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Chapter 5 discusses continuous random variables, defining them and explaining their properties, including the cumulative distribution function (CDF) and probability density function (PDF). It details how to calculate mathematical expectation and variance for continuous random variables, along with exercises to apply these concepts. The chapter concludes with examples illustrating the determination of the PDF, CDF, probabilities, expected values, variances, and medians.

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2 views

chapter5

Chapter 5 discusses continuous random variables, defining them and explaining their properties, including the cumulative distribution function (CDF) and probability density function (PDF). It details how to calculate mathematical expectation and variance for continuous random variables, along with exercises to apply these concepts. The chapter concludes with examples illustrating the determination of the PDF, CDF, probabilities, expected values, variances, and medians.

Uploaded by

chaukemartin1301
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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USTHB : 1st ING INFO 2023/2024 Probability and Statistics

Chapter 5

Continuous Random Variables

n
tio
5.1 General Concepts about Continuous Random
Variables
a
Definition 5.1.1: A real random variable X is a function
in
X : Ω −→ X(Ω) ⊂ R
ω 7−→ X(ω)
rd

The random variable X is said to be continuous if the set of values that it can take
belongs to a real interval. Let X(Ω) = [a, b].
Remark 1: When X is a continuous random variable, P (X = x) = 0 for all
o

x ∈ X(Ω). Therefore, we cannot define the probability law as in the discrete case.
Instead, it is defined by its cumulative distribution function or its probability den-
Co

sity function.

5.2 Cumulative Distribution Function and Proba-


bility Density Function
Definition 5.2.1: The cumulative distribution function of the random variable X,
denoted as FX (·), is the function:

FX : R −→ [0, 1]
x 7−→ FX (x) = P (X ≤ x)

Chapter 5 Page 1
USTHB : 1st ING INFO 2023/2024 Probability and Statistics

In the case of a continuous random variable, the cumulative distribution function is


Rx
defined as F (x) = −∞ f (t) dt. Therefore:

dFX (x)
f (x) =
dx
Where f (x) is called the probability density function of the random variable X.
Remark 2.
- The cumulative distribution function FX (·) of a continuous random variable sat-
isfies the properties stated for the cumulative distribution function of a discrete
random variable, and it is continuous over R.

n
- In the continuous case, P (X ≤ x) = P (X < x) and P (X ≥ x) = P (X > x), since
P (X = x) = 0 for all x ∈ R.

tio
Rx
- We have P (x1 ≤ X ≤ x2 ) = x12 f (t) dt = FX (x2 ) − FX (x1 ).
Definition 5.2.2: Let fX (·) be a real-valued function.

fX : R −→ R+
a x 7−→ fX (x)
in
f (x) is the probability density function of the random variable X, if and only if:
Rx
1. F (x) = −∞ f (t) dt
2. f (x) > 0 if x ∈ X(Ω), and f (x) = 0 if x ∈/ X(Ω)
rd

R +∞
3. −∞ f (t) dt = 1
o

5.3 Mathematical Expectation and Variance


Co

In the case of a continuous random variable, if the integrals exist, then:


R +∞
• E(X) = −∞ xf (x) dx
R +∞
• V (X) = E(X 2 ) − [E(X)]2 , where E(X 2 ) = −∞ x2 f (x) dx

5.4 Exercise
A continuous random variable has the probability density function given by:

x + k for x ∈ [−1, 1]
f (x) = 2
0 otherwise

Chapter 5 Page 2
USTHB : 1st ING INFO 2023/2024 Probability and Statistics

1. Determine the value of k for which f (x) is indeed a probability density function.
Answer:
R +∞ R1 R1
Find k such that −∞ f (x) dx = 1 ⇔ −1 f (x) dx = 1 ⇔ −1 x2 + k dx = 1


⇒ k = 12 .
2. Determine the cumulative distribution function of X.
Answer:
Rx
The cumulative distribution function: F (x) = −∞ f (t) dt, ∀x ∈ R
Rx
- If x < −1 then F (x) = −∞ 0 dt = 0,
- If −1 ≤ x < 1 then:  2 
Rx R −1 Rx Rx
F (x) = −∞ f (t) dt = −∞ f (t) dt + −1 f (t) dt = −1 12 (t + 1) dt = 12 x2 + x + 12

n
- If x ≥ 1 then:
R −1

tio
Rx R1 Rx R1
F (x) = −∞ f (t) dt = −∞ f (t) dt + −1 f (t) dt + 1 f (t) dt = −1 21 (t + 1) dt = 1
In summary, we have:



 0 if x < −1
a
FX (x) =
 


1
2
x2
2
+x+ 1
2

if − 1 ≤ x < 1
in

1 if x ≥ 1

3. Calculate P (0 < X < 3).


Answer:
rd

We have P (0 < X < 3) = P (X < 3) − P (X ≤ 0) = FX (3) − FX (0) = 1 − 14 = 34 .


4. Calculate E(X), V (X), and σ(X).
Answer:
o

R +∞ R +1
(a) E(X) = −∞ xf (x) dx = −1 x 12 (x + 1) dx = 13 .
R +∞
Co

(b) V (X) = E (X 2 ) − [E(X)]2 , where E (X 2 ) = −∞ x2 f (x) dx.


R +1 q
E(X 2 ) = −1 x2 21 (x + 1), dx = 13 , so V (X) = 13 − 91 = 29 ⇒ σ(X) = 29 ≈ 0.47.
5. Determine the median of X, which is the real number m such that
P (X ≤ m) = 0.5.
Answer:  2 
P (X ≤ m) = F (m) = 0.5 ⇔ 21 m2 + m + 21 = 21 .
We find two roots m1 = 0.41 and m2 = −2.41, but m2 ∈ / [−1, 1[ so it is excluded.
Therefore, the median is 0.41.

Chapter 5 Page 3

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