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Lecture 12

The document is a lecture note on Probability and Statistics, focusing on continuous random variables, their expectation, variance, and moment generating functions. It includes definitions, theorems, and examples related to uniform distributions and various problems involving continuous random variables. The content is structured to guide students through fundamental concepts and applications in probability theory.

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0% found this document useful (0 votes)
13 views27 pages

Lecture 12

The document is a lecture note on Probability and Statistics, focusing on continuous random variables, their expectation, variance, and moment generating functions. It includes definitions, theorems, and examples related to uniform distributions and various problems involving continuous random variables. The content is structured to guide students through fundamental concepts and applications in probability theory.

Uploaded by

motusbanthia
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Probability and Statistics (MATH F113)

Pradeep Boggarapu

Department of Mathematics
BITS PILANI K K Birla Goa Campus, Goa

February 4, 2025

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 1 / 20


Continuous Random Variables

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 2 / 20


Outline

1 Expectation, Variance and Moment Generating


Functions.
2 Standard examples for continuous random variables
3 Uniform continuous random variable

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 3 / 20


Expectation and variance of continuous random variable
Definition 0.1.
Let X be a continuous random variable with density
function f (x).
1 The expectation or expected value or mean of X is
defined by
! →
µ = E [X ] = x f (x) dx.
↑→

2 The variance of X is defined by


! →
Var (X ) = E [(X ↑ µ)2 ] = (x ↑ µ)2 f (x) dx.
↑→

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 4 / 20


Expectation of a random variable

Let X be a continuous random variable with density


function f (x) and H(X ) be a real-valued function of
X , then H(X ) is a random variable and its
expectation is given by
! →
E [H(X )] = H(x) f (x) dx
↑→
"→
provided E [H(X )] = ↑→ |H(x)| f (x) dx is finite.
The definitions of standard deviation, moments and
moment generating functions remains same for
continuous random variables. N Ver ! *H
Elety) =
=

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 5 / 20


Rules for expectations
kth memet E
Theorem 0.2.
Let X and Y be two continuous random varibles and c be
any real number.
1 E [c] = c -
-
2 E [cX ] = cE [X ]
~
3 E [X + Y ] = E [X ] + E [Y ].

Corollary 0.3.

Var [X ] = E [X 2 ] ↑ (E [X ])2 .

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 6 / 20


Problem

Example 1.
Find E [X ] and Var (X ) when the density function of X is
#
2x if 0 ↓ x ↓ 1
f (x) =
0 otherwise.

Finda
I find
-
2

E( o
=
= =
wit =
1.

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 7 / 20


E
= Stude Sad =
=

VM = E(4-E" =
Y -

( =
= -

& =2
Fig .
Problem

Example 2.
The density function of X is given by
!
1 if 0 → x → 1
f (x) = -

0
-
otherwise,

Then find the expectation of e X .

Ex = emd =

je
= ! =
( -)
Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 8 / 20
Rules for variance

Theorem 0.4.
Let X and Y be two continuous random variables and c
be any real number.
1 Var [c] = 0
2 Var [cX ] = c 2 Var [X ] 7

3 Var [X + Y ] = Var [X ] + Var [Y ], provided X and Y


are independent random variables.

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 9 / 20


Moments and moment generating function (mgf)

Definition 0.5 (Moments and mgf).


Let X be a continuous random variable with density
function f (x).
1 The kth moment of X is defined as E [X k ].
2 The moment generating function for X is denoted by
mX (t) and is defined by

mX (t) = E [e tX ]

provided this expectation is finite for all real numbers


t in some open interval (↑h, h).

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 10 / 20


Moments and moment generating function (mgf)

Theorem 0.6.
If mX (t) is the moment generating function for a random
variable X , then the kth moment of X is given by
k d k mX (t) ""
E [X ] = " .
dt k t=0

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 11 / 20


Problem: Uniform Distribution

Ib
aNath
Example 3. T

If the density function of X is given by


!
C -E if a → x → b
f (x) =
0 otherwise,
where a < b are reals, then find the value of C , cdf,
expectation and moment generating function of X .

