Lecture 10

Continuous Probability Distribution

Section 3.3, (Walpole et. al. (2011) p.g.87)

Mathematical Sciences Department

REFERENCES

*Walpole, R. E., Myers, R. H., and S. L. Myers (2011), Probability and

Statistics for Engineers and Scientists, 9th ed., Prentice-Hall, Inc.,
Upper Saddle River, New Jersey.
WHAT YOU SHOULD LEARN?

1- A probability distribution of continuous random variables.

2- A cumulative function of continuous random variables.
3- The mean, variance, and standard deviation of a continuous
probability distribution.
REMMBER :
Aspect Discrete Variables Continuous Variable
They can take only specific or discrete They can take any value within a specific
Nature of Values values. range.

Measurement Discrete variables are typically measured on Continuous variables are typically measured
a nominal or ordinal scale. on an interval or ratio scale.
Scale
Discrete variables are often represented by Continuous variables are often represented
Representation bar graphs or histograms. by line graphs or smooth curves.
Examples include the number of students in a Examples include measurements such as
Examples class or the outcomes of rolling a die. length, time, or temperature.

Probability Discrete variables have probability mass Continuous variables have probability
functions (PMF) density functions (PDF).
Distributions
They are often employed in various branches
They are employed in various mathematical of mathematics, including calculus,
Applications contexts and applications where quantities differential equations, and real analysis, as
are counted. well as in applied fields such as physics,
engineering and statistics
Properties of continuous probability
distribution (Walpole et. al. (2011) p.g.87-89):

• A continuous random variable has a probability of 0 of assuming exactly any of its

values.
• Consequently, its probability distribution cannot be given in tabular form.
• We are dealing with an interval rather than a point value of our random variable.
• When X is continuous, P(A < X ≤ B) = P(A ≤ X < B) = P(A < X < B) = P(A ≤ X ≤ B)
because P(X = A)= P(X = B)=0. It does not matter whether we include an endpoint of
the interval or not. this is not true, though, when X is discrete.
• The probability distribution of a continuous random variable 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.
Continued
• 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.
• The probability that x assumes a value
between a and b is equal to the shaded area
under the density function between the
ordinates at x = a and x = b, and from
integral calculus is given by:
Defenition 3.6 (Walpole et. al. (2011) p.g.89):

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 𝑎׬‬ 𝑥 𝑑𝑥
 EXAMPLE 3.11 (Walpole et. al. (2011) p.g.89):

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 , 𝒆𝒍𝒔𝒘𝒉𝒆𝒓𝒆

(a) Verify that f(x) is a density function.

(b) Find P(0 < X ≤ 1).
(a) Verify that f(x) is a density function.

(b) Find P(0 < X ≤ 1).

Defenition 3.7 (Walpole et. al. (2011) p.g.90):

The cumulative distribution function F(x) of a continuous random variable X

with density function f(x) is
𝒙
𝑭 𝒙 = 𝑷 𝑿 ≤ 𝒙 = න 𝒇 𝒕 𝒅𝒕 , −∞ < 𝑿 < ∞
−∞

As an immediate consequence of definition 3.7, one can write the two results
𝑃 𝑎 <𝑋 <𝑏 =𝐹 𝑏 −𝐹 𝑎
And
𝑑𝐹(𝑥)
𝑓 𝑥 = if the derivative exists.
𝑑𝑥
EXAMPLE 3.12 (Walpole et. al. (2011) p.g.90):

For the density function of example 3.11, find F(x), and use it to evaluate P(0 < X ≤ 1).

𝒙𝟐
, −𝟏 < 𝒙 < 𝟐
𝒇 𝒙 = 𝟑
𝟎 , 𝒆𝒍𝒔𝒘𝒉𝒆𝒓𝒆
EXERCISE 4.12 (Walpole et. al. (2011) p.g.117):

If a dealer’s profit, in units of $5000, on a new automobile can be looked

upon as a random variable X having the density function

𝐶(1 − 𝑥) ,0 < 𝑥 ≤ 1
𝑓 𝑥 =ቐ 0 , 𝑒𝑙𝑠𝑤ℎ𝑒𝑟𝑒

a) Find the value C.

b) Find the cumulative function F(X)
c) Calculate 𝑃 0.5 < 𝑋 < 1
a) Find the value C.

Solution:

𝟏 𝟐 𝟏
𝒙 𝟏 𝑪
න 𝑪 𝟏 − 𝒙 𝒅𝒙 = 𝟏 ⇒ 𝑪 𝒙 − =𝟏⇒𝑪 𝟏− −𝟎 =𝟏⇒ =𝟏⇒𝑪=𝟐
𝟎 𝟐 𝟎
𝟐 𝟐
b) Find the cumulative function F(x).

