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PDF CDF

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14 views2 pages

PDF CDF

PDF CDF

Uploaded by

Issac Chan
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Probability Density Functions (PDFs)

Recall that continuous random variables have uncountably many possible values (think
of intervals of real numbers). Just as for discrete random variables, we can talk about
probabilities for continuous random variables using density functions.

Note that, unlike discrete random variables, continuous random variables have zero
point probabilities, i.e., the probability that a continuous random variable equals a
single value is always given by 0. Formally, this follows from properties of integrals:

Informally, if we realize that probability for a continuous random variable is


given by areas under pdf's, then, since there is no area in a line, there is no
probability assigned to a random variable taking on a single value. This does not mean
that a continuous random variable will never equal a single value, only that we do
not assign any probability to single values for the random variable. For this reason, we
only talk about the probability of a continuous random variable taking a value in an
INTERVAL, not at a point. And whether or not the endpoints of the interval are included
does not affect the probability. In fact, the following probabilities are all equal:
Cumulative Distribution Functions (CDFs)

The definition of the cdf, which applies to both discrete and continuous random variables.
For continuous random variables we can further specify how to calculate the cdf with a
formula as follows. Let X have pdf f, then the cdf F is given by

In other words, the cdf for a continuous random variable is found by integrating the pdf.
Note that the Fundamental Theorem of Calculus implies that the pdf of a
continuous random variable can be found by differentiating the cdf. This relationship
between the pdf and cdf for a continuous random variable is incredibly useful.

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