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Lecture 5 - Fall 2023

A continuous random variable X has a probability density function fX(x) that defines the probability of X taking on a value within a given interval rather than a single value. The probability density function fX(x) must be non-negative and integrate to 1 over the entire real number line. The cumulative distribution function FX(x) gives the probability that X is less than or equal to x and is defined as the integral of the probability density function from minus infinity to x. For a continuous random variable, the expected value is defined as the integral of x times the probability density function from minus infinity to infinity.

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26 views14 pages

Lecture 5 - Fall 2023

A continuous random variable X has a probability density function fX(x) that defines the probability of X taking on a value within a given interval rather than a single value. The probability density function fX(x) must be non-negative and integrate to 1 over the entire real number line. The cumulative distribution function FX(x) gives the probability that X is less than or equal to x and is defined as the integral of the probability density function from minus infinity to x. For a continuous random variable, the expected value is defined as the integral of x times the probability density function from minus infinity to infinity.

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tarunya724
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Table of Contents

CONTINUOUS RANDOM VARIABLE


CONTINUOUS RANDOM VARIABLE:
A random variable X is said to be continuous if and only if
R 1 exists a function fX : R ! R such that fX (x)
there 0,
1 fX (x)dx = 1 and
Z b
P(a < X < b) = fX (x)dx
a
for any real constants a and b with a  b. The function fX
is called the probability density function (pdf)of X .
• Note that fX (c), the value of the probability density of X
at c, does not give P(X = c) as in the discrete case. In
connection with continuous random variables, probabilities
are always associated with intervals and P(X = c) = 0 for
any real constant c.
• Note that fX (c), the value of the probability density of X
at c, does not give P(X = c) as in the discrete case. In
connection with continuous random variables, probabilities
are always associated with intervals and P(X = c) = 0 for
any real constant c.

Theorem: If X is a continuous random variable and a and b are


real constants with a  b, then

P(a  X  b) = P(a  X < b) = P(a < X  b) = P(a < X < b).


• For a pdf fX (x) > 1. For example fX (x) = 5 for x 2 [0, 1/5] and
0 otherwise.
• For a pdf fX (x) > 1. For example fX (x) = 5 for x 2 [0, 1/5] and
0 otherwise.

• A pdf can be unbounded also.


CUMULATIVE DISTRIBUTION FUNCTION: If X is a con-
tinuous random variable and the value of its probability den-
sity att is f (t), then the function given by

Z x
FX (x) = P(X  x) = f (t)dt for 1 < x < 1,
1

is called the cumulative distribution function of X .


EXAMPLE: Consider a continuous random variable X with pdf
(
1 if x 2 (0, 1)
fX (x) =
0 if otherwise.
The CDF is given by
8
>
<0 if x  0
FX (x) = x if x 2 (0, 1]
>
:
1 if x > 1.
• If F is the cumulative distribution function of a continuous
random variable X, the probability density function f of X is the
derivative of F , that is

d
F (x) = f (x).
dx
Expected Value of a Continuous Random Variables:

Let X be a random variable with space RX and probability


density function f . The expected value E (X ) (or mean µX )
of the random variable X is defined as
Z 1
µX = E (X ) = x f (x)dx
1

if the right hand side exists.


EXAMPLE: Consider a continuous random variable X with pdf
(
1/5 if x 2 (2, 7)
f (x) =
0 if otherwise.

Then
Z 1
E (X ) = x f (x)dx
1
Z 7
1
= x dx
2 5

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