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Week 4

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Week 4

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amkslade101
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Statistics for Data Science - 2

Week 4 Notes
Continuous Random Variables

1. Cumulative distribution function:


A function F : R → [0, 1] is said to be a Cumulative Distribution Function (CDF) if
(i) F is a non-decreasing function taking values between 0 and 1.
(ii) As x → −∞, F → 0
(iii) As x → ∞, F → 1
(iv) Technical: F is continuous from the right.

2. CDF of a random variable:


Cumulative distribution function of a random variable X is a function FX : R → [0, 1]
defined as
FX (x) = P (X ≤ x)
Properties of CDF

• FX (b) − FX (a) = P (a < X ≤ b)


• FX is a non-decreasing function of x.
• FX takes non-negative values.
• As x → −∞, FX (x) → 0
• As x → ∞, FX (x) → 1

3. Theorem: Random variable with CDF F(x)


Given a valid CDF F (x), there exists a random variable X taking values in R such
that
P (X ≤ x) = F (x)

• If F is not continuous at x and F (X) rises from F1 to F2 at x (jump at x), then

P (X = x) = F2 − F1

• If F is continuous at x, then
P (X = x) = 0

4. Continuous random variable:


A random variable X with CDF FX (x) is said to be a continuous random variable if
FX (x) is continuous at every x.
Properties of continuous random variables

• CDF has no jumps or steps.


• P (X = x) = 0 for all x.
• Probability of X falling in an interval will be nonzero

P (a < X ≤ b) = F (b) − F (a)

• Since P (X = a) = 0 and P (X = b) = 0, we have

P (a ≤ X ≤ b) = P (a < X ≤ b) = P (a ≤ X < b) = P (a < X < b)

5. Probability density function (PDF):


A continuous random variable X with CDF FX (x) is said to have a PDF fX (x) if, for
all x0 , Z x0
FX (x0 ) = fX (x)dx
−∞

• CDF is the integral of the PDF.


• Derivative of the CDF (wherever it exists) is usually taken as the PDF.
• Value of PDF around fX (x0 ) is related to X taking a value around x0 .
• Higher the PDF, higher the chance that X lies there.

6. For a random variable X with PDF fX , an event A is a subset of the real line and its
probability is computed as Z
P (A) = fX (x)dx
A

Rb
• P (a < X < b) = FX (b) − FX (a) = a
fX (x)dx

7. Density function:
A function f : R → R is said to be a density function if
(i) fR(x) ≥ 0
∞
(ii) −∞ fX (x)dx = 1
(iii) f (x) is piece-wise continuous

8. Given a density function f , there is a continuous random variable X with PDF as f .

9. Support of random variable X


Support of the random variable X with PDF fX is

supp(X) = {x : fX (x) > 0}

• supp(X) contains intervals in which X can fall with positive probability.

Page 2
10. Continuous Uniform distribution:
• X ∼ Uniform[a, b]
• PDF: 
 1 a<x<b
fX (x) = b − a
0 otherwise
• CDF: 

 0 x≤a
x − a
FX (x) = a<x<b

 b−a
1 x≥b

11. Exponential distribution:


• X ∼ Exp(λ)
• PDF: (
λe−λx x>0
fX (x) =
0 otherwise
• CDF: (
0 x≤0
FX (x) =
1 − e−λx x>0
12. Normal distribution:
• X ∼ Normal[µ, σ 2 ]
• PDF:
−(x − µ)2
 
1
fX (x) = √ exp −∞<x<∞
σ 2π 2σ 2
• CDF: Z x
FX (x) = fX (u)du
−∞

• CDF has no closed form expression.


• Standard normal: Z = Normal(0, 1)
 2
1 −z
– PDF: fZ (z) = √ exp −∞<z <∞
2π 2
13. Standardization:
If X ∼ Normal(µ, σ 2 ), then
X −µ
= Z ∼ Normal(0, 1)
σ
14. To compute the probabilities of the normal distribution, convert probability computa-
tion to that of a standard normal.

Page 3

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