Continuous Random Variables: Dr. Hiranmoy Pal

Continuous Random Variables
Dr. Hiranmoy Pal
IIIT Bhagalpur
January 16, 2020
Dr. Hiranmoy Pal (IIIT Bhagalpur) MA203: Probability and Statistics January 16, 2020 1 / 13
Introduction
We discuss continuous r.v.s, which can take on any real value in an

interval (possibly of infinite length, such as (0, ∞) or the entire real line).
An r.v. has a continuous distribution if its CDF is differentiable. We also

allow there to be endpoints (or finitely many points) where the CDF is
continuous but not differentiable, as long as the CDF is differentiable
everywhere else. A continuous random variable is a random variable
with a continuous distribution.
Probability Density Function (PDF)
Definition
A random variable X is said to be a continuous r.v. if there exists a
non-negative function f , defined for all real x ∈ (−∞, ∞), having the
property that, for any set B of real numbers,
Z
P (X ∈ B) = f (x) dx.
B
The function f is called the probability density function of the random

variable X .
Probability Density Function (PDF)
Definition
A random variable X is said to be a continuous r.v. if there exists a
non-negative function f , defined for all real x ∈ (−∞, ∞), having the
property that, for any set B of real numbers,
Z
P (X ∈ B) = f (x) dx.
B
The function f is called the probability density function of the random

variable X .
Note: For a PDF f , the quantity f (x) is not a probability, and in fact it is
possible to have f (x) > 1 for some values of x. To obtain a probability, we
need to integrate the PDF.
Properties of PDF
R∞
1 P (X ∈ R) = f (x) dx = 1.
−∞
Rb
2 P (a ≤ X ≤ b) = f (x) dx.
a
Ra
3 P (X = a) = f (x) dx = 0.
a
Ra
4 P (X < a) = f (x) dx.
−∞
Ra
5 P (X ≤ a) = f (x) dx.
−∞
• P (a ≤ X ≤ b) = P (a < X ≤ b) = P (a ≤ X < b) = P (a < X < b) .
Cumulative Distribution Function (CDF)
definition
Let X be a continuous r.v. with PDF f . Then the CDF of X is given by
Zx
F (x) = P (X ≤ x) = f (t) dt.
−∞
Properties:
1 F (x) is non-decreasing. 4 P(a < X ≤ b) = F (b) − F (a).

2 lim F (x) = 1. 5 F (x) is a continuous function.
x→∞
d
Rx d
3 lim F (x) = 0. 6 f (x) = dx f (t) dt = dx F (x).
x→−∞ −∞
Valid PDFs: The PDF f of a continuous r.v. must satisfy:
f (x) ≥ 0.
R∞
f (x) dx = 1.
−∞
Example: Suppose X is a continuous r.v. whose PDF is given by
(
C 4x − 2x 2 , 0 < x < 2

f (x) =
0, Otherwise.
1 What is the value of C ?

2 Evaluate P(X > 1).
3 Find the CDF of X .
Solution:
R∞
1 Since f is a PDF f (x) dx = 1.
−∞
Z2
3
4x − 2x 2

C dx = 1 ⇒ C = .
8
0
3
R∞ 3
R2
4x − 2x 2 dx = 21 .

2 P(X > 1) = 8 f (x) dx = 8
1 1
3 CDF is given by 
0,
 x ≤0
F (x) = ???, 0<x <2

1, x ≥ 2.

Uniform Random Variable
Definition
A random variable is said to be uniformly distributed over the interval
(α, β), denoted by X ∼ Unif(α, β), if its probability density function is
(
1
, α<x <β
f (x) = β−α
0, otherwise.
Note that f (x) is indeed a PDF.

Q: Calculate the CDF of an r.v. X uniformly distributed over (α, β).
Uniform Random Variable
Definition
A random variable is said to be uniformly distributed over the interval
(α, β), denoted by X ∼ Unif(α, β), if its probability density function is
(
1
, α<x <β
f (x) = β−α
0, otherwise.
Note that f (x) is indeed a PDF.

Q: Calculate the CDF of an r.v. X uniformly distributed over (α, β).
Solution: 
0,
 x ≤α
x−α
F (x) = β−α , α < x < β

1, x ≥ β.

