Continuous random variables

A random variable X is said to be continuous if it takes all possible values between certain limits say from real number 'a' to
real number 'b'.

CONTINUOUS RANDOM VARIABLES

(i) Definition: Continuous Random Variable

A random variable X is said to be continuous if it takes all possible values between certain limits say
from real number 'a' to real number 'b'.

Example: The length of time during which a vacuum tube installed in a circuit functions is a continuous
random variable.

Note: If X is a continuous random variable for any x1 and x2 P(x1 ≤ X ≤ x2) P(x1 <X ≤ x2) = P(x1 ≤ X < x2) =
P(x1 < X < x2)

(ii) Probability density function :

For a continous random variable X, a probability density function is a function such that

(1) f(x) ≥ 0

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

Note: A probability density function is zero for the values of X which do not occur and it is assumed to
be zero wherever it is not specifically defined.

(iii) Cumulative distribution function

The cumulative distribution function of a continuous random variable X is

Note: The probability density function of a continuous random variable can be determined from the
cumulative distribution function by differentiating.

[ fundamental theorem of calculus]

f(x) = d/dxF[x] as long as the derivative exists.

(iv) The mean or expected value of a continuous random variable X.

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

A useful identity is that for any function g,

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

= E[X2] - [E (X)]2

Note: The standard deviation of X is σ = √Var (X).

(vi) FORMULA

6.Variance = Var[X] = E [X2] - [E [X]]2

7. P[a ≤ X ≤ b] = F(b) - F(a)

8. P(a ≤ X ≤ b) = P(a ≤ X < b) = P[ a < X ≤ b]

= P[a < X < b], X being a continuous random variable.

9. 0 ≤ F(x) ≤ 1

10. F(x) is a non-decreasing function of X.

i.e., if x1 < x2 then F(x1) < F (x2)

Example 1

A continuous random variable X has p.d.f. f (x) = k, 0 ≤ x ≤1. Determine the constant k. Find P(X
≤1/4].
Example 2

Given that the p.d.f of a R.V. X is f(x) = Kx, 0 < x < 1, find K and P(X > 0.5) .
Example 3

is the p.d.f. of a random variable X. Find K.

Solution :

K [-x e-x - e-x]o∞ = 1

K [(- 0 - 0) - (0 - 1)] = 1 ⇒ K = 1 [ e-∞ = 0 ]

Example 4

A continuous random variable X has probability density function given by f(x) = 3x2, 0 ≤ x ≤ 1.
Find K such that P(X > K) = 0.5

Solution:

Given: P(X > K) = 1 - P[X ≤ K] = 1 - 0.5 = 0.5

Example 5

Let X be a continuous R.V with probability density function

Find (i) P (X ≤ 0.4] (ii) P [X > 3/4] (iii) P [X > ½ ] (iv) P [1/2 < X < 3/4] (v) P [X > ¾ / X > 1/2] (vi) P[X < ¾ / X
> 1/2]

Solution :
Example 6

In a continuous random variable X having the probability density function

(b) Find P(0 < X ≤ 1) (c) Find F(x) [cumulative distribution]

Example 7

A continuous random variable X has the density function f(x) = K / 1 + x2' ∞ < x < ∞. Find the value
of K and the distribution function.

Solution: Given f (x) is a p.d.f

Example 8

The p.d.f. of a continuous R.V. X is f(x) = Ke-x. Find K and the F[x].

[A.U. 2005] [A.U Trichy M/J 2011] [A.U A/M 2010]

Example 9

A continuous random variable X that can assume any value between x = 2 and x = 5 has a density
function given by f(x) = k(1 + x). Find P [X < 4] .

Solution :

(i) Formula:
Example 10

A continuous random variable X has the distribution function

find K, probability density function f(x), P[X<2] .

Solution:

We know that,

P [X ≤ x] = F[X]
Example 11

Is the function defined as follows, a density function ?

Solution: Condition for probability density function is

= 1/18 [28 – 10] = 1/18 (18) = 1

Hence, the given function is density function.

