Continuous Random Variables

Umi Yuliatin,M.Sc

PEM Akamigas

8 Oktober 2021

Umi Yuliatin,M.Sc (PEM Akamigas) Continuous Random Variables 8 Oktober 2021 1 / 21

Content:

1 Probability Distribution and Probability Density Function

2 Cumulative Distribusi Function

3 Mean and Variance of a Continuous Random Variable

4 Exercise

Umi Yuliatin,M.Sc (PEM Akamigas) Continuous Random Variables 8 Oktober 2021 2 / 21

 Continuous Random Variables

Umi Yuliatin,M.Sc

PEM Akamigas

8 Oktober 2021

Umi Yuliatin,M.Sc (PEM Akamigas) Continuous Random Variables 8 Oktober 2021 3 / 21

 Probability Distribution and Probability Density Function

Probability Distribution and Probability Density Function

Definisi
For a continuous random variable X, a probability density function is a function such
that
1 f (x) ≥ 0
R∞
−∞ f ( x )dx = 1
2

Rb
3 P( a ≤ X ≤ b) = a f ( x )dx=area under f ( x ) form a to b for any a and b

A probability density function provides a simple description of the probabilities

associated
R∞ with a random variable. As long as f ( x ) is nonnegative and
−∞ f ( x )dx = 1, 0 ≤ P ( a < X < b ) ≥ 1 so that the probabilities are properly restricted.
A probability density function is zero for x values that cannot occur and it is assumed
to be zero wherever it is not spesifically defined.

Umi Yuliatin,M.Sc (PEM Akamigas) Continuous Random Variables 8 Oktober 2021 4 / 21

 Probability Distribution and Probability Density Function

Probability Distribution and Probability Density Function

Definisi
For a continuous random variable X, a probability density function is a function such
that
1 f (x) ≥ 0
R∞
−∞ f ( x )dx = 1
2

Rb
3 P( a ≤ X ≤ b) = a f ( x )dx=area under f ( x ) form a to b for any a and b

A probability density function provides a simple description of the probabilities

associated
R∞ with a random variable. As long as f ( x ) is nonnegative and
−∞ f ( x )dx = 1, 0 ≤ P ( a < X < b ) ≥ 1 so that the probabilities are properly restricted.
A probability density function is zero for x values that cannot occur and it is assumed
to be zero wherever it is not spesifically defined.

Umi Yuliatin,M.Sc (PEM Akamigas) Continuous Random Variables 8 Oktober 2021 4 / 21

 Probability Distribution and Probability Density Function

A histogram is an approximation to a probability density function. For each interval of

the histogram, the area of the bar equals the relative frequency (proportion) of the
measurements in the interval .
The important point is that f (x) is used to calculate an area that represents the
probability that X assumes a value in [ a, b].

Umi Yuliatin,M.Sc (PEM Akamigas) Continuous Random Variables 8 Oktober 2021 5 / 21

 Probability Distribution and Probability Density Function

Gambar: left: Histogram appoximates a probability density function, right: Probability density
function for f ( x ) = 0.05

Umi Yuliatin,M.Sc (PEM Akamigas) Continuous Random Variables 8 Oktober 2021 6 / 21

 Probability Distribution and Probability Density Function

Theorem
If X is a continuous random variable, for any x1 and x2 ,

P ( x1 ≤ X ≤ x2 ) = P ( x1 < X ≤ x2 ) = ( x1 ≤ X < x2 ) = ( x1 < X < x2 )

Umi Yuliatin,M.Sc (PEM Akamigas) Continuous Random Variables 8 Oktober 2021 7 / 21

 Probability Distribution and Probability Density Function

Example:
Let the continuous random variable X denote the current measured in a thin copper
wire in milliamperes. Assume that the range of X is [0, 20mA], and assume that the
probability density function of X is for What is the probability that a current
measurement is less than 10 milliamperes?

Umi Yuliatin,M.Sc (PEM Akamigas) Continuous Random Variables 8 Oktober 2021 8 / 21

 Probability Distribution and Probability Density Function

Example:
Let the continuous random variable X denote the diameter of a hole drilled in a sheet
metal component. The target diameter is 12.5 millimeters. Most random disturbances
to the process result in larger diameters. Historical data show that the distribution of X
can be modeled by a probability density function f ( x ) = 20e−20( x−12.5) , x > 12.5

Umi Yuliatin,M.Sc (PEM Akamigas) Continuous Random Variables 8 Oktober 2021 9 / 21

 Probability Distribution and Probability Density Function

Gambar: Probability density function f ( x ) == 20e−20( x−12.5) , x > 12.5

Umi Yuliatin,M.Sc (PEM Akamigas) Continuous Random Variables 8 Oktober 2021 10 / 21

 Probability Distribution and Probability Density Function

Exercise:
x
1 Suppose that f ( x ) = for 3 < x < 5. Determine the following probabilities:
8
P ( X < 4)
P (4 < X < 5)
P( X < 3 or X > 4.5)
P( X > 3.5)
2 The probability density function of the net weight in pounds of a package
chemical herbicide is f ( x ) = 2.0 for 49.75 < x < 50.25 pounds.
Determine he probability that package weights more than 50 pounds
How much chemical contained in 90% of all package?
3 The probability density function of the length of a hinge for fastening a door is
f ( x ) = 1.25 for 74.6 < x < 75.4 milimeters. Determining the following:
P( X < 74.8)
P(74.8 or X > 75.2
if the specification for this process are from 74.7 to 75.3 milimeters, what proportion of
hinges meets specification?

