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Continuous Random Variables

This document discusses probability density functions and cumulative distribution functions for continuous random variables. It provides examples of calculating probabilities using both the PDF and CDF for different distributions. The key concepts covered are the properties of a PDF, finding the CDF from the PDF, and using either to calculate probabilities.

Uploaded by

Fahad Ali Malik
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© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
53 views

Continuous Random Variables

This document discusses probability density functions and cumulative distribution functions for continuous random variables. It provides examples of calculating probabilities using both the PDF and CDF for different distributions. The key concepts covered are the properties of a PDF, finding the CDF from the PDF, and using either to calculate probabilities.

Uploaded by

Fahad Ali Malik
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 8

Presenter: Ms.

Sidra Raees

LECTURE 08
Department of Mathematics, NED University of
Engineering & Technology, Karachi

1
The function 𝑓 𝑥 is a probability density function (pdf) for the
continuous random variable X, defined over the set of real numbers, if

 𝑓 𝑥 ≥ 0, −∞ < 𝑥 < ∞
∞
 ‫׬‬−∞ 𝑓 𝑥 =1
𝑏
 𝑃 𝑎 < 𝑋 < 𝑏 = ‫)𝑥(𝑓 𝑎׬‬
 𝑃 𝑎<𝑋<𝑏 =𝑃 𝑎≤𝑋<𝑏 =𝑃 𝑎<𝑋≤𝑏 =𝑃 𝑎≤𝑋≤𝑏

NOTE:
The probability distribution of a continuous random variable X is also
called probability density function (pdf) or simple density function of the
random variable X.

Probability & Statistics (MT-331), Sidra Raees


Copyrights Protected-Department of Mathematics, NED University of Engineering & Technology, Karachi
2
Example
Suppose that the error in the reaction temperature, in ℃,
for a controlled laboratory experiment is a continuous
random variable X having the probability density
function.
𝑥2
𝑓 𝑥 = 3 , −1 < 𝑥 < 2
0, 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒

(a) Verify that 𝑓(𝑥) is a density function.


(b) Find 𝑃(0 < 𝑋 ≤ 1)

Probability & Statistics (MT-331), Sidra Raees


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3
Solution:
(a) We have
∞
‫׬‬−∞ 𝑓 𝑥 =1
2 2
𝑥
න 𝑑𝑥 = 1
−1 3
3
𝑥 2
ቤ =1
9 −1
8 1
+ =1
9 9
1=1
1 𝑥2 𝑥3 1 1
(b) 𝑃 0 < 𝑋 ≤ 1 = ‫׬‬0 3 𝑑𝑥 = ฬ =
9 0 9

Probability & Statistics (MT-331), Sidra Raees


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4
Example

The probability density function (pdf) of a random


variable X is given by
𝐶
𝑓𝑜𝑟 0 < 𝑥 < 4
𝑓 𝑥 = 𝑥
0 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒
Find
(a) The value of C.
1
(b) 𝑃 𝑋<
4
(c) 𝑃(𝑋 > 1)

Probability & Statistics (MT-331), Sidra Raees


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5
Solution:
∞
(a) ‫׬‬−∞ 𝑓 𝑥 =1
4
𝐶
න 𝑑𝑥 = 1
0 𝑥
1 4
2𝐶𝑥 2 = 1
0
4𝐶 = 1
1
𝐶=
4
1 1
1 1 1 1 1
(b) 𝑃 𝑋 < = ‫׬‬0 4 𝑑𝑥 = 𝑥 2 04 =
4 4 𝑥 2 4
4 1 1 1 4 1
(c) 𝑃 𝑋 > 1 = ‫׬‬1 4 𝑥 𝑑𝑥 = 𝑥2 1 =
2 2

Probability & Statistics (MT-331), Sidra Raees


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6
The cumulative distribution function 𝐹(𝑥) of a
continuous random variable X with density function 𝑓 𝑥
is

𝑥
 𝐹 𝑥 =𝑃 𝑋≤𝑥 = ‫׬‬−∞ 𝑓
𝑡 𝑑𝑡, 𝑓𝑜𝑟 − ∞ < 𝑥 < ∞
 𝑃 𝑎 < 𝑋 < 𝑏 = 𝐹 𝑏 − 𝐹(𝑎)
𝑑
 𝑓 𝑥 = 𝐹(𝑥)
𝑑𝑥

Note:
Integrate pdf to find cdf and differentiate cdf to find pdf.

Probability & Statistics (MT-331), Sidra Raees


Copyrights Protected-Department of Mathematics, NED University of Engineering & Technology, Karachi
7
Example
For the density function of example on slide no. 04 , find
𝐹 𝑥 , and use it to evaluate 𝑃 0 < 𝑋 ≤ 1 .

Solution:
𝑥 𝑥
𝑡2 𝑡3 𝑥 𝑥3 + 1
𝐹 𝑥 = න 𝑓 𝑡 𝑑𝑡 = න 𝑑𝑡 = =
−∞ −1 3 3 −1 9
Now
𝑃 0 < 𝑋 ≤ 1 = 𝐹 1 − 𝐹(0)
2 1
= −
9 9
1
=
9
Which agrees the result obtained by using the density
function.

Probability & Statistics (MT-331), Sidra Raees


Copyrights Protected-Department of Mathematics, NED University of Engineering & Technology, Karachi
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