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Eng Lecture 30 - Continuous Random Variables

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17 views

Eng Lecture 30 - Continuous Random Variables

Uploaded by

QWERTYUIOP
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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You are on page 1/ 10

Probability Theory and Statistics 114

Prof. Willie Brink


Applied Mathematics, Stellenbosch University

Lecture 30
Continuous random variables

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Previously...

Area under the curve of f (x), between x = a and x = b :


Z b
A= f (x) dx
a

Fundamental theorem of calculus :


Z b
f (x) dx = F (b) − F (a) with F (x) the antiderivative of f (x)
a

Improper integration :
Z ∞ Z b
e.g. f (x) dx = lim f (x) dx
a b→∞ a

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5.1 Introduction to continuous random variables

A discrete random variable is defined by


a discrete (countable) set of possible values, and
a probability associated with each of those values.

A continuous random variable is defined by


a continuous (uncountable) set of possible values, and
a probability density function associated with that set.

Examples of continuous random variables


• the time a train arrives at a specific station
• the lifetime of a transistor
• the weight of a cat

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Probability density function

A probability density function f (x) associated with a continuous random variable X


has the following properties:

• f (x) ≥ 0 for all x ∈ (−∞, ∞)

Z b y
• P{a ≤ X ≤ b} = f (x) dx
a
Z ∞
• P{−∞ < X < ∞} = f (x) dx = 1 y = f (x)
−∞

a b x

continue on the next slide...


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Probability density function

Z a
Note that P{X = a} = f (x) dx = 0
a

so the probability that X takes on any specific value a is zero.

But also note that. . .


1
Z a+ 2 ε
1 1
P{a − 2ε ≤X ≤a+ 2 ε} = f (x) dx ≈ ε f (a) (why?)
1
a− 2 ε

so f (a) gives an indication of how relatively likely it is that X is near a.

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Example 1a

X is a continuous random variable with the following probability density function :


(
C (4x − 2x 2 ), 0 < x < 2
f (x) =
0, otherwise

(a) What is the value of C ?

Z ∞
f (x) dx = 1
−∞
Z 2
∴ C (4x − 2x 2 ) dx = 1
0

3
∴ C=
8

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Example 1a

X is a continuous random variable with the following probability density function :


(
3 2
8 (4x − 2x ), 0 < x < 2
f (x) =
0, otherwise

(b) Find P{X > 1}.

Z ∞
P{X > 1} = f (x) dx
1
Z 2
= 3
8 (4x − 2x 2 ) dx
1

= 0.5

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Example 1b

The amount of time (in hours) that a computer functions is modelled by a continuous random
variable X , with probability density function
(
λe −x/100 , x ≥ 0
f (x) =
0, x <0

(a) Find the value of λ that makes f (x) a valid density function.

Z ∞
f (x) dx = 1
−∞
Z ∞
∴ λe −x/100 dx = 1
0

1
∴ λ=
100

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Example 1b

The amount of time (in hours) that a computer functions is modelled by a continuous random
variable X , with probability density function
(
1 −x/100
100 e , x ≥0
f (x) =
0, x <0

(b) Probability that the computer will function between 50 and 150 hours?

Z 150
P{50 ≤ X ≤ 150} = f (x) dx
50

Z 150
1 −x/100
= 100 e dx
50

= 0.3834

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Example 1b

The amount of time (in hours) that a computer functions is modelled by a continuous random
variable X , with probability density function
(
1 −x/100
100 e , x ≥0
f (x) =
0, x <0

(c) Probability that the computer will function for less than 100 hours?

Z 100
P{X < 100} = f (x) dx
−∞

Z 100
1 −x/100
= 100 e dx
0

= 0.6321

10/10

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