Solved problems | Continuous random variables https://www.probabilitycourse.com/chapter4/4_1_4_solved4_1.

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4.1.4 Solved Problems:

Continuous Random Variables
Problem 1

Let X be a random variable with PDF given by

{0
cx 2 |x| ≤ 1
fX (x) =
otherwise
a. Find the constant c .
b. Find EX and Var(X).
1
c. Find P(X ≥ 2
).

• Solution
∞
◦ a. To find c , we can use ∫−∞ fX (u)du = 1:
∞
1 = ∫−∞ fX (u)du
1
= ∫−1 cu2 du
2
= 3
c.

3
Thus, we must have c = 2 .
b. To find EX , we can write
1
EX = ∫−1 ufX (u)du
1
= 32 ∫−1 u3 du
= 0.

In fact, we could have guessed EX = 0 because the PDF is symmetric around x = 0. To find Var(X), we have
Var(X) = EX 2 − (EX )2 = EX 2
1
= ∫−1 u2 fX (u)du
3 1
= ∫
2 −1
u4 du
3
= 5
.

1
c. To find P(X ≥ 2
), we can write
1
1 3 7
2 ∫1
P(X ≥ )= x 2 dx = .
2 16
2

Problem 2

Let X be a continuous random variable with PDF given by

1 −|x|
fX (x) = e , for all x ∈ ℝ.
2
If Y = X 2 , find the CDF of Y .
• Solution

◦ First, we note that RY = [0, ∞). For y ∈ [0, ∞), we have

FY (y) = P(Y ≤ y)

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= P(X 2 ≤ y)
= P(−√y ≤ X ≤ √y)
y
= ∫−√ y 12 e−|x| dx
√
y
= ∫0√ e−x dx
= 1 − e−√y .

Thus,

{0
1 − e−√y y≥0
FY (y) =
otherwise

Problem 3

Let X be a continuous random variable with PDF

{0
4x 3 0<x≤1
fX (x) =
otherwise
2 1
Find P(X ≤ 3
|X > 3
).

• Solution

◦ We have

2 1 P( 13 <X≤ 23 )
P(X ≤ 3
|X > 3
) =
P(X> 13 )
2
∫ 13 4x 3 dx
= 3
1
∫ 1 4x 3 dx
3
3
= 16
.

Problem 4

Let X be a continuous random variable with PDF

x 2 (2x + 32 )
{0
0<x≤1
fX (x) =
otherwise
2
If Y = X
+ 3 , find Var(Y).
• Solution

◦ First, note that

Var(Y) = Var ( + 3) = 4Var ( ) ,

2 1
using Equation 4.4
X X
1 1
Thus, it suffices to find Var( X ) = E[ ] − (E[ X1 ])2 . Using LOTUS, we have
X2

E[
X ] ∫0
x (2x + ) dx =
1
1 3 17
=
2 12

E[ ] (2x + ) dx = .
1
1 3 5
∫
=
X 2
0 2 2

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Thus, Var( X )
1 1 71
= E[ ] − (E[ X1 ])2 = 144
. So, we obtain
X2

Var(Y) = 4Var ( ) =
1 71
.
X 36

Problem 5
∞
Let X be a positive continuous random variable. Prove that EX = ∫0 P(X ≥ x)dx.

• Solution

◦ We have
∞

∫x
P(X ≥ x) = fX (t)dt.

Thus, we need to show that

∞ ∞

∫0 ∫x
fX (t)dtdx = EX.

The left hand side is a double integral. In particular, it is the integral of fX (t) over the shaded region in Figure 4.4.

Fig.4.4 - The shaded area shows the region of the double integral of Problem 5.

We can take the integral with respect to x or t . Thus, we can write

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∞ ∞ ∞ t
∫0 ∫x fX (t)dtdx = ∫0 ∫0 fX (t)dxdt
= ∫0 fX (t) (∫0 1dx) dt
∞ t

∞
= ∫0 tfX (t)dt = EX since X is a positive random variable.

Problem 6

Let X ∼ Unif orm(− π2 , π) and Y = sin(X). Find fY (y).

• Solution

◦ Here Y = g(X), where g is a differentiable function. Although g is not monotone, it can be divided to a finite number of regions in
π
which it is monotone. Thus, we can use Equation 4.6. We note that since RX = [− 2 , π], RY = [−1, 1] . By looking at the plot of
g(x) = sin(x) over [− π2 , π], we notice that for y ∈ (0, 1) there are two solutions to y = g(x), while for y ∈ (−1, 0), there is
only one solution. In particular, if y ∈ (0, 1) , we have two solutions: x1 = arcsin(y) , and x2 = π − arcsin(y). If y ∈ (−1, 0)
we have one solution, x1 = arcsin(y) . Thus, for y ∈ (−1, 0), we have

fX (x 1 )
fY (y) = |g′ (x1 )|
fX (arcsin(y))
= | cos(arcsin(y))|
2

= 3π
.
√1−y2

For y ∈ (0, 1) , we have

fX (x 1 ) f (x )
fY (y) = |g′ (x1 )|
+ |gX′ (x22 )|
fX (arcsin(y)) fX (π−arcsin(y))
= | cos(arcsin(y))|
+ | cos(π−arcsin(y))|
2 2

= 3π
+ 3π

√1−y2 √1−y2
4
= .
3π√1−y2

To summarize, we can write

⎧ 2
⎪ 3π√1−y2
−1 < y < 0
⎪
fY (y) = ⎨ 4
⎪ 3π√1−y2
0<y<1
⎪
⎩0 otherwise

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