Random Variables

Random Variables
Study Material for Week 6
Lecture Four

 Continuous Random Variable

Probability density function (p.d.f.)
X a continuous random variable. Function f ( x) defined for all real x  (, )
is called probability density function (p.d.f.) if for any set B of real numbers, we get

probability p( X  B)   f ( x)dx .
B

b
Thus, p  a  X  b    f ( x)dx . Also, the point probability is zero, i.e., p  X  a   0 .
a

Axioms
b
1) 0  p  a  X  b   1, or , 0   f ( x)dx 1
a

2) p( X  B)   f ( x)dx .
B


3) 

f ( x)dx  1 .

Let f ( x) be the probability density function (p.d.f) of a continuous random variable X .

The curve represented by the equation y  f ( x) is called the probability curve of X .
Note That :
i) The probability curve lies completely above X - axis.
ii) The total area between the X - axis and the probability curve is unity.
iii) p  a  X  b  represents the area under the probability curve bounded by the

X - axis and the co-ordinates X  a and X  b .

 Random Variables
 Cumulative Distribution Function (c.d.f.)
X be a continuous random variable. The cumulative distribution function denoted as F (a )
a
d
and is expressed as F (a)  

f ( x)dx or
da
f (a )  f (a ) .

Properties of c.d.f.
1) F (a ) is monotonically increasing. i.e. a  b  F (a)  F (b)
2) lim F ( a )  1
a 

3) lim F (a )  0
a 

4) p  a  X  b   F (b)  F (a)

Note that : For a continuous random variable X ,

p  a  X  b  p a  X  b  p a  X  b  p a  X  b

5) p  X  a   1  p  X  a   1  F  a 

6) Expected value, Variance and Standard Deviation

 
  E( X )   x f ( x)dx , var( X )   ( x  E( X )) f ( x)dx, sd ( X )   Var ( X )
2

 

Examples
0 if x0
x

1. X cont. random variable with p.d.f F ( x)   if 0 x2
2
1 if 2 x

1 3
Find i) p   X   (ii) p 1  X  2
2 2

1 3 3 1 3 1 1
i) p  a  X  b   F b   F  a   p   X    F       .
2 2 2 2 4 4 2
1 1
ii) p 1  X  2   F  2   F 1 1   .
2 2
2. The time in years X required to complete a software project has a p.d.f.
 kx(1  x), 0  x 1
f ( x)  
0 otherwise
Compute the probability that the project will be completed in less than four months.




f ( x)dx  1  k  6
 Random Variables
1
The probability that the project will be completed in  4 months, i.e. less than years.
3
1/3
p  X  4    f ( x) dx  0.259 .
0

3. X continuous random variable with probability density function

x
 , 0 x2
f ( x)   2
0, otherwise

Find (i) p 1  X 1.5 (ii) E ( X ) (iii) Var( X ) (iv) c.d.f.

This is a ramp distribution.

1.5
5
(i) p 1  X 1.5   f ( x) dx  16 .
1

(ii)  x2
E ( X )   dx 
4
 2 3
0

2
(iii) (iii) E ( X 2 )  2  Var( X ) 
9
a
(iv) F (a)  

f ( x)dx

0
  x  0  0dx  0
  0,   a  0
a 
 x dx  a Thus F (a )   a , 0  a  2
2 2
0 x2  
2
X

0
4  4
 1, 2  a  
2 x F (a)  1
4. X continuous random variable with probability density function
 kx, 0 x2

f ( x )   2k , 2 x4. Find k and mean.
 kx  6k , 4 x6

6 2 4 6


0
f ( x) dx  1  kx dx   2k dx   (kx  6k ) dx  1
0 2 4

1
Evaluating the integral and simplifying, we have 8k  1  k  .
8
 Random Variables
6 2 4 6
E ( X )   xf ( x) dx   kx dx   2kx dx   (kx 2  6kx) dx
2

0 0 2 4
2 4 6 6
 x3   x2   x3   x2 
 k    2 k    k    6k  
 3 0  2 2  3 4  2 4
8 152  24
 k   12   60   24k   3  E  X   3.
3 3  8

5. i) Verify f ( x)  6 x 1  x  ,0  x  1 is a probability density function for the diameter of a

cable. ii) Find the condition on b such that p  X  b   p  X  b  .

i) At x  0, f ( x)  0. For 0  x  1 , 0  1  x  1 and 0  6 x  6 . Therefore

0  6 x(1  x)  6 . Hence f ( x) is positive for 0  x  1 .

1 1
1
Further  f ( x)dx   6 x(1  x)dx  6     1 . This proves f ( x) is pdf
0  2 3
for 0  x  1 .
ii) p  X  b   p  X  b   p  X  b   1  p  X  b  .

Random variable is continuous, p  X  b   p  X  b  . Therefore

b
1 1
2 p  X  b  1  p  X  b    f ( x)dx  . Solving above equation we have
2 0 2

4b3  6b2  1  0.
Problem Session
Q.1 Attempt the following
1) A continuous random variable X has pdf f ( x)  3x 2 , 0  x  1 .

Find a such that p  X  a   0.05 .

2) Let X be a continuous random variable with the following

kx, 0  x  5
distribution f ( x)  
 0, elsewhere
(a) Find k .
(b) Find P(2  X  5) .
(c) Find c.d.f.
(d) Plot the graph of p.m.f. and c.d.f.
3) Let X be a continuous random variable with distribution :
1
  k , if 0  k  3
f ( x)   6

 0, elsewhere
(a) Evaluate k . (b) Find P(1  X  2) .
 Random Variables
4) Find the distribution function f ( x) of the continuous random
variable X with the cumulative distribution function :
0, if x  0
 3
(a) F ( x)   x , if 0  x  1
1, if x  1


0, if x  0

 
(b) F ( x)  sin x, if 0  x 
 2
 
1, if x 
 2
5) Let X be a continuous random variable whose distribution f is
constant on an interval, say I  a  x  b and 0 elsewhere namely
k , if a  x  b
f ( x)   .
0, elsewhere
(a) Determine k .
(b) Find the mean  of X .
(c) Determine the cumulative distribution function F of X .