=)Ex =
)
c= =

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 12 / 20


E
= Std =
Yad
a

=
Ja
Ex =
Bord = ab
=
Fas (B-d) =

V(X) = ENY-E( =anabb (


=b
-
F(u) = E((x) =ad =

Situ
My(t) = Elety) =
Problems

Example 4.
Let X be a nonnegative continuous random variable, then
! → &

E [X ] = P[X > y ]dy .


0

Ec =
Sofiad
Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 13 / 20
japxy] dy = -P]
consider

dy ( :.Ps
5d)
=

On
as

a
= (d) du

us X30
Standard examples of continuous random variables

Uniform distribution

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 14 / 20


Uniform distribution
Definition 0.7.
We say that X is a uniform random variable on the interval
(a, b) if the probability density function of X is given by
1
f (x) = , a < x < b.
b→a
or Ma
Note that the cdf of X is given by
 -

 0 if x ↑ a

x→a
F (x) = b→a if a < x < b



1 if x ↓ b.
Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 15 / 20
Uniform distribution Cont.

Theorem 0.8.
Let X be uniformly destributed over an interval (a, b)
then
a+b -
1 The mean is given by µ = .
2
2
2
Var (X ) = ω =
(b → a)2
12 Ei b→a
and ω = ↔ .-
2 3
Mya 1 =

3 The mgf of X is given by


 tb ta
 e →e ~ if t ↗= 0
t(b→a)
mX (t) =
1
O if t = 0.

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 16 / 20


Problems

Example 5.
If X is uniformly distributed over (0, 10), calculate (a)
P(X-- < 3), (b) P(X > 6), and (c) P(3 < X < 8).-

Example 6.
Buses arrive at a specified stop at 15-minute intervals
starting at 7 A.M. That is, they arrive at 7, 7:15, 7:30,
7:45, and so on. If a passenger arrives at the stop at a
time that is uniformly distributed between 7 and 7:30, find
the probability that he waits
(a) less than 5 minutes for a bus;
(b) more than 10 minutes for a bus.
Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 17 / 20
at the bug stop
Let X denote the time that the passenger arrives
.
X- V(7 , 7: 30

# as

7 : 10 to 7 ! 15

7 : 25 to 7: 30

9) P Che wait less than five minutes)


* 7:
= P(7 : 10
-
X 17 : 15) + P17 : 25(X
30)

=
③ Y3
Problems
Example 7.
Consider a random chord of a circle and assume that the
length of the chord is uniformly distributed over (0, d)
where d is the diameter of the circle. What is the
probability that the length of the chord will be greater
than the side of the equilateral triangle inscribed in that
circle ?
Example 8.
A stick of length 1 unit is split at a point U that is
uniformly distributed over (0, 1). Determine the expected
length of the piece that contains a fixed point
p, 0 → p → 1.
Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 18 / 20
# - V = length of he
Piece


·
-

1- u

the required Piece.


Let 2(1) be the length of

I Ethere
P U~ U(0 , 1)

[Y
I it he
2(x =
by
f(u) = 10, 17

=Lin
E(L(r) flu d

jecultivid Ship du
=>
=

Sudu
P
=
S-f-vidu +
Problems
= -+

-
·

Example 9.
If X → U(0, 1) and a < b, then find the distribution of
Y = a + (b ↑ a)X .

S it
So
-
I

Ey (y) =

~
PEY1y] Pla + B-ax-Y]
Fy(y)
=
=

=
P[b-aX = Y-a]
Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 19 / 20
= I
if y-9
Ja
Y
-

y
-

Ba
9
-

-
a

971
< 0

-(01)

Thank you for your attention


it y
-

Se ↓
y = (a ,

Yzb
b)

Sa I
if y

S Fig)
[a

Beca Yw()
=

it y >b

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 20 / 20

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