If the density function of a continuous random variable X is given by

(1) Find the value of a.

(2) Find the cumulative distribution function of X.

(3) If X1, X2 and X3 are 3 independent observations of X, what is the probability that exactly one of
these 3 is greater than 1.5?

Solution: (1) Since, f (x) is a p.d.f, then

i.e., p = P[X > 1.5] = 1/2

p = ½ , q = ½ [ 1 = 1 – p]

As we choose 3 independent observation of X, n = 3.

By Bernoulli's theorem. [ P(x) = n C x Pxqn-x]

P(exactly one value > 1.5)

= P(1 success) = 3C1 (1/2)1 (1/2)3-1

= 3 (1/2) (1/2)2 = 3/8

Example 13

Experience has shown that while walking in a certain park, the time X (in mins.), between seeing
two people smoking has a density function of the form

(1) Calculate the value of λ.

(2) Find the distribution function of X.

(3) What is the probability that Jeff, who has just seen a person smoking, will see another person
smoking in 2 to 5 minutes? In atleast 7 minutes?

Solution:
Example 14

The diameter of an electric cable X is a continuous r.v. with pdf f(x) = kx (1-x), 0 ≤ x ≤1.

(i) Find the value of k

(ii) c.d.f of X

(iii) the value of a such that P (X < a) = P(X > a)

(iv) P (X ≤ 1/2 / 1/3 < X < 2/3 ]

Solution :
Example 15

A continuous random variable X that can assume values between x = 2 and x = 5 has dF = [2 (1 +
x)/27] dx, find P (3 < X < 4)

Solution: We know that, f (x) = dF/ dx = 2 (1 + x ) 27/27 , 2 ≤ x ≤ 5

Example 16

A continuous random variable has the pdf of f(x) = kx4; -1 < x <0. Find the value of k and also P (x >
-1/2 / X < -1/4)

Solution: Given: f(x) = kx4

(i) To find the value of k

(1) ⇒ = 31/1024 / 1023/1024 = 31/1023 = 1/33 = 0.0303

Example 17
A continuous random variable X has p.d.f f(x) = 3x 2, 0 ≤ x ≤1. Find a and b such (i) P[X ≤ a] = P [X> a]
(ii) P[X>b] = 0.05

Solution :

Problems based on f (x) = d/dx F [x], mean, variance

Example 18

The cumulative distribution function (cdf) of a random variable X is F(x) = 1- (1+ x)e-x, x>0. Find
the probability density function of X, Mean and variance of X.

Solution: Given: F(x) = 1- (1+x)e-x, x > 0

= 1-e-x- xe-x , x>0

p.d.f, f(x) = d/dx [F(x)] = d/dx [1-e-x-xe-x]

= 0+ e-x - [x (-e-x) + e-x (1)]

= e-x + xe-x –e-x

= xe-x, x>0
=(0–0+0–0)–(0-0+0–6)

=6

Var(X) = E(X2) - [E (X)]2 = 6 - (2)2 = 6 - 4 = 2

Example 19

The sales of a convenience store on a randomly selected day are X thousand dollars, where X is a
random variable with a distribution function of the following form :

Suppose that this convenience store's total sales on any given day are less than $ 2000.

(1) Find the value of k.

(2) Let A and B be the events that tomorrow the store's total sales are between 500 and 1500
dollars, and over 1000 dollars, respectively. Find P(A) and P(B).

(3) Are A and B independent events?

Solution :
P(A ∩ B) = P(A) P(B) Hence, A and B are independent.

Example 20

If the pdf of a r.v X is given by

If the cdf of a r.v X is given by F(x) = of X, also find P [1 ≤ X ≤ 2] .

Solution : p.d.f of X = ƒ (x) = d/dx F(x) = d/dx [1 – e-λx]

Example 22

(a) Show that f(x) is a pdf of a continuous random variable X.

(b) Find its distribution function F(x)

Solution :