Continuous Probability Distributions

A continuous random variable has a probability of 0 of assuming exactly any of its values.
P(a < X ≤ b) = P(a < X < b) + P(X = b) = P(a < X < b).
Consequently, its probability distribution cannot be given in tabular form but it can be stated as a
formula. In dealing with continuous variables, f(x) is usually called the probability density
function, or simply the density function, of X.
A probability density function is constructed so that the area under its curve bounded by the x axis
is equal to 1 when computed over the range of X for which f(x) is defined.
b
P(a < X < b) = ∫ f ( x)dx
a

Definition: The function f(x) is a probability density function (pdf) for the continuous random
variable X, defined over the set of real numbers, if

1. f(x) ≥ 0, for all x ∈ R.

∞

2. ∫
−∞
f ( x)dx = 1.
b
3. P(a < X < b) = ∫ f ( x)dx .
a

Mathematical Expectation (Mean of a Random Variable)

Definition: Let X be a random variable with probability distribution f(x). The mean, or expected
value, of X is
∞

μ = E(X) = ∫ xf ( x)dx if X is continuous.

−∞

Theorem: Let X be a random variable with probability distribution f(x). The expected value of the
random variable g(X) is
∞
μ g(X) = E[g(X)] = ∫ g ( x) f ( x)dx if X is continuous.
−∞

Also, if a and b are constants, then

E(aX ± b) = aE(X) ± b.
PHM111s - Probability and Statistics
Variance of Random Variables
Definition: Let X be a random variable with probability distribution f(x) and mean μ. The variance
of X is
∞
σ = E[(X − μ) ] = ∫ ( x − µ ) 2 f ( x)dx, if X is continuous.
2 2
−∞

Theorem: The variance of a random variable X is σ 2 = E(X2) − μ2.

Theorem: Let X be a random variable with probability distribution f(x). The variance of the
random variable g(X)
∞
is σ g2( X ) = E{[ g ( X ) − µ g ( X ) ]2 } = ∫ [g( X ) − µ g(X )
]2 f ( x)dx if X is continuous.
−∞

Example 10.1: Suppose that the error in the reaction temperature, in ◦C, for a controlled
laboratory experiment is a continuous random variable X having the probability
density function
 x2
 , − 1 < x < 2,
f(x) =  3
 0, elsewhere.
(a) Verify that f(x) is a density function.
(b) Find P(0 < X ≤ 1).
(c) The expected value of g(X) = 4X + 3
(d) The variance of the random variable g(X).
Solution:
(a) Obviously, f(x) ≥ 0. To verify condition 2 in the previous definition, we have
∞ 2
x2 x3 2 8 1
∫ f ( x)dx = −∫1 3 dx = 9 |−1 = 9 + 9 = 1.
−∞
1
x2 x3 1 1
(b) P(0 < X ≤ 1) = ∫ = dx = |0 .
0 3 9 9
2
(4x + 3) x 2 12 3
(c) E(4X + 3) = ∫ dx = ∫ (4x + 3x 2 )dx = 8.
−1 3 3 −1
Or simply,
E(4X +3) = 4E(X) + 3.
Now
2
x2 2
x3 5
E(X) = ∫ x( = )dx ∫ = dx .
−1 3 −1 3 4
Therefore,

PHM111s - Probability and Statistics

  5
E(4X +3) = (4)   + 3 =8, as before.
 4
(d) σ 42=
X +3
Var(4 X +=
3) E{[(4 X + 3) − 8]=
2
} E[(4 X − 5) 2 ]
2
x2 12 51 51
= ∫ (4 x − 5) 2
dx = ∫ (16 x 4 − 40 x 3 + 25 x 2 )dx = . ⇒ σ = .
−1 3 3 −1 5 5

Or simply,
Var(4X +3) = 16Var(X)
5
E(X) =
4
2
2
2 x
2
x4 11
E(X ) = ∫ x ( =
2 )dx ∫ = dx .
−1 3 −1 3 5
2
11  5  51
σ = −  = .
2

5  4  80
51 51 51
⇒ Var(4X +3) = 16Var(X)
= 16( =) ⇒σ= .
80 5 5

Example 10.2: Suppose that X is a continuous random variable whose probability density
function is given by
 C (4 x − 2 x 2 ) 0< x< 2
f (x) = 
0 otherwise
(a) What is the value of C?
(b) Find P(X > 1).
Solution:
∞

