8/17/2021 Solved problems | Continuous random variables

4.1.4 Solved Problems:

Continuous Random Variables

Problem 1

Let X be a random variable with PDF given by

2
cx |x| ≤ 1
fX (x) = {
0 otherwise

a. Find the constant c .

b. Find E X and Var(X).
c. Find P (X ≥ 12 ).

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

1
2
= ∫ cu du
−1

2
= c.
3

Thus, we must have c = 3 .

2

b. To find E X , we can write

1
EX = ∫ ufX (u)du
−1

3 1
3
= ∫ u du
2 −1

= 0.

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

3 1
4
= ∫ u du
2 −1

3
= .
5

c. To find P (X ≥
1
), we can write
2

1
1 3 7
2
P (X ≥ ) = ∫ x dx = .
2 2 1
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)

2
= P (X ≤ y)

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8/17/2021 Solved problems | Continuous random variables

= P (−√y ≤ X ≤ √y)

√y 1 −|x|
= ∫− e dx
√y 2

√y −x
= ∫ e dx
0
−√y
= 1−e .

Thus,
−√y
1−e y ≥ 0
FY (y) = {
0 otherwise

Problem 3

Let X be a continuous random variable with PDF

3
4x 0 < x ≤ 1
fX (x) = {
0 otherwise

2 1
Find P (X ≤ |X > ).
3 3

Solution

We have
1 2
P( <X≤ )
2 1 3 3
P (X ≤ |X > ) = 1
3 3
P (X> )
3

3 3
∫ 4x dx
1

3
= 1
3
∫ 1 4x dx
3

3
= .
16

Problem 4

Let X be a continuous random variable with PDF

2 3
x (2x + ) 0 < x ≤ 1
2
fX (x) = {
0 otherwise

2
If Y =
X
+ 3, find Var(Y ).

Solution

First, note that

2 1
Var(Y ) = Var ( + 3) = 4Var ( ), using Equation 4.4
X X

Thus, it suffices to find Var( 1

) = E[
1
2
] − (E [
1
])
2
. Using LOTUS, we have
X X X

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

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

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

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8/17/2021 Solved problems | Continuous random variables

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

Problem 5

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

Solution

We have
∞

P (X ≥ x) = ∫ fX (t)dt.
x

Thus, we need to show that

∞ ∞

∫ ∫ fX (t)dtdx = E X.
0 x

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

∞ ∞ ∞ t
∫ ∫ fX (t)dtdx = ∫ ∫ fX (t)dxdt
0 x 0 0

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8/17/2021 Solved problems | Continuous random variables
∞ t
= ∫ fX (t) (∫ 1dx) dt
0 0

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

Problem 6

Let X ∼ U nif orm(−

π
, π) and Y = sin(X) . Find fY (y) .
2

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
π
g(x) = sin(x) over [− 2 , 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: x 1 = arcsin(y), and x 2 = π − arcsin(y). If
y ∈ (−1, 0) we have one solution, x 1 = arcsin(y) . Thus, for y ∈ (−1, 0) , we have

fX (x1 )
fY (y) =
′
|g (x1 )|

fX (arcsin(y))
=
| cos(arcsin(y))|

3π
= .
2
√1−y

For y ∈ (0, 1) , we have

fX (x1 ) fX (x2 )
fY (y) = +
′ ′
|g (x1 )| |g (x2 )|

fX (arcsin(y)) fX (π−arcsin(y))
= +
| cos(arcsin(y))| | cos(π−arcsin(y))|

2 2

3π 3π
= +
2 2
√1−y √1−y

4
= .
2
3π√1−y

To summarize, we can write

2
⎧
⎪ −1 < y < 0
2
⎪
⎪
3π√1−y

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

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