Continuous Random Variables

Dr. Mahmoud Abd El-Raouf

Random Variables
A random variable is a numerical quantity that is generated by a random experiment.

Types of Random Variable

A random variable is called discrete if it has either a finite or a countable number of possible values.

Experiment Random variable X Possible Values of X

Roll two fair dice Sum of the number of dots on the top faces 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12
Flip a fair coin repeatedly Number of tosses until the coin lands heads 1, 2, 3,4, …

A random variable is called continuous if its possible values contain a whole interval of numbers.

Experiment Random variable X Possible Values of X

Measure the voltage at an
Voltage measured 118 ≤ x ≤ 122
electrical outlet
Operate a light bulb until it
Time until the bulb burns out 0≤x<∞
burns out
Continuous Random Variables
(1) Probability Density Function (p. d. f)

 If 𝑿 is a continuous R. V. then a function 𝒇 𝒙 defined over the set of all real numbers, is
called probability density function of a continuous R.V. is defined as:
𝒃

𝑷 𝒂 ≤ 𝑿 ≤ 𝒃 = න 𝒇 𝒙 𝒅𝒙
𝒂
For any constants a and b with 𝒂 ≤ 𝒃

 A function 𝒇 𝒙 is a p.d.f of a continuous R.V. 𝑿 if and only if it satisfies the following

conditions:

1) 𝒇 𝒙 ≥ 𝟎 for −∞ ≤ 𝒙 ≤ ∞
∞
2) ‫׬‬−∞ 𝒇 𝒙 𝒅𝒙 = 𝟏
Continuous Random Variables

(2) Cumulative Distribution Function (C. D. F)

 The C.D.Fof R. V. 𝑿 with p.d.f 𝒇 𝒙 , is defined by:

𝒙

𝑭 𝒙 = 𝑷 𝑿 ≤ 𝒙 = න 𝒇 𝒕 𝒅𝒕 𝒇𝒐𝒓 − ∞ ≤ 𝒙 ≤ ∞
−∞

 If 𝒇 𝒙 and 𝑭 𝒙 are the values of the p.d.f and the C.D.F. of the R.V. X at 𝒙, then:
𝒅𝑭 𝒙
𝒇 𝒙 =
𝒅𝒙
𝑷 𝑿≤𝒃 =𝑭 𝒃
𝑷 𝑿≥𝒃 =𝟏−𝑭 𝒃
𝑷 𝒂≤𝑿≤𝒃 =𝑭 𝒃 −𝑭 𝒂
Continuous Random Variables
(3) Expectation
 Mathematical expectation of R. V. refers to the expected value or the mean value of the random
variable and it is defined as:
∞

𝝁 = 𝑬 𝑿 = න 𝒙 𝒇 𝒙 𝒅𝒙
−∞
(4) Variance
 The variance of R. V. Distribution is Deonte by 𝝈𝟐 and it is defined as:
𝝈𝟐 = 𝒗𝒂𝒓 𝑿 = 𝑬 𝑿𝟐 − 𝝁𝟐
∞

𝑬 𝑿𝟐 = න 𝒙𝟐 𝒇 𝒙 𝒅𝒙
−∞
 The square root of the variance is called the standard deviation and is denote by 𝝈.

𝑺. 𝑫. = 𝝈 = 𝒗𝒂𝒓(𝑿)
Continuous Random Variables
Example 1: The p.d.f. of the r.v. x is given by:
x for 0 < 𝑥 < 1
𝑓 𝑥 =ቐ2−x for 1 ≤ x < 𝑐
0 for otherwise
Find:
a. The value of c
Continuous Random Variables
Example 1:
x

b. The C.D.F. is F ( x)  P(X  x)   f(t) dt



where
Continuous Random Variables
Example 1:
c.
Using C.D.F.

Using p.d.f.

8
Continuous Random Variables
Example 1:

d. Mean of X

9
Continuous Random Variables

Example 2: If the p.d.f. of the random variable X is below:

𝟐 𝟏−𝒙 𝒇𝒐𝒓 𝟎 < 𝒙 < 𝟏

𝒇 𝒙 =ቊ
𝟎 𝒐𝒕𝒉𝒆𝒓𝒘𝒊𝒔𝒆
Find the variance and 𝒗𝒂𝒓 𝟐𝑿 + 𝟏

Solution:
∞ 𝟏 𝟏

𝝁 = 𝑬 𝑿 = න 𝒙 𝒇 𝒙 𝒅𝒙 = න 𝒙 ∗ 𝟐(𝟏 − 𝒙) 𝒅𝒙 = 𝟐 න 𝒙 − 𝒙𝟐 𝒅𝒙
−∞ 𝟎 𝟎

𝟐 𝟑 𝟏
𝒙 𝒙 𝟏
𝝁=𝟐 − =
𝟐 𝟑 𝟎
𝟑
Continuous Random Variables
Example 2:
𝒗𝒂𝒓 𝑿 = 𝝈𝟐 = 𝑬 𝑿𝟐 − 𝝁𝟐
∞ 𝟏 𝟏

𝑬 𝑿𝟐 = න 𝒙𝟐 𝒇 𝒙 𝒅𝒙 = 𝟐 න 𝒙𝟐 (𝟏 − 𝒙)𝒅𝒙 = 𝟐 න 𝒙𝟐 − 𝒙𝟑 𝒅𝒙
−∞ 𝟎 𝟎

𝟑 𝟒 𝟏
𝒙 𝒙 𝟏
𝑬 𝑿𝟐 =𝟐 − =
𝟑 𝟒 𝟎
𝟔
𝟐
𝟏 𝟏 𝟑−𝟐 𝟏
𝝈𝟐 =𝑬 𝑿𝟐 − 𝝁𝟐 = − = =
𝟔 𝟑 𝟏𝟖 𝟏𝟖

𝟏 𝟐
𝒗𝒂𝒓 𝟐𝑿 + 𝟏 = 𝟒 𝝈𝟐 =𝟒∗ =
𝟏𝟖 𝟗
Continuous Random Variables
Example 3: Consider the following cumulative distribution function of the random variable X
 0 x  1

FX ( x)   0.5 (1  x 3 )  1  x  1
 1 x
 1

Find : a. The probability density function (p.d.f.) of X,

 3 2
x 1  x  1
 f ( x)   2
 0 o.w.
b. Using C.D.F.

c. E ( X )
Continuous Random Variables
Example 3: Consider the following cumulative distribution function of the random variable X
 0 x  1

FX ( x)   0.5 (1  x 3 )  1  x  1
 1 x
 1

c. Var( X )

E( X )  0
 Good luck
Dr. Mahmoud Abd El-Raouf