(a) Since f is a probability density function, we must have ∫

−∞
f ( x)dx = 1, implying that
2

C ∫ (4 x − 2 x 2 )dx =
1
0

or
2 x3 x= 2
C[2 x 2 − ] |x = 0 =
1
3
or
3
C=
8
Hence,
∞
32 1
(b) P(X > 1) = ∫
1
f ( x)dx = ∫ (4 x − 2 x 2 )dx =
81 2

PHM111s - Probability and Statistics

Example 10.3: The amount of time in hours that a computer functions before breaking down is a
continuous random variable with probability density function given by
 λ e − x /100 x≥0
f (x) = 
0 x<0
(a) Find λ.
(b) What is the probability that a computer will function between 50 and 150 hours before
breaking down?
(c) What is the probability that it will function for fewer than 100 hours?
Solution:
∞ ∞

(a)=
Since 1 f ( x)dx λ ∫ e − x /100 dx
∫=
−∞ 0

1
we obtain − λ (100)e − x /100 |0∞ ==
1= 100λ or λ
100
150
1
(b) P(50 < X < 150) = ∫ 100 e
− x /100
dx = − e − x /100 |150
50
= e −1/2 − e −3/2 ≈ 0.384
50
100
1 − x /100
(c) Similarly, P(X < 100) = ∫0 100 e dx = − e − x /100 |100
0
=
1 − e −1 ≈ 0.633
In other words, approximately 63.3 % of the time, a computer will fail before registering 100
hours of use.

Example 10.4: The lifetime in hours of a certain kind of radio tube is a random variable having a
probability density function given by
0 x < 100

f (x) =  100
 x ≥ 100
 x2
What is the probability that exactly 2 of 5 such tubes in a radio set will have to be
replaced within the first 150 hours of operation? Assume that the events E i , i = 1, 2,
3, 4, 5, that the ith such tube will have to be replaced within this time are
independent.
Solution:
From the statement of the problem, we have
150

P(E i ) = ∫0
f ( x)dx
150
1
= 100
= ∫ x dx
−2

100 3
Hence, from the independence of the events E i , it follows that the desired probability is
 5 1   2 
2 3
80
 2    =
   3   3  243
PHM111s - Probability and Statistics
Example 10.7: Let X be the random variable that denotes the life in hours of a certain electronic
device. The probability density function is
 20,000
 , x > 100,
f(x) =  x 3
 0, elsewhere.
Find the expected life of this type of device.

Solution:
∞ ∞
20,000 20,000
μ = E(X) =
∫100 x3
=
x dx ∫100= dx 200.
x2
Definition: The cumulative distribution function F(x) of a continuous random variable X with
density function f(x) is
x

F(x) = P(X ≤ x) = ∫
−∞
f (t )dt , for − ∞ < x < ∞.

1. 0 ≤ F(x) ≤ 1.

2. F(−∞) = 0 and F(∞) = 1

3. P(X<a) = F(a) and 4. P(X >a) =1− F(a).

As an immediate consequence of this definition, one can write the two results

dF ( x )
5. P(a < X < b) = F(b) − F(a) and 6. f(x) = dx
if the derivative exists.
 x2
 , − 1 < x < 2,
Example 10.5: For the density function f(x) =  3 , find F(x), and use it to evaluate
 0, elsewhere.
P(0 < X ≤1).
Solution:
x

For x < −1, F(x) = ∫

−∞
f (t )dt = 0.
x
t2 x
t 3 x x3 + 1
For −1 ≤ x < 2, F(x) = ∫ f (t=
)dt ∫ = dt = |−1 .
−∞ −1 3 9 9
x 2 2
t
For x ≥ 2, F(x) = ∫ f (t )dt = 0 + ∫ dt + 0 = 0 + 1 + 0 = 1.
−∞ −1 3

Therefore,

PHM111s - Probability and Statistics

  0, x < −1,
 3
x +1
F(x) =  , − 1 ≤ x < 2,
 9
1, x ≥ 2.
The cumulative distribution function F(x) is expressed in the following figure. Now

2 1 1
P(0 < X ≤ 1) = F(1) − F(0) = − =,
9 9 9

 x2
dF ( x )  , − 1 < x < 2,
note, f(x) = dx =  3
 0, elsewhere.

PHM111s - Probability and Statistics