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Probabilistic Methods in
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• Engineering
• Lecture 14
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• Dr. Maha Ali
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• CDF
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• Continuous Probability
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• Distributions
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Exam 2
• March 20 1:30-2:50 pm in DOW 1013
•
• No new Homework this week
CUMULATIVE DISTRIBUTION FUNCTIONS (CDF)
• To describe all kinds of random variables with a single mathematical
concept, we use the cumulative distribution function, or CDF for
short.
• The CDF of a random variable X is denoted by FX and provides the
probability P(X ≤x).

Loosely speaking, the CDF Fx(x) " accumulates" probability "up

to" the value x. Any random variable associated with a given
probability model has a CDF, regardless of whether it is discrete
or continuous. This is because {X ≤ x} is always an event and
therefore has a well-defined probability
CDF of Discrete Random Variables
• Let X denote the number showing for a roll of a fair die, so the pmf of
U
X is pX(i) = 1/ 6 for integers i with 1 ≤ i ≤ 6.
• The CDF FX is shown below
Note that the CDF in has six jumps of size 1/6.
The jumps are located at the six possible values
of X, namely at the integers one through six, and
the size of each of those jumps is 1/6, which is
the probability assigned to each of the six
possible values.

The value of the CDF exactly at a jump point is equal

to the right limit at that point. For example, FX(1) = Fx 21 F 2T F E
FX(1+) = 1/6 and FX(1−) = 0. The size of the jump at
any x can be written as ∆FX(x) = FX(x) − FX(x−).

P{X ∈ (a, b]} = FX(b)−FX(a),

CDF for the roll of a fair die.
pX(xk) = FX(xk) − FX(xk−1)
CDF of a continuous R.V. P Xi FLY Fx x O

p
A CDF is the integral of the PDF. Thus, the height of a stem in P a b
the CDF corresponds to the area under the curve of the PDF.

fix dx
Exidx faGdx
Fx b Exley
CDF Properties
• If X is a discrete random variable, then the CDF of X has the following
properties:
• (i) The CDF is a sequence of increasing unit steps.
• (ii) The maximum of the CDF is when x = ∞: FX(+∞) = 1.
• (iii) The minimum of the CDF is when x = −∞: FX(−∞) = 0.
• (iv) The unit steps have jumps at positions where pX(x) > 0.

pX(xk) = FX(xk) − FX(xk−1) Δ

v
Fw right continious
fff
CDF Properties
• The CDF Fx of a random variable X is defined by
• Fx(x) = P(X ≤ x), for all x, and has the following properties.
• F x is monotonically nondecreasing: if x ≤ y, then Fx(x) ≤ Fx(y)
• Fx(x) tends to 0 as x→ - ∞, and to 1 as x → + ∞.
• If X is discrete, then Fx(x) is a piecewise constant function of x.
• If X is continuous, then Fx(x) is a continuous function of x.
• If X is discrete and takes integer values, the PMF and the CDF can be obtained from
each other by summing or differencing:
Fx I E RH
R k PECK Fx k 11
•
Px k Fy Kt f thek CDF can be obtained from each other by
If X is continuous, the PDF and
integration or differentiation:
EU I fx.la dx
84 Fx X
 iClicker
• Which of the six functions shown in Figure shown below are valid
CDFs? For each one that is not valid, state a CDF property from that is
violated.

not non decreasing

E

O
O notrightcnn.in
O
u
Fe a to
Example • Consider a random variable X with a PDF
1 plan
f x

Fx X ex dx

1
Fxx face dx x dx 2 1

12 3 P x 3 P X 1 Fx 1

PCx s.io IsE'sI.E EE

Example cont. co
1
EKI 2
15 23
1 73
7 41
9

IM
It
I

I I
Continuous Probability Distributions
Uniform distribution
• Let a < b. A random variable X is uniformly distributed over the
interval [a, b] if
a s

tx x
o o ther wise

Δ film
kW
a
Example
• Consider the example of spinning a wheel. Find the probability that
the wheel stops with angle between 0 and π/8. The density function
for the angle is

1 1 1
otherwise

P u dx
Example(Uniform Random variable cont.)
• The probability that the wheel stops with angle between 0 and π/8
can be calculated in several ways
Mean and Variance of the Uniform Random
Variable.
E X
Six f Ix dx
O
b
f dx

141
b
Mean and Variance of the Uniform Random
Variable cont.

E X fx x dx

x2 dx

9 62

2
VAR X E X ECA 6
CDF of a uniform Random Variable
Let X be a continuous random variable with PDF fX(x) = 1/ b−a for a ≤ x ≤ b,
and is 0 otherwise. Find the CDF of X.

Solution. The CDF of X is given by a

and
Fx X a k a dx

1 b
Exponential Random Variable
α é if
1 17
0 otherwise
α
Axa dx é a
α

α é ax α

α
fr The pdfs for the exponential distributions with α = 1, 2, and 4

P x a a
a 1 e
Exponential vs Poisson
P N
• An exponential random variable is the
interarrival time between two consecutive
n
_1 e
Poisson events. at
• That is, an exponential random variable is 2 e
how much time it takes to go from N
Poisson counts to N + 1 Poisson counts.
rate of peopleper unit time

I look at fixed t
ifFor any at bep.ge
fixed period of time t, the number of people N is
modeled as a Poisson random variable with a parameter λt.

The interarrival time T between two consecutive Poisson

events is an exponential random variable.

P T t P interarrival time t
P N o I It
Mean and Variance of the Exponential
Distribution
E X WAR

EEX
LEX f Lx dx xé dx

an é dx

integration by parts

E x2 x2 fxcxjdx fx2 de
22
VAR E X2 É xD
Memoryless property of exponential distribution
• Suppose T is an exponentially distributed random variable with some
parameter α. Then P{T > t} = e −αt . It follows that

P TT.E.tt T7S P T E

ftp.tIf
I eat
CDF of Exponential distribution

96 2 1
7 1
11 I 4 dx
f End
CO
Ew 1 é F
f ex