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9 views24 pages

CH 55

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Uploaded by

sultan sultan
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Continuous Random Variables

Dr.Rehab Alsultan

Umm AlQura University


[email protected]

September 13, 2024

Dr.Rehab Alsultan (UQU) Probability Theory September 13, 2024 1 / 15


Overview

1 Introduction

2 Concept of a Continuous Random Variable

3 Expectation and Variance of Continuous Random Variables

4 Probability generating function of Continuous Random Variables

5 The Uniform Random Variable

6 Exponential Random Variables

7 Normal Random Variables


The Normal Approximation to the Binomial Distribution

Dr.Rehab Alsultan (UQU) Probability Theory September 13, 2024 2 / 15


Continuous Random Variables

A random variable is a numerical variable whose measured value can


change from one replicate of the experiment to another.

In Chapter 4, we considered discrete random variables that is, random


variables whose set of possible values is either finite or countably
infinite. Examples number of scraches on a surface and proportion of
defective parts among 1,000 tested.

However, there also exist random variables whose set of possible


values is uncountable. Examples are the time that a train arrives at a
specified stop and the lifetime of a transistor.

Dr.Rehab Alsultan (UQU) Probability Theory September 13, 2024 3 / 15


Continuous Random Variables

Let X be such a random variable. We say that X is a continuous


random variable if there exists a nonnegative function f , defined for
all real x ∈ (−∞, ∞), having the property that, for any set B of real
numbers Z
P{X ∈ B} = f (x) dx
B
The function f is called the probability density function of the random
variable X.
In words, states that the probability that X will be in B may be
obtained by integrating the probability density function over the set
B. Since X must assume some value, f must satisfy
Z ∞
P{X ∈ (−∞, ∞)} = f (x) dx = 1
−∞

Dr.Rehab Alsultan (UQU) Probability Theory September 13, 2024 4 / 15


Continuous Random Variables
All probability statements about X can be answered in terms of f .
Letting B = [a, b], we obtain
Z b
P{a ≤ X ≤ b} = f (x) dx
a

If we let a = b , we get
Z a
P{X = a} = f (x) dx = 0
a

In words, this equation states that the probability that a continuous


random variable will assume any fixed value is zero. Hence, for a
continuouse random variable,
Z a
P{X < a} = P{X ≤ a} = F (a) = f (x) dx
−∞

Dr.Rehab Alsultan (UQU) Probability Theory September 13, 2024 5 / 15


Continuous Random Variables

Figure: Probability density function f

Dr.Rehab Alsultan (UQU) Probability Theory September 13, 2024 6 / 15


Continuous Random Variables

Probability Density Function (or pdf)


The probability distribution or simply distribution of a random
variable X is a description of the set of the probabilities associated
with the possible values for X .
The probability density function (or pdf) f(x) of acontinuous
random variable is used to determine probabilities areas as followe:
Z b
P(a ≤ X ≤ b) = f (x) dx
a

The properties of the pdf are


(1) f (x) ≥ 0
R∞
(1) −∞ f (x) =1

Dr.Rehab Alsultan (UQU) Probability Theory September 13, 2024 7 / 15


Continuous Random Variables
Example 1
Suppose that X is a continuous random variable whose probability density
function is given by
( 2
x
−1 < x < 2
f (x) = 3
0 elsewhere
1.Verify that f(x) is a density function.

2. Find P(0 < X ≤ 1)


Solution
1. Since x is squared, obviously f (x) ≥ 0. To verify that condition 2 in the
definition we have:

Dr.Rehab Alsultan (UQU) Probability Theory September 13, 2024 8 / 15


Continuous Random Variables

Dr.Rehab Alsultan (UQU) Probability Theory September 13, 2024 9 / 15


Continuous Random Variables

Dr.Rehab Alsultan (UQU) Probability Theory September 13, 2024 10 / 15


Continuous Random Variables

Cumulative Distribution Function or ( cdf) of continuous random


variable X with probability density function f (x) is
Z x
F (x) = P(X ≤ x) = f (u)du
−∞

for ∞ < x < ∞


Differentiating both sides of the preceding equation yields
d
F (x) = f (x)
dx
That is, the density is the derivative of the cumulative distribution
function.
Note that F (x) = 0 for all x ≤ 0,
and F (x) increases to 1 as x → ∞

Dr.Rehab Alsultan (UQU) Probability Theory September 13, 2024 11 / 15


Continuous Random Variables

Figure: Cumulative Distribution Function F

Dr.Rehab Alsultan (UQU) Probability Theory September 13, 2024 12 / 15


Continuous Random Variables

Example Suppose that the error in the reaction temperature, in C, for a


controlled laboratory experiment is a continuous random variable X having
the following probability density function

(1) Find the CDF


(2) Using the CDF, Find P(0 < X ≤ 1).

Dr.Rehab Alsultan (UQU) Probability Theory September 13, 2024 13 / 15


Continuous Random Variables

Solution

Dr.Rehab Alsultan (UQU) Probability Theory September 13, 2024 14 / 15


Continuous Random Variables

Dr.Rehab Alsultan (UQU) Probability Theory September 13, 2024 15 / 15


Expectation and Variance of Continuous Random Variables

Mean and Variance


Suppose X is a continuouse random variable with pdf f (x). the mean or
expected value of X, denoted as µ or E (X , is
Z ∞
µ = E (X ) = xf (x) dx
−∞

The variance of X, denoted as V (x) or σ 2 , is


Z ∞ Z ∞
σ 2 = V (x) = (x − µ)2 f (x) dx = x 2 f (x) dx
−∞ −∞
√
The standard deviation of X is σ = σ2

Dr.Rehab Alsultan (UQU) Probability Theory September 13, 2024 16 / 15


Example:

Solution
The mean

Dr.Rehab Alsultan (UQU) Probability Theory September 13, 2024 16 / 15


Dr.Rehab Alsultan (UQU) Probability Theory September 13, 2024 17 / 15
Dr.Rehab Alsultan (UQU) Probability Theory September 13, 2024 17 / 15
Moment Generating Functions

Moment Generate Function (MGF)

Let X be a random variable, then the moment generating function (MGF)


of X is
Z ∞
M(t) = E (e tX ) = e tX f (x) dx
−∞
provided that the expected value exists on the interval −h < t < h for
some positive real number.

The moment generating function at t = 0 must be 1, i.e.


M(0) = E (e 0 ) = 1

Dr.Rehab Alsultan (UQU) Probability Theory September 13, 2024 18 / 15


Moment Generating Functions

Moment Generate Function (MGF)

If X has moment generating function M(t) then for some positive integer r

dr
E (X r ) = M (r ) (0) = M(t)|t=0
dt r

provided that the expected value exists on the interval −h < t < h for
some positive real number.

Dr.Rehab Alsultan (UQU) Probability Theory September 13, 2024 19 / 15


Moment Generating Functions

Dr.Rehab Alsultan (UQU) Probability Theory September 13, 2024 20 / 15


Moment Generating Functions

Dr.Rehab Alsultan (UQU) Probability Theory September 13, 2024 21 / 15


Homework

Dr.Rehab Alsultan (UQU) Probability Theory September 13, 2024 22 / 15

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