10/2/2020

TOPIC 3

CONTINUOUS
RANDOM
VARIABLE

TOPIC OUTLINE

• Continuous Probability Distributions

 Probability density function (pdf)
 Mathematical Expectations
 Cumulative distribution function
 Moment Generating Function

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RECALL
• A random variable is called continuous if it can
assume all possible values in the possible range of
the random variable.

• It can take infinitely many values. Hence, it is

uncountable.

• Some examples:
• The height or weight an entity.
• The time taken to complete an examination.
• The computer time (in seconds) required to
process a certain program.
• The time for a baby to gain the weight of 5 kg.
• The heat gained by a ceiling fan when it has
worked for one hour.

PDF

CONTINUOUS PROBABILITY DISTRIBUTION

• The probability function of the continuous random variable
is called the probability density function (p.d.f.).

• The function f(x) is a probability distribution function for the

continuous random variable X, defined over the set of real
numbers if,

1. f(x)  0 for all x  


2.  f(x)dx  1
-
b
3. P(a  X  b)   f(x)dx
a

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PDF

• Note that for continuous r.v,

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


 f ( x )dx
a

PDF
Example 1

Suppose that the error in the reaction temperature,

in 0C, for a controlled laboratory experiment is a
.
continuous random variable X having probability
distribution function

 x2
 , - 1 x  2
f ( x)   3
0,
 elsewhere

a) Verify that X is a continuous random variable.

b) Find P(0  X  1).

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PDF
Solution

a)  f(x)dx  1

.
2
2
x2  x3 

1
3
dx   
 9  1
23  1
2
 
9 9
8 1
 
9 9
1

PDF
Solution
1
x2
b) P(0  X  1) 
0
3 dx
.
1
1  x3 
  
3  3 0
13 0 2
 
9 9
1

9

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PDF
Example 2

Suppose that X be the continuous variable with

probability density function
.

2
 (2  x ) ; 0  x  1
11
2
f x    ( x ) ; 1 x  3
 11
0 ; elsewhere


a) Prove that X is a continuous random variable.

b) Calculate P(0  X  2) .

PDF
Solution
1 3
1 3

a) 
2
2  x dx  2 xdx  2  (2  x )dx  xdx 
  
0
11 1
11 11  0 1 
 1
 x2  
3
2   x 2  
 2x       
11   2  0  2 1 
 
 1
 3 2 12  
3
2   12  
 2(1)        
11  2 
  0  2 2 1 
 
2 3 
   4
11  2 
1
 it is proven that X is a continuous random variable.

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PDF
Solution
1 2
b) P(0  x  2)  
2
2  x dx  2
 11xdx
0
11 1

2  
1 2
 
 (2  x)dx 
11  0  xdx 
1 
 1
 x2  
2
2   x 2  
     
11 
2x  2    
    0  1 
2

 2 
1 
1
2
2
2  2
12  
      
11 
2(1)  2    
    0  2 2 1 

2 3 3
   
11  2 2 
2 6
  
11  2 
6
 or 0.5455
11

PDF

Example 3

A continuous r.v. X, has a density function

given by

c( x  3), 2  x  8
f (x)  
 0, elsewhere

a) Calculate c.
b) Find P(X ≥ 4).

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PDF
Solution
8
a)  c(x  3)dx  1
2
8


c x  3 dx  1
2
8
 x2 
c   3x  1
2 2
 8 2   22 
c   38     32  1
 2   2 
48c  1
1
c
48

PDF
Solution
8
b) PX  4  
1
 48 (x  3)dx
4
8
1  x2 
   3x
48  2 4
1  8 2   42 
   38     34 
48  2   2 
3

4

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CDF

CUMULATIVE DISTRIBUTION FUNCTION OF A

CONTINUOUS R.V

The cumulative distribution function F(x) of a

continuous random variable X with probability
distribution function f(x) is

x
F(x)  P(X  x)   f(t) dt

for -   x  

CDF
SOME IMPORTANT FORMULAE FOR CDF OF A
CONTINUOUS R.V.
1. P(a  X  b)  F(b)  F(a)

The above formula is also applicable to:

a) P(a  X  b)
b) P(a  X  b)
c ) P(a  X  b)
2. It follows from the fundamental theorem of calculus that if we
are given the cdf F of a r.v., we can calculate the pdf by
differentiating.
d F( x )
F' ( x )  f ( x ) 
dx
provided the derivative exists.

3. For any single value c, P(X = c) = 0.

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CDF
Example 4

Refer to example 1

a) Find the cumulative distribution function.

b) Use the answer in a) to find P(0  X  1).

CDF
Solution
x
 t2 
a) F(x)   
3
1
dt


x
1  t3 
  
.

3  3  1


1
9
t 
3 x
1


1
9
x   91  1
3 3


1
9
x   91
3


1
9
x 3
1 

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CDF
Solution
b) We know that F(x)  P(X  x) thus,

P(0  X  1)  P( X  1)  P( X  0)
 F(1) - F(0)
.

1
 
 1
 
  13  1    03  1  
 9   9 
2 1
 
9 9
1

9

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