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MIT18 05S14 Class5slides PDF

This document discusses variance and standard deviation of continuous random variables. It defines variance as the expected value of the squared distance from the mean. For a continuous random variable with probability density function f(x), the variance is defined by an integral involving f(x). The standard deviation is the square root of the variance and has the same units as the random variable. Exponential random variables are used as an example of a continuous distribution with properties like the memoryless property discussed.

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57 views

MIT18 05S14 Class5slides PDF

This document discusses variance and standard deviation of continuous random variables. It defines variance as the expected value of the squared distance from the mean. For a continuous random variable with probability density function f(x), the variance is defined by an integral involving f(x). The standard deviation is the square root of the variance and has the same units as the random variable. Exponential random variables are used as an example of a continuous distribution with properties like the memoryless property discussed.

Uploaded by

Aftab Saad
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
You are on page 1/ 17

Variance; Continuous Random Variables

18.05 Spring 2014

January 1, 2017 1 / 17
Variance and standard deviation
X a discrete random variable with mean E (X ) = µ.

Meaning: spread of probability mass about the mean.


Definition as expectation (weighted sum):
Var(X ) = E ((X − µ)2 ).
Computation as sum:
n
n
Var(X ) = p(xi )(xi − µ)2 .
i=1

Standard deviation σ = Var(X ).


Units for standard deviation = units of X .
January 1, 2017 2 / 17
Concept question
The graphs below give the pmf for 3 random variables. Order them
by size of standard deviation from biggest to smallest. (Assume x has
the same units in all 3.)
(A) (B)

x x
1 2 3 4 5 1 2 3 4 5

(C)

x
1 2 3 4 5

1. ABC 2. ACB 3. BAC 4. BCA 5. CAB 6. CBA

January 1, 2017 3 / 17
Computation from tables

Example. Compute the variance and standard deviation

of X .

values x
1 2 3 4 5

pmf p(x) 1/10 2/10 4/10 2/10 1/10

January 1, 2017 4 / 17
Concept question

Which pmf has the bigger standard deviation? (Assume w


and y have the same units.)
1. Y 2. W
pmf for Y p(y) p(W ) pmf for W
1/2
.4

.2
.1
y w
-3 0 3 10 20 30 40 50

Table question: make probability tables for Y and W


and compute their standard deviations.
January 1, 2017 5 / 17
Concept question

True or false: If Var(X ) = 0 then X is constant.

1. True 2. False

January 1, 2017 6 / 17
Algebra with variances

If a and b are constants then

Var(aX + b) = a2 Var(X ), σaX +b = |a| σX .

If X and Y are independent random variables then

Var(X + Y ) = Var(X ) + Var(Y ).

January 1, 2017 7 / 17
Board questions

1. Prove: if X ∼ Bernoulli(p) then Var(X ) = p(1 − p).

2. Prove: if X ∼ bin(n, p) then Var(X ) = n p(1 − p).

3. Suppose X1 , X2 , . . . , Xn are independent and all have


the same standard deviation σ = 2. Let X be the average
of X1 , . . . , Xn .

What is the standard deviation of X ?

January 1, 2017 8 / 17
Continuous random variables
Continuous range of values:

[0, 1], [a, b], [0, ∞), (−∞, ∞).

Probability density function (pdf)


d
f (x) ≥ 0; P(c ≤ x ≤ d) = f (x) dx.
c

prob.
Units for the pdf are
unit of x
Cumulative distribution function (cdf)
x
F (x) = P(X ≤ x) = f (t) dt.
−∞
January 1, 2017 9 / 17
Visualization
f (x)

P (c ≤ X ≤ d)

x
c d
pdf and probability

f (x)

F (x) = P (X ≤ x)

x
x
pdf and cdf

January 1, 2017 10 / 17
Properties of the cdf

(Same as for discrete distributions)

(Definition) F (x) = P(X ≤ x).


0 ≤ F (x) ≤ 1.
non-decreasing.
0 to the left: lim F (x) = 0.
x→−∞
1 to the right: lim F (x) = 1.
x→∞
P(c < X ≤ d) = F (d) − F (c).
F ' (x) = f (x).

January 1, 2017 11 / 17
Board questions

1. Suppose X has range [0, 2] and pdf f (x) = cx 2 .


(a) What is the value of c.
(b) Compute the cdf F (x).
(c) Compute P(1 ≤ X ≤ 2).

2. Suppose Y has range [0, b] and cdf F (y ) = y 2 /9.


(a) What is b?
(b) Find the pdf of Y .

January 1, 2017 12 / 17
Concept questions

Suppose X is a continuous random variable.

(a) What is P(a ≤ X ≤ a)?

(b) What is P(X = 0)?

(c) Does P(X = a) = 0 mean X never equals a?

January 1, 2017 13 / 17
Concept question

Which of the following are graphs of valid cumulative distribution


functions?

Add the numbers of the valid cdf’s and click that number.

January 1, 2017 14 / 17
Exponential Random Variables
Parameter: λ (called the rate parameter).
Range: [0, ∞).
Notation: exponential(λ) or exp(λ).
Density: f (x) = λe−λx for 0 ≤ x.
Models: Waiting time
P (3 < X < 7)
.1 F (x) = 1 − e−x/10
1
f (x) = λe−λx

x x
2 4 6 8 10 12 14 16 2 4 6 8 10 12 14 16

Continuous analogue of geometric distribution –memoryless!

January 1, 2017 15 / 17
Board question
I’ve noticed that taxis drive past 77 Mass. Ave. on the average of
once every 10 minutes.
Suppose time spent waiting for a taxi is modeled by an exponential
random variable
1 −x/10
X ∼ Exponential(1/10); f (x) = e
10
(a) Sketch the pdf of this distribution
(b) Shade the region which represents the probability of waiting
between 3 and 7 minutes
(c) Compute the probability of waiting between between 3 and 7
minutes for a taxi
(d) Compute and sketch the cdf.

January 1, 2017 16 / 17
MIT OpenCourseWare
https://ocw.mit.edu

18.05 Introduction to Probability and Statistics


Spring 2014

For information about citing these materials or our Terms of Use, visit: https://ocw.mit.edu/terms .

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