Umi Yuliatin,M.Sc (PEM Akamigas) Continuous Random Variables 8 Oktober 2021 11 / 21

 Probability Distribution and Probability Density Function

Umi Yuliatin,M.Sc (PEM Akamigas) Continuous Random Variables 8 Oktober 2021 12 / 21

 Cumulative Distribusi Function

Definition
The cumulative distribution function of a continuous random variable X is
Z x
F ( x ) = P( X ≤ x ) = f (t)dt
−∞

for −∞ < x < ∞

Umi Yuliatin,M.Sc (PEM Akamigas) Continuous Random Variables 8 Oktober 2021 13 / 21

 Cumulative Distribusi Function

Example
For the copper current measurement in example before the cumulative distribution
function of the random variable X consists of three expressions. If x < 0, f ( x ) = 0
Therefore,
F (0) = 0, f or x<0
and Z x
F(x) = f (t)dt = 0.05x, f or 0 ≤ x < 20
0
Finally, 
 0 x<0
F(x) = 0.05x 0 ≤ x < 20
1 20 ≤ x


Umi Yuliatin,M.Sc (PEM Akamigas) Continuous Random Variables 8 Oktober 2021 14 / 21

 Cumulative Distribusi Function

Gambar: Cumulative distribution function fo example

Umi Yuliatin,M.Sc (PEM Akamigas) Continuous Random Variables 8 Oktober 2021 15 / 21

 Cumulative Distribusi Function

The probability density function of a continuous random variable can be determined

from the cumulative distribution function by differentiating. Recall that the
fundamental theorem of calculus states that
d xZ
f (t)dt = f ( x )
dx −∞
Then, given F ( x )
dF ( x )
f (x) =
dx
as long as the derivative exist.

Umi Yuliatin,M.Sc (PEM Akamigas) Continuous Random Variables 8 Oktober 2021 16 / 21

 Cumulative Distribusi Function

Exercise :
The gap width is an important property of a magnetic recording head. In coded units,
if the width is a continuous random variable over the range from 0 < x < 2 with
f ( x ) = 0.5x , determine the cumulative distribution function of the gap width

Umi Yuliatin,M.Sc (PEM Akamigas) Continuous Random Variables 8 Oktober 2021 17 / 21

 Mean and Variance of a Continuous Random Variable

Definition
Suppose X is a continuous random variable with probability density function f ( x ).
The mean or expected value of X, denoted as or E( X ), is
Z ∞
µ = E( X ) = x f ( x )dx
−∞

The variance of X, denoted as V ( X ) or σ2 , is

Z ∞ Z ∞
σ2 V ( X ) = ( x − µ)2 f ( x )dx = x2 f ( x )dx − µ2
−∞ −∞
√
The standard deviation is X is σ = σ2

Umi Yuliatin,M.Sc (PEM Akamigas) Continuous Random Variables 8 Oktober 2021 18 / 21

 Mean and Variance of a Continuous Random Variable

For the copper current measurement, the mean of X is

0.05x2 2
Z 20
E( X ) = x f ( x )dx = |0 0 = 10
0 2
The variance of X is
( x − 10)3 2
Z 20
v( x ) = ( x − 10)2 f ( x )ds = 0.05 |0 0 = 33.33
0 3

Umi Yuliatin,M.Sc (PEM Akamigas) Continuous Random Variables 8 Oktober 2021 19 / 21

 Mean and Variance of a Continuous Random Variable

For the copper current measurement, the mean of X is

0.05x2 2
Z 20
E( X ) = x f ( x )dx = |0 0 = 10
0 2
The variance of X is
( x − 10)3 2
Z 20
v( x ) = ( x − 10)2 f ( x )ds = 0.05 |0 0 = 33.33
0 3

Umi Yuliatin,M.Sc (PEM Akamigas) Continuous Random Variables 8 Oktober 2021 19 / 21

 Mean and Variance of a Continuous Random Variable

Theorem
If X is a continuous random variable with probability density function f ( x ),
Z ∞
E [h( X )] = h( x ) f ( x )
−∞

In last casse. X is the current meassured in miliamperes. What is the expected value of
the squared current? Now,h( X ) = X 2 . Therefore,

Z ∞
E(h( X )) = x2 f ( x )
−∞
Z 20
= 0.05x2
0
x3 20
= 0.05 |
3 0
= 133.33

Umi Yuliatin,M.Sc (PEM Akamigas) Continuous Random Variables 8 Oktober 2021 20 / 21

 Mean and Variance of a Continuous Random Variable

Theorem
If X is a continuous random variable with probability density function f ( x ),
Z ∞
E [h( X )] = h( x ) f ( x )
−∞

In last casse. X is the current meassured in miliamperes. What is the expected value of
the squared current? Now,h( X ) = X 2 . Therefore,

Z ∞
E(h( X )) = x2 f ( x )
−∞
Z 20
= 0.05x2
0
x3 20
= 0.05 |
3 0
= 133.33

Umi Yuliatin,M.Sc (PEM Akamigas) Continuous Random Variables 8 Oktober 2021 20 / 21

 Mean and Variance of a Continuous Random Variable

Exercise:
1 Determine the mean and variance :
f ( x ) = 0.25 for 0 < x < 4
f ( x ) = 0.125 for 0 < x < 8
f ( x ) = 1.5x2 for −1 < x < 1
2 Suppose that contamination particle size (iin micrometers) can be modeled as
f ( x ) = 2x −3 for 1 < x. Determine the mean of x.
3 Integration by parts is required. The probability density function for the diameter
of a drilled hole in milimeters is 10e−10( x−5) for x > 5mm. Altought the target
diameter is 5 milimeters, vibration, tool wear, and other nuisance produce larger
than 5 milimeters.
Determine the mean and variance of the diameter of the holes
Determine the probability that a diameter exceeds 5.1 milimeters

Umi Yuliatin,M.Sc (PEM Akamigas) Continuous Random Variables 8 Oktober 2021 21 / 21