SPECIAL CONTINUOUS RANDOM VARIABLES

The Uniform Random Variable

 1 
 b−a , a < x ≤ b  0, x≤a
x−a
f (x) = , F (x) = b−a
, a<x≤b
0 , otherwise 1, x>b
 
f(x) F(x)
1
___ 1
b−a

F(x1)

F(x2)

x x
a x1 x2 b a x1 x2 b

(Already introduced earlier for the special case a = 0, b = 1 .)

187
EXERCISE :

Show that the uniform density function

1

 b−a
, a<x≤b
f (x) =
0, otherwise


has mean
a+b
µ = ,
2

and standard deviation

b−a
σ = √ .
2 3

188
The Exponential Random Variable
 −λx 
 λe , x>0  1 − e−λx , x > 0
f (x) = , F (x) =
0, x≤0 0, x≤0
 
with
R∞ −λx 1
E[X] = µ = 0
x λe dx = λ
( Check ! ) ,

2
R∞ 2
E[X ] = 0
x2 λe−λx dx = λ2
( Check ! ) ,

1
V ar(X) = E[X 2 ] − µ2 = λ2
,
p 1
σ(X) = V ar(X) = λ
.

NOTE : The two integrals can be done by “integration by parts ”.

EXERCISE : (Done earlier for λ = 1) :

Also use the Method of Moments to compute E[X] and E[X 2 ] .

191
The Standard Normal Random Variable

The standard normal random variable has density function

1 − 12 x2
f (x) = √ e , −∞ < x < ∞ ,
2π
with mean
Z ∞
µ = x f (x) dx = 0 , ( Check ! )
−∞

Since
Z ∞
E[X 2 ] = x2 f (x) dx = 1 , ( more difficult · · · )
−∞

we have

V ar(X) = E[X 2 ] − µ2 = 1 , and σ(X) = 1 .

196
 1 − 12 x2
f (x) = √ e
2π
0.40

0.35

0.30

0.25
f (x)

0.20

0.15

0.10

0.05

0.00
−4 −3 −2 −1 0 1 2 3 4
x
The standard normal density function f (x) .

197
 The Standard Normal Distribution Φ(z)
z Φ(z) z Φ(z)
0.0 .5000 -1.2 .1151
-0.1 .4602 -1.4 .0808
-0.2 .4207 -1.6 .0548
-0.3 .3821 -1.8 .0359
-0.4 .3446 -2.0 .0228
-0.5 .3085 -2.2 .0139
-0.6 .2743 -2.4 .0082
-0.7 .2420 -2.6 .0047
-0.8 .2119 -2.8 .0026
-0.9 .1841 -3.0 .0013
-1.0 .1587 -3.2 .0007

( For example, P (Z ≤ −2.0) = Φ(−2.0) = 2.28% )

QUESTION : How to get the values of Φ(z) for positive z ?

199
The General Normal Random Variable

The general normal density function is

1 − 21 (x−µ)2 /σ 2
f (x) = √ e
2π σ

where, not surprisingly,

E[X] = µ ( Why ? )

One can also show that

V ar(X) ≡ E[(X − µ)2 ] = σ2 ,

so that σ is in fact the standard deviation .

201
To compute the mean of the general normal density function
1 − 21 (x−µ)2 /σ 2
f (x) = √ e
2π σ
consider
Z ∞
E[X − µ] = (x − µ) f (x) dx
−∞

∞
1
Z
− 12 (x−µ)2 /σ 2
= √ (x − µ) e dx
2π σ −∞

−σ 2 − 12 (x−µ)2 /σ 2
∞
= √ e = 0.
2π σ −∞

Thus the mean is indeed

E[X] = µ .

203
NOTE : If X is general normal we have the very useful formula :
X −µ
P( ≤ c ) = Φ(c) ,
σ
i.e., we can use the Table of the standard normal distribution !

PROOF : For any constant c we have

µ+cσ
X −µ 1
Z
− 12 (x−µ)2 /σ 2
P( ≤ c) = P (X ≤ µ+cσ) = √ e dx .
σ 2π σ −∞

Let y ≡ (x − µ)/σ , so that x = µ + yσ .

Then the new variable y ranges from −∞ to c , and

(x − µ)2 /σ 2 = y 2 , dx = σ dy ,
so that c
X −µ 1
Z
− 12 y 2
P( ≤ c) = √ e dy = Φ(c) .
σ 2π −∞
( the standard normal distribution )

204
The Chi-Square Random Variable

Suppose X1 , X2 , · · · , Xn ,
are independent standard normal random variables.

Then χ2n ≡ X12 + X22 + · · · + Xn2 ,

is called the chi-square random variable with n degrees of freedom.

We will show that

√
E[χ2n ] = n , V ar(χ2n ) = 2n , σ(χ2n ) = 2n .

NOTE :
2
The in χ2n is part of its name , while 2
in X12 , etc. is “power 2 ” !

