Continuous random variables and probability

densities

Chapter:4(5marks final exam)

 Continuous random variables

• A random variable X is said to be continuous if it takes

infinitely many values with a range of interval. For example;
electric voltage, amount of rain fall, time, temperature,
height, weight, length etc. are continuous process and
measured within a range of interval so these are considered
as continuous random variables.
 Probability density function
• Let X be a continuous random variable then a function f(x) such as
𝒃
P(a≤x≤b)= 𝒂
𝒇 𝒙 𝒅𝒙 is said to
be probability density of X if it f(x)
satisfies the following two
properties:
(i) f(x)≥0 and
∞
(ii) −∞
𝒇 𝒙 𝒅𝒙 = 𝟏
f(a) f(b)

a b
 Cumulative distribution function:

Let X be a continuous random variable having probability density function

(pdf) f(x) then a function F(x) is said to be cumulative distribution function
of X and define as,
𝒙
𝑭(𝒙) =P(X≤ 𝒙) = −∞
𝒇 𝒙 𝒅𝒙
Properties:
−∞
(i) F(-∞) = −∞
𝒇 𝒙 𝒅𝒙 = 𝟎
∞
(ii) F(+∞) = −∞
𝒇 𝒙 𝒅𝒙 = 𝟏
(iii) 0≤ 𝑭(𝒙) ≤ 𝟏 F(x)
(iv) F’(x)=f(x) -∞ x
(v) P(a≤ 𝑿 ≤ 𝒃) = 𝑭(𝒃) − 𝑭(𝒂)
Remarks: (i) P(a)=0 (ii) p(a≤X≤b)=p(a≤X<b)=p(a<X≤b)=p(a<X<b)
 Mean and variance of continuous random variable:

Let X be a continuous random variable having it’s probability

density function f(x) then mean of X is denoted by 𝝁
and given by a formula;
∞
𝝁=𝑬 𝑿 = −∞
𝒙𝒇 𝒙 𝒅𝒙
and variance of X is denoted by 𝝈𝟐 𝐨𝐫 𝐕(𝐗) and given by
∞ 𝟐
𝝈𝟐 =V(X)= −∞
𝒙 f(x)dx -𝝁𝟐
 Worked out problems:

1) If the probability density function of a random variable is given by

𝒌𝒙𝟑 𝒇𝒐𝒓 𝟎 < 𝒙 < 𝟏 𝟏 𝟑
f(x)= 𝟎 𝟎𝒕𝒉𝒆𝒓𝒘𝒊𝒔𝒆 . Find the (a) value of k (b) p( ≤ 𝑿 ≤ )
𝟒 𝟒

𝟐
(c)p(X> )
𝟑
(d) Mean and variance.
Solution;
∞ 𝟏 𝟎
(a) We know , −∞
𝒇 𝒙 𝒅𝒙 = 𝟏 or,k( − )=1
𝟒 𝟒
𝟎 𝟏 ∞
Or, −∞
𝒇 𝒙 𝒅𝒙 + 𝟎 𝒇 𝒙 𝒅𝒙 + 𝟏 𝒇 𝒙 𝒅𝒙=1 ∴𝒌=𝟒
𝟏
Or, 0 + 𝟎 𝒌𝒙𝟑 dx + 0 =1
𝟏
𝒌𝒙𝟒
Or, 0 =1
𝟒
 continue

(b)
4 3/4 𝑘 3
3
1 3 𝑘𝑥 1 81 1 80
P( ≤𝑋≤ )= 14 𝑘𝑥 3 dx= = {( )4 -( )4 }=( − ) = =0.3125
4 4 4 1/4 4 4 4 256 256 256
4
(c)
∞ 1 3 ∞ 𝑥4 1 1 16
P(X>2/3)= 2/3
𝑓𝑥 𝑑𝑥= 2/3 𝑘𝑥 dx+ 1 0𝑑𝑥=k =4{ - }=0.8025
4 2/3 4 324
∞ 0 1 ∞
(d)Mean(𝜇)= −∞
𝑥𝑓 𝑥 𝑑𝑥= −∞
𝑥𝑓(𝑥)𝑑𝑥 + 0
𝑥𝑓 𝑥 𝑑𝑥 + 1
𝑥𝑓 𝑥 𝑑𝑥
1
=0 + 0 𝑘𝑥 4 dx + 0
𝑘𝑥 5 1
=
5 0
4
= =0.8
5
 continue