𝒙
𝑭 𝒙 = 𝑷 𝑿 ≤ 𝒙 = න 𝒇 𝒕 𝒅𝒕
−∞
Solution:
𝒙
𝒙 𝒕𝟐
𝑭 𝒙 = ‫𝟐 𝟎׬‬ 𝟏 − 𝒕 𝒅𝒙 = 𝟐 𝒕 −
𝟐 𝟎
𝒙𝟐
𝒙𝟐 𝟎 𝑭 𝒙 = 𝟐𝒙 −
=𝟐 𝒙− − 𝟎− 𝟐
𝟐 𝟐

𝟐𝒙𝟐 𝒙𝟐
= 𝟐𝒙 − − 𝟎 = 𝟐𝒙 −
𝟐 𝟐
C) Calculate 𝑃 0.5 < 𝑋 < 1

𝑓 𝒙 =𝟐 𝟏−𝒙
Solution:
𝟏
𝟏 𝒙𝟐
𝑃 0.5 < 𝑋 < 1 = ‫𝟎׬‬.𝟓 𝟐 𝟏 − 𝒙 𝒅𝒙 = 𝟐 𝒙 −
𝟐 𝟎.𝟓

𝟏𝟐 𝟎. 𝟓𝟐
=𝟐 𝟏− − 𝟎. 𝟓 −
𝟐 𝟐

𝟏
𝟏 𝟏 𝟒 𝟏 𝟏
=𝟐 −𝟐 − =𝟏− 𝟏− =
𝟐 𝟐 𝟐 𝟒 𝟒
Chapter 4 Mathematical Expectation
4.1 Mean of a Random Variable
4.3 Means and Variances of Linear Combinations of Random Variables

Mathematical Sciences Department

Defenition 4.1 (Walpole et. al. (2011) p.g.112):

Let X be a random variable with probability density distribution f(x). The

mean, or Expected value, of X is
∞
𝝁 = 𝑬 𝑿 = න 𝒙 𝒇 𝒙 𝒅𝒙
−∞

Example:
From Example 3.11 (Walpole et. al. (2011) p.g.89), Find the 𝑬 𝑿 where:

𝒙𝟐
, −𝟏 < 𝒙 < 𝟐
𝒇 𝒙 = 𝟑
𝟎 , 𝒆𝒍𝒔𝒘𝒉𝒆𝒓𝒆
Defenition 4.3 (Walpole et. al. (2011) p.g.120):
Let X be a random variable with probability distribution f(x) and mean 𝝁. The variance of X is
∞
𝝈𝟐 = 𝑽 𝑿 = 𝑬[(𝒙 − 𝝁)𝟐 ] = න (𝒙 − 𝝁)𝟐 𝒇 𝒙 𝒅𝒙
−∞
Or
𝝈𝟐 = 𝑬 𝑿𝟐 − 𝑬[𝑿]𝟐 =𝑬 𝑿𝟐 − 𝝁𝟐
The positive square root of the variance, 𝝈, is called the standard deviation of X.

Example:
From Example 3.11 (Walpole et. al. (2011) p.g.89), Find the 𝑽 𝑿 where:

𝑥2
, −1 < 𝑥 < 2
𝑓 𝑥 = 3
0 , 𝑒𝑙𝑠𝑤ℎ𝑒𝑟𝑒
EXERCISE 4.12 (Walpole et. al. (2011) p.g.117):

If a dealer’s profit, in units of $5000, on a new automobile can be looked upon as

a random variable X having the density function

2(1 − 𝑥) ,0 < 𝑥 ≤ 1
𝑓 𝑥 =ቐ 0 , 𝑒𝑙𝑠𝑤ℎ𝑒𝑟𝑒

a) Find the expected value.

b) Find the standard deviation.
Discrete VS Continuous

Discrete Continuous
The range of a discrete distribution is The range of a continuous variable is
countable. finite.
P(x) is probability mass functions f(x) is probability density functions
(PMF). (PDF).
Discrete random variables are used Continuous random variables are used
for counting 0 ≥ 𝑃 (𝑥) ≥ 1. for measuring 𝑓(𝑥) > 0 𝑓𝑜𝑟 𝑎𝑙𝑙 𝑥
∈ 𝑅.
Summation is used to find a range of The integration is used for continuous
∞
probabilities for discrete random random variables ‫׬‬−∞ 𝑓 𝑥 𝑑𝑥 = 1.
variablesσ 𝑝(𝑥) = 1.
 Homework

SOLVE CONTINUOUS RANDOM VARIABLE

EXERCISES SHEET 5.

EXERCISE 5.1, PAGE 245: 19, 20, 21, 22, 25, 26, 27, 28,
29, 30, 51, 52, 53, 57, 58;
EXERCISE 5.2, PAGE 252: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 13.