206
If n = 1 then
χ21 ≡ X12 , where X ≡ X1 is standard normal .
We can compute the moment generating function of χ21 :
Z ∞
tχ21 tX 2 1 tx2 − 12 x2
E[e ] = E[e ] = √ e e dx
2π −∞
∞
1
Z
− 12 x2 (1−2t)
= √ e dx
2π −∞

Let
1 1
1 − 2t = 2 , or equivalently , σ̂ ≡ √ .
σ̂ 1 − 2t
Then
∞
1 1
Z
tχ21 − 12 x2 /σ̂ 2
E[e ] = σ̂ · √ e dx = σ̂ = √ .
2π σ̂ −∞ 1 − 2t
(integral of a normal density function)

208
Thus we have found that :

The moment generating function of χ21 is

tχ21 1
ψ(t) ≡ E[e ] = √ ,
1 − 2t

with which we can compute

E[χ21 ] = ψ ′ (0) = 1, ( Check ! )

E[(χ21 )2 ] = ψ ′′ (0) = 3, ( Check ! )

V ar(χ21 ) = E[(χ21 )2 ] − E[χ21 ]2 = 2.

209
We found that

E[χ21 ] = 1 , V ar(χ21 ) = 2 .

In the general case where

χ2n ≡ X12 + X22 + · · · + Xn2 ,
we have

E[χ2n ] = E[X12 ] + E[X22 ] + · · · + E[Xn2 ] = n ,

and since the Xi are assumed independent ,

V ar[χ2n ] = V ar[X12 ] + V ar[X22 ] + · · · + V ar[Xn2 ] = 2n ,

and √
σ(χ2n ) = 2n .

210
 THE CENTRAL LIMIT THEOREM

The density function of the Chi-Square random variable

χ2n ≡ X̃1 + X̃2 + · · · + X̃n ,

where

X̃i = Xi2 , and Xi is standard normal, i = 1, 2, · · · , n ,

starts looking like a normal density function when n gets large.

• This remarkable fact holds much more generally !

• It is known as the Central Limit Theorem (CLT).

212
RECALL :

If X1 , X2 , · · · , Xn are independent, identically distributed ,

each having

mean µ , variance σ 2 , standard deviation σ ,

then
S ≡ X1 + X2 + · · · + Xn ,
has
mean : µS ≡ E[S] = nµ ( Why ? )

variance : V ar(S) = nσ 2 ( Why ? )

√
Standard deviation : σS = nσ

NOTE : σS gets bigger as n increases ( and so does | µS | ).

213
THEOREM (The Central Limit Theorem) (CLT) :

Let X1 , X2 , · · · , Xn be identical, independent random variables,

each having

mean µ , variance σ 2 , standard deviation σ .

Then for large n the random variable

S ≡ X1 + X2 + · · · + Xn ,
2
√
( which has mean nµ , variance n σ , standard deviation nσ)

is approximately normal .

S − nµ
NOTE : Thus √ is approximately standard normal .
nσ

214
EXAMPLE : Recall that
χ2n ≡ X12 + X22 + · · · + Xn2 ,

where each Xi is standard normal, and (using moments) we found

2
√
χn has mean n and standard deviation 2n .

The Table below illustrates the accuracy of the approximation

r
2 ∼ 0−n n
P ( χn ≤ 0 ) = Φ( √ ) = Φ(− ).
2n 2
pn pn
n − 2 Φ(− 2 )
2 −1 0.1587
8 −2 0.0228
18 −3 0.0013

QUESTION : What is the exact value of P (χ2n ≤ 0) ? (!)

215
RECALL :

If X1 , X2 , · · · , Xn are independent, identically distributed ,

each having

mean µ , variance σ 2 , standard deviation σ ,

then
1
X̄ ≡ (X1 + X2 + · · · + Xn ) ,
n
has
mean : µX̄ = E[X̄] = µ ( Why ? )

2 1
variance : σX̄ = n2
nσ 2 = σ 2 /n ( Why ? )
√
Standard deviation : σX̄ = σ/ n

NOTE : σX̄ gets smaller as n increases.

217
COROLLARY (to the Central Limit Theorem) :

If X1 , X2 , · · · , Xn be identical, independent random variables,

each having

mean µ , variance σ 2 , standard deviation σ ,

then for large n the random variable

1
X̄ ≡ (X1 + X2 + · · · + Xn ) ,
n
σ2 σ
( which has mean µ , variance , standard deviation √ )
n n
is approximately normal .

X̄ − µ
NOTE : Thus √ is approximately standard normal .
σ/ n

218
EXAMPLE : Suppose X1 , X2 , · · · , Xn are
identical , independent , uniform random variables ,
each having density function
1
f (x) = , for x ∈ [−1, 1] , ( 0 otherwise ) ,
2
with 1
mean µ = 0 , standard deviation σ = √ ( Check ! )
3

Then for large n the random variable

1
X̄ ≡ (X1 + X2 + · · · + Xn ) ,
n
with
1
mean µ = 0 , standard deviation σ = √ ,
3n
is approximately normal , so that
x−0 √
∼ ∼
P (X̄ ≤ x) = Φ( √ ) = Φ( 3n x ) .
1/ 3n

219