∞ 𝟐
Variance(𝝈 )= −∞ 𝒙 f(x)dx -𝝁𝟐
𝟐

𝟎 𝟏 ∞
= −∞ 𝒙𝟐 𝒇 𝒙 𝒅𝒙 + 𝟎 𝒙𝟐 𝒇(𝒙)dx+ 𝟏 𝒙𝟐 𝒇 𝒙 𝒅𝒙- 𝝁𝟐
𝟏
= 0 + 𝟎 𝒙𝟐 .k𝒙𝟑 dx + 0 - (𝟎. 𝟖)𝟐
𝟏
= 𝟎 𝒌𝒙𝟓 dx -0.64
1
𝒙𝟔
=k - 0.64
𝟔 0
𝟒
= -0.64
𝟔
=0.027
 2. Show that the following function is probability density function:
𝟎 𝒇𝟎𝒓 𝟎 < 𝒙 < 𝟐
𝟏
f(x)= 𝟓 + 𝟐𝒙 𝒇𝒐𝒓𝟐 ≤ 𝒙 ≤ 𝟒
𝟐𝟐
𝟎 𝒇𝒐𝒓 𝒙 > 𝟒

Solution; (i) clearly f(x)≥ 0 𝑓𝑜𝑟 𝑎𝑛𝑦 𝑣𝑎𝑙𝑢𝑒 𝑜𝑓 𝑥.

∞
(ii)Now, −∞
𝑓 𝑥 𝑑𝑥
0 2 4 ∞
= −∞ 𝑓 𝑥 𝑑𝑥 + 0
𝑓 𝑥 𝑑𝑥+ 2
𝑓 𝑥 𝑑𝑥 + 4
𝑓 𝑥 𝑑𝑥
1 4
=0 + 0 + 2 5 + 2𝑥 𝑑𝑥 + 0
22
4
1 2𝑥 2 1
= 5𝑥 + = (36-14)=1
22 2 2 22
Hence f(x) is probability density function of X.
 3. Show that the following is a distribution function:
𝟎 𝒇𝒐𝒓 𝒙 < −𝒂
𝟏
F(x)= 𝒙+𝟏 𝒇𝒐𝒓 − 𝒂 ≤ 𝒙 ≤ 𝒂
𝟐𝒂
𝟎 𝒇𝒐𝒓 𝒙 > 𝒂
• Solution; To show F(x) is a distribution function, it’s derivative should exist
and that derivative should satisfy the properties of pdf of X.
𝟎 𝒇𝒐𝒓 𝒙 < −𝒂
𝟏
Firstly, f(x)=F’(x)= 𝒇𝒐𝒓 − 𝒂 ≤ 𝒙 ≤ 𝒂 . Here derivative of f(x) is exist.
𝟐𝒂
𝟎 𝒇𝒐𝒓 𝒙 > 𝒂
Now it should satisfy the properties of pdf of X.
Clearly, f(x)≥ 𝟎 𝒇𝒐𝒓 𝒂𝒍𝒍 𝒙.
Now
∞ −𝒂 𝒂 ∞
−∞
𝒇 𝒙 𝒅𝒙 = −∞
𝒇 𝒙 𝒅𝒙 + −𝒂
𝒇 𝒙 𝒅𝒙 + 𝒂
𝒇(𝒙)𝒅𝒙
𝒂 𝟏
= 0 +−𝒂 𝟐𝒂
𝒅𝒙 +0
𝟏 a 𝟏
=𝟐𝒂 𝒙 −𝒂 𝟐𝒂(a+a)=1
=
Hence F(x) is cumulative distribution function of X.
 𝒆−𝒙 𝒇𝒐𝒓𝟎 < 𝑿 < ∞
4. If pdf x is f(x)= . Find mean and variance.
𝟎 𝒐𝒕𝒉𝒆𝒓𝒘𝒊𝒔𝒆

