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8: Continuous Random Variables and Probability Density Functions

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Āñīn Abrìtí Wåri
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12 views20 pages

8: Continuous Random Variables and Probability Density Functions

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Āñīn Abrìtí Wåri
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© © All Rights Reserved
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LECTURE 8: Continuous random variables and probability density functions

• Probability density functions


Properties
Examples
• Expectation and its properties
The expected value rule
Linearity
• Variance and its properties
• Uniform and exponential random variables
• Cumulative distribution functions

• Normal random variables


- Expectation and variance
Linearity properties
- Using tables to calculate probabilities
P obab· -ty dens·ty fi nctions (PDFs)

( .) ~ ~

,_
,...

P(a ~ X ~ b) =
X '.
L
a<x<b
Px(x) (a< X < b) - .lbfx(x) dx
Px(x) >0 LPx(x)
,x
-1 fx(x) >O J:! (x)dx 1

Defin ..tion: A random variable is co t1nuous f - ca be escr· ed by a 1


p F
P obab· -ty dens·ty fi nctions (PDFs)

P(a < X < a+ l)) ~ f x(a) ·8


P(a < < b) - .lbfx(x) dx

fx(x) >
P(X =a)= 0
J:Jx(x)dx -
' ( ) ~ '

·-
~

E[X] - Lxpx(x) E[X ' - J:xfx(x)dx


X

• In erpretation. Average 1n arge number


of indepe dent repetitions of the experiment Assume J:
Fine print:
lxlf x(x) dx < oo
P oper -es of expectations

• If X > . then E[X] >


• If a < X < b, t en a < [X] < b

• Expected value rule:


[g(X) - J:g(x fx(x) dx
E[g(X)] = Lg(x)px(x)
X

• Linearity
E aX + b = aE [ ] b
• Definit·on o variance: var(X) - E[(X - µ) 2 1

• Calcu ation us·ng he expected value rule, E g(X)] - 1-:g(x)fx(x) dx

var(X)

Standard deviation: ax = ✓var(X)

var(a b) = a 2 var(X)

A useful formula: var(X) - E x2 - ( [X] 2


Exponent-a random va -able: pa ameter A > o

' -AX ,
AB x>O
fx(x) = 0, x<O

fx
1
123456789 k

var( )
C mu ative d-stribut-on unction (CD )
1/2
Px(k) -~

CDF defin- ion· x(x) - P(X < x) 1/4 1/4

• Discre e random va ·ables. 1 2 3 4 k

k<x
Fx(x)

1 2 3 4 X
General CDF properties

Fx(x) = P(X < x)

• Non-decreasing

• Fx(x) tends to 1, as x---+ oo

• Fx(x) tends to 0, as x---+ -oo


Norma (Gaussian) random variables

• Important in the theory of probability

- Central limit theorem

• Prevalent in applications
- Convenient analytical properties

- Model of noise consisting of many, small independent noise terms


Standard normal (Gaussian) random variables

2
• Standard normal N(O, 1): fx(x) = ~e-x
21r
/
2

• E[X] =

• var(X) =1
General normal (Gaussian) random va,riables

2
• General normal N(µ,u 2 ): fx(x) = ~e 2
- (x - µ)2 / a
a 21r -1 I

• E[X] -

• var(X) = u2
Linea unctio s of a norm I andom vari e

• Let Y - aX b X rv N(µ,a 2 )

EY -

Var(Y) =

• Fact (will prove later i th·s course): • Special case: a= O?

Y rv N(aµ b, a2 a 2 )
Sta da d no ma ta
1
es

• No closed form avai able for CD

but have ables, for the standard normal I.


o.-

..
.1

I I

2
Standardizing a random variable

• Let X have mean µ and variance u 2 >O

• Let Y = _X _-_ µ
a

• If also X is normal, then:


Cale lat- g no ma pro ab· -t-es

• Express an event of ·nterest


in erms of standard no mal
I.
o.-

..
.1

I I

2
MIT OpenCourseWare
https://ocw.mit.edu

Resource: Introduction to Probability


John Tsitsiklis and Patrick Jaillet

The following may not correspond to a particular course on MIT OpenCourseWare, but has been provided by the author as an individual learning resource.

For information about citing these materials or our Terms of Use, visit: https://ocw.mit.edu/terms.

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