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Continuous Random Variables Notes

A continuous random variable can take any value within a specified interval rather than discrete values. It is defined by its probability density function f(x) over the interval. The total area under the probability density function graph f(x) is equal to 1. The probability that a continuous random variable X is between values x1 and x2 is given by the area under the curve between those values. Key properties of a continuous random variable X with density f(x) are that f(x) must be greater than or equal to 0 over the interval, and the total area under f(x) from negative to positive infinity must be 1.

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Catherine Low
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30 views

Continuous Random Variables Notes

A continuous random variable can take any value within a specified interval rather than discrete values. It is defined by its probability density function f(x) over the interval. The total area under the probability density function graph f(x) is equal to 1. The probability that a continuous random variable X is between values x1 and x2 is given by the area under the curve between those values. Key properties of a continuous random variable X with density f(x) are that f(x) must be greater than or equal to 0 over the interval, and the total area under f(x) from negative to positive infinity must be 1.

Uploaded by

Catherine Low
Copyright
© © All Rights Reserved
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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Continuous Random Variable

y
y=f ( x )

a x1 x2 b x
A continuous random variable cannot take precise values but can only be given within a specified
interval. It usually arises from measuring a characteristic such as time, mass or length. Examples are
the time between cars passing a checkpont. The error made by scales when weighing potatoes, the
length of leaves on a particular type of brush.

A continuous random variable X is defined by its probability density function f(x), together with the
values between which the function is valid, for example a< x<b .

Probability function is usually used for discrete random variable, whereas probability density
function is usually used for continuous random variablw.

Area beneath the graph of y = f(x) represent probabilities, so P(x 1 ≤ x ≤ x 2) is equal to the area
beneath the graph between x=x 1 and x=x 2.

The total area beneath the graph of y=f(x) is 1

A continuous random variable X, with a probability density function f(x) satisfies the following
conditions.

(a) f ( x ) ≥0 for a ≤ x ≤ b (all values of x) , since prob ≥ 0, the graph of f must never fall below
the x-axis. ( in the interval −∞ < x <∞ ¿

(b) Any function f can serve as a density of a continuous random variable X if it satisfied the
∞
condition that ∫ f ( x ) dx=1
−∞

(c) If X is a continuous random variable, including or excluding the end- points of the interval
will not change the probability that X falls within the interval.

P ( x1≤ X ≤ x2)
= P( x 1 < X < x 2)
= P ( x 1< X ≤ x 2 )
= P ( x1 ≤ X < x2 )
x2

= ∫ f ( x ) dx
x1
= area under the curve.
Cumulative distribution function
(a) Cumulative distribution function F(x) of the continuous random variable X is
F ( x )=P ( X ≤ x )
Thus
F ( x )=P ( X ≤ x )

x
= ∫ f ( x ) dx
−∞

Hence P (a ≤ X ≤ b )
= P ( X ≤b )−P ( X ≤ a )
= F(b) – F(a)

(b) If F(x) is distributed in the range a ≤ x ≤ b only, the F(a)=0 and F(b) =1

(c) P ( X > x )=1−P (X ≤ x )


=1−F (x)

(d) If the cumulative distribution function F(x) of a continuous random variable X is given,
then its pdf can be obtained as follows
d
f ( x )= F (x)
dx
Convert pdf to cdf through integration

Mean or expected value


∞
E ( X ) =∫ xf ( x ) dx
−∞
∞
Expected values of X 2 = E(x 2 ) = ∫ x f ( x ) dx
2

−∞

Median
If m is the median of X, then
1
P ( X ≤m )=F ( m )= . This means that
2
m ∞

∫ f ( x ) dx=∫ f ( x ) dx m= 12
−∞ m

Mode
The probability density function f(x) curve has a mode, i.e. when f(x) has a
maximum value. m is the modal value if f ' ( m )=0∧f ' ' <0.
If the continuous random variable X is distributed uniformly in the range
a ≤ x ≤ b, then the prob density function of X is given by
1
f ( x )= , a≤ x≤b
b−a
1
And E(X) = ( a+b)
2
1 2
Var(X) = (b−a)
12

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