Solution;
(i) We know, (ii)
∞ ∞ 𝟐
Mean(𝝁) = −∞
𝒙𝒇 𝒙 𝒅𝒙 Variance(𝝈𝟐 )= −∞
𝒙 𝒇 𝒙 𝒅𝒙 − 𝝁𝟐
𝟎 ∞ 𝟎 𝟐 𝒇 𝒙 𝒅𝒙 + ∞ 𝒙𝟐 𝒇
= −∞
𝒙𝒇 𝒙 𝒅𝒙 + 𝟎
𝒙𝒇 𝒙 𝒅𝒙 = −∞
𝒙 𝟎
𝒙 𝒅𝒙 − 𝝁𝟐
∞ ∞ 𝟐 −𝒙
= 0 + 𝟎 𝒙𝒆−𝒙 dx = 0 + 𝟎 𝒙 𝒆 dx - 1
∞ ∞
= 𝟎 𝒆−𝒙 𝒙𝟐−𝟏 dx = 𝟎 𝒆−𝒙 𝒙𝟑−𝟏 dx -1
=Γ(2) =Γ(3) -1
=(2-1)! =(3-1)! - 1
=1 =2-1
=1
∞ −𝒙 𝒏−𝟏
[∵ 𝟎
𝒆 𝒙 dx=Γ(𝒏)]
 𝟏
−𝟐𝒙𝟐
5.If the pdf of X is f(x)= 𝒆 𝒇𝒐𝒓 𝟎 < 𝑿 < ∞ . Find Mean and
𝟎 𝒐𝒕𝒉𝒆𝒓𝒘𝒊𝒔𝒆
Variance.
6. The diameter say X of an electric cable is assumed to be continuous random variable with
𝟔𝒙 𝟏 − 𝒙 𝒇𝒐𝒓 𝟎 ≤ 𝑿 ≤ 𝟏
pdf as f(x)= .
𝟎 𝒐𝒕𝒉𝒆𝒓𝒘𝒊𝒔𝒆
(a) check above is a pdf. (b)Obtain the expression for cdf of X.
𝟏 𝟏 𝟐
(c)compute p(X≤ / ≤ 𝑿 ≤ ). (d) Determine the number k such that
𝟐 𝟑 𝟑
P(x<k)=p(x>k).
Solution;
(a)Do yourself.
(b)Expression for cdf of X:
We know,
𝒙
𝟎
𝟔𝒙 𝟏 − 𝒙 𝒅𝒙 𝒇𝒐𝒓 𝟎 ≤ 𝑿 ≤ 𝟏
𝒙 𝒙
F(x)= −∞
𝒇 𝒙 𝒅𝒙 = −∞
𝟎(𝒅𝒙) 𝒇𝒐𝒓 𝒙 < 𝟎
𝒙
𝟏
𝒐. 𝒅𝒙 𝒇𝒐𝒓 𝒙 > 𝟏

𝟐 𝟑
= 𝟑𝒙 − 𝟐𝒙 𝒇𝒐𝒓𝟎 ≤ 𝒙 ≤ 𝟏
𝟎 𝒐𝒕𝒉𝒆𝒓𝒘𝒊𝒔𝒆
 continue

𝟏 𝟏 𝟐 𝟏 𝟏 𝟐 𝟏 𝟐
(c)p(X≤ / ≤𝑿≤ )= p(X≤ ∩ ≤ 𝑿 ≤ )/p( ≤𝑿≤ )
𝟐 𝟑 𝟑 𝟐 𝟑 𝟑 𝟑 𝟑
𝟏 𝟏 𝟏 𝟐
=p( ≤ 𝑿 ≤ )/p( ≤ 𝑿 ≤ )
𝟑 𝟐 𝟑 𝟑
𝟏/𝟐
𝟏/𝟑
𝟔𝒙 𝟏−𝒙 𝒅𝒙
= 𝟐/𝟑
𝟏/𝟑
𝟔𝒙 𝟏−𝒙 𝒅𝒙
Now complete yourself. 0

(d)k=? Or, 2p(X<K)=1

𝟏
Since p(x>k)=p(x<k) or, p(X<k)=
𝟐
𝒌 𝟏
or,1-p(x<k)=p(x<k) 0r, 𝟎 𝟔𝒙 𝟏 − 𝒙 𝒅𝒙 =
𝟐
 continue

𝒌 𝟏
Or, 𝟑𝒙𝟐
− 𝟐𝒙𝟑 =
0 𝟐 0
𝟏
Or,3𝒌𝟐 − 𝟐𝒌𝟑 =
𝟐
or.,4𝒌𝟑 − 𝟔𝒌𝟐 + 𝟏 = 𝟎
Or,4𝒌𝟑 − 𝟐𝒌𝟐 − 𝟒𝒌𝟐 + 𝟐𝒌 − 𝟐𝒌 + 𝟏 = 𝟎
Or, 2𝒌𝟐 (2k-1) -2k(2k-1)-1(2k-1)=0
Or,(2k-1)(2𝒌𝟐 -2k-1)=0
Either 2k-1=0 ∴ 𝒌 = 𝟏/𝟐
𝟏± 𝟑
0r, 2𝒌𝟐 -2k-1=0 ∴𝒌=
𝟐