small; tending to zero.
Random Variable: If a variable takes different values and for each of those
values if there is a probability associated with it, the variable is called random
variable.
119
Statistical Methods-1
16.10 SOME USEFUL BOOKS
Freund J.E. (2001), Mathematical Statistics, Prentice Hall of India.
Hoel, P (1962), Introduction to Mathematical Statistics, Wiley John & Sons, New
York.
Hoel, Paul G. (1971), Introduction to Probability Theory, Universal Book Stall, New
Delhi.
Olkin, I., L.J. Gleser, and C. Derman (1980), Probability Models and
Applications,Macmillan Publishing, New York.

16.11 ANSWER HINTS TO CHECK YOUR

PROGRESS
Check Your Progress 1
1) Do it yourself.
2) A p.m.f. must satisfy the following two properties
1) f(x) ≥ 0
n
2) ∑ f(xi) = 1.
i=1

Using the second property, we get 10k2 + 9k – 1 =0. It gives two values of
k, viz., -1 and 1/10. Clearly, k cannot take the value -1 (as f(X = 1) = k and
f(x) is always non-negative). Given k = 1/10 rest is trivial algebra.
3) i) Cannot.
ii) Cannot.
iii) Cannot.
∞

4) f(x) to be a p.d.f., it must satisfy the condition ∫ f(x) = 1, since in the

−∞
problem f(x) is zero for non positive values of x, the condition reduces to
∞

∫ k.e-3x dx = 1
0

or, k. [e-3x/-3]0∞
or, k.1/3 = 1
or, k = 3
∞

P (0.5≤X≤1)= ∫ 3.e-3x = 0.173

0

x x

5) F(x) = ∫ f(t)dt = ∫ 3.e-3t dt = 1 – e-3x

0 0

Since F(x) =0 for x ≤ 0, we can write

F(x) = 0 for x ≤ 0
1 – e-3x for x > 0
As we know P (0.5 ≤ X ≤ 1) = F(1) – F(0.5) = 0.173

120
Check Your Progress 2 Probability Distribution

3
13
1) Mx (t) = E (etX) = ∑e
i =0
tx

8
Cx = 1/8 (1 + 3et + 3e2t + e3t) = 1/8(1 + et)

µ’1 = M’x (0) = 3/2

µ’2 = M’x (0) = 3
Check Your Progress 3

1) As the formula for mean and variance of binomial distribution are given
by n.p and n.p. (1 - p) respectively, we get the following two equations

n.p = 4………………………….(1)

n.p. (1 - p) = 8/3……………..(2)

Solving these two equations we get n = 12 and p = 1/3.

2) See Section 13.6.2.

3) λ = 10×0.1= 1, hence the probability of three defectives in the sample is

given by

f(3) = e-1 × 13/3! = 0.061

4) The number of defectives follows a binomial distribution. Since p= .02

and n=100 which is very large, making up, n.p = λ = 100×.02 = 2, a
finite quantity, we use the poison approximation to binomial
distribution.

P( of 3 or more defectives) = 1 – [ f(0) + f(1) + f(2)] = 1 – e-2 [1 + 2 +

22/2!] = 0.325

5) Clearly, the random variable denoting the weight, say X, of the students
follow a normal distribution, mean (X)= 151;Var (X)= 152

i) Proportion of students whose weight lie between 120 and 155 lbs =
Area under the standard normal curve between the vertical lines at
the standardized values; z = (120 - 151)/15 = -2.07 and z = (155 -
151)/15 = 0.27

P (120 ≤ X ≤ 155) = Ф (0.27) – Ф (-2.07) = Ф (0.27) - {1 – Ф (2.07)}

= 0.6064 – 1 + 0.9808 = 0.5872

ii) P (X >155) = 1 - P (X ≤ 155) = 1 – Ф (0.27) = 0.3936

6) The probability that X takes values greater than 60 is 5% or 0.05. This

must be the area under the standard normal curve to the right of the
ordinate at the standardized value z = (60 – 50)/σ = 10/σ

Since the area to the right of z = 0 is 0.05 and the area between z = 0 and
z = 1.64 is given to be 0.45, the area to the right of z = 1.64 is
.5 - .45=.05. Thus, we get 10/σ = 1.64, or, σ = 6.1.

121
Statistical Methods-1

7) Mean = A + First moment about A = 10 + 40 = 50.

Using the following formula
µ2r = 1.3.5…….( 2r - 1) σ2r for r = 1,2,3,……
Putting r = 2 in the above formula, we get,
µ4 = 1.( 4 - 1) σ4 = 3 σ4
since the fourth moment about 50 is 48, whereas the mean is 50.
Therefore, 3 σ4 = 48
or, σ = 2.
8) Substituting x = 7, n = 10, and p = 0.8 into the formula for binomial
distribution, we get
b (7;10,0.8) = 10 C7.(0.8)7(0.2)3 = 0.2 (approximately)

16.12 EXERCISES
1) Show that if a random variable has the following distribution
f(x) = ½.e-|x| for - ∞ x < ∞
Its moment generating function is given by Mx(t) = 1/1 – t2.
2) Find the mean and the standard deviation of the random variable with the
moment generating function Mx(t) = e
( ).
4 et −1

3) For each of the following find the value of ‘c’ so that the function can
serve as a probability distribution.
i) f(x) = c.x for x = 1,2,3,4,5
ii) f(x) = c.5Cx for x = 0,1,2,3,4,5
iii) f(x) = c.x2 for x = 1,2,3,4,5,…..k
iv) f(x) = c(1/4)x for x = 1,2,3,4,5……….
4) Find the probability distribution function for a random variable whose
density function is given by the following
⎧ 0 fo r x ≤ 0
⎪
F(x) = ⎨ x fo r 0 < x < 1
⎪ 1 fo r x ≥ 1
⎩
And plot the graph of the distribution function as well as the density
function.

122
5) Find the distribution function of the random variable X whose probability Probability Distribution
density is given by the following
⎧ x / 2 fo r 0 < x ≤ 1
⎪ 1 / 2 f o r1 < x ≤ 2
⎪
f(x) = ⎨
⎪ (3 − x ) / 2 fo r 2 < x < 3
⎪⎩ 0 otherwise

Draw the graph of the distribution and the density function.

6) What is the probability of guessing correctly at least 6 of the 10 answers in
a true false objective test?
7) Show that the binomial distribution is symmetrical when p = ½.
8) The average number of defects per yard on a piece of cloth is 0.9. What is
the probability that a one-yard piece chosen at random contains less than
two defects? [e0.9 = 2.46 ]
9) If the 5% of the electric bulbs manufactured by a company are defective,
use suitable distribution to find the probability that in a sample of 100
bulbs
i) None is defective
ii) 5 bulbs will be defective [e-5 = .007]
10) Show that the probability that the number of heads in 400 tosses of a fair
coin lies between 180 and 220 is approximately 2.Ф(2) – 1, where Ф(x)
denotes the standard normal distribution function.
11) In a normal distribution 8% of the observations are under 50 and 10% are
over 60. Find the mean and the standard deviation of the distribution?
∞
1 − z2 / 2
[Given that ∫ e dz = 0.08 or 0.10 according as x = 1.4 or 1.28]
x 2π

123