Example:
If X is uniformly distributed over (0, 10), calculate the probability that

1 X <3
2 X >7
3 1 < X < 6.
Example:
If X is uniformly distributed over (0, 10), calculate the probability that

1 X <3
2 X >7
3 1 < X < 6.
Solution:
R3 1 3
1 P(X < 3) = 10 dx = 10 .
0
R10 1 3
2 P(X > 7) = 10 dx = 10 .
7
R6 1
3 P(1 < X < 6) = 10 dx = 12 .
1
Exponential Random Variable
A Geometric random variable counts the number of failures before the
first success in a sequence of Bernoulli trials.
Exponential distribution is analogous to Geometric distribution
(discrete), but we are now waiting for a success in continuous time,
where successes arrive at a rate of λ successes per unit of time.
An Exponential random variable represents the waiting time until the
first arrival of a success.
Definition
A continuous r. v. whose probability density function is given, for some
λ > 0, by (
λe −λx , x > 0
f (x) =
0, x ≤0
is said to be an exponential random variable with parameter λ.
We denoted this by X ∼ Expo(λ).
CDF of Exponential r.v.
Q: Find the CDF of a exponential r. v. X with parameter λ.
Zx
F (x) = λe −λt dt = 1 − e −λx , x > 0.
0
Rx
λe −λt dt = lim 1 − e −λx = 1.

Of course, F (∞) = lim
x→∞ 0 x→∞
X
Q: If X ∼ Expo(1) then find the CDF of Y = λ.
Zx
F (x) = λe −λt dt = 1 − e −λx , x > 0.
0
Rx
λe −λt dt = lim 1 − e −λx = 1.

Of course, F (∞) = lim
x→∞ 0 x→∞
X
Q: If X ∼ Expo(1) then find the CDF of Y = λ.

X
P(Y ≤ y ) = P ≤y = P(X ≤ λy ) = 1 − e −λy , y > 0.
λ
Conversely, if Y ∼ Expo(λ) then λY ∼ Expo(1).
Gamma Random Variable
A continuous r.v. whose density is given by
( −λx α−1
λe (λx)
Γ(α) , x >0
f (x) =
0, x ≤0
for some α > 0, λ > 0 is said to be a gamma r.v. with parameters α, λ,

denoted by X ∼ Gamma(α, λ). The quantity Γ(α) is called the gamma
function and is defined by
Z∞
Γ(α) = e −x x α−1 dx.
0
Of course Γ(n) = (n − 1)!, n ∈ N.
Q: Notice that Gamma(1, λ) ∼ Expo(λ).

Normal Random Variable
Definition
We say that X is a normal random variable (or simply that X is normally
distributed) with parameters µ and σ 2 , denoted by X ∼ N µ, σ 2 , if the

density of X is given by
1 (x−µ)2
f (x) = √ e − 2σ2 , − ∞ < x < ∞.
2πσ
Q: If µ = 0 and σ = 1 then check the validity of the PDF.
Z∞ 2
Z∞ 2
Z∞ Z∞ 2 2
Z2π Z∞
r2
− x2 − y2 − x +y
e dx e dy = e 2 dxdy = e − 2 rdrdθ
−∞ −∞ −∞ −∞ 0 0
Z2π Z∞ Z2π
 
−u
=  e du dθ = dθ = 2π.

0 0 0
CDF of a normal r.v.
The CDF of N µ, σ 2 is

Zx
1 (t−µ)2
F (x) = √ e − 2σ2 dt.
2πσ
−∞
Check: If X is normally distributed with parameters µ and σ 2 then

Y = αX + β is normally distributed with parameters αµ + β and α2 σ 2 .

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Continuous Random Variables

Dr. Hiranmoy Pal

January 16, 2020

We discuss continuous r.v.s, which can take on any real value in an

An r.v. has a continuous distribution if its CDF is differentiable. We also

The function f is called the probability density function of the random

The function f is called the probability density function of the random

• P (a ≤ X ≤ b) = P (a < X ≤ b) = P (a ≤ X < b) = P (a < X < b) .

1 F (x) is non-decreasing. 4 P(a < X ≤ b) = F (b) − F (a).

1 What is the value of C ?

Note that f (x) is indeed a PDF.

Note that f (x) is indeed a PDF.

If X is uniformly distributed over (0, 10), calculate the probability that

If X is uniformly distributed over (0, 10), calculate the probability that

Q: Find the CDF of a exponential r. v. X with parameter λ.

Q: Find the CDF of a exponential r. v. X with parameter λ.

Q: Find the CDF of a exponential r. v. X with parameter λ.

for some α > 0, λ > 0 is said to be a gamma r.v. with parameters α, λ,

Of course Γ(n) = (n − 1)!, n ∈ N.

Q: Notice that Gamma(1, λ) ∼ Expo(λ).

Check: If X is normally distributed with parameters µ and σ 2 then

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