Continuous Random Variables

Seminar 2
Aims of this session:
Define what a cumulative distribution function is.

Determine the cumulative distribution function given the probability density

Determine the probability density function given the cumulative distribution

 If
is a continuous random variable with p.d.f then:
1. since we cannot have negative probabilities

2. shaded area

3. since the area under the curve

 If
we introduce a continuous random variable such that then for a continuous random
variable :
Cumulative Distribution Function
The
  cumulative distribution function (c.d.f.) for a continuous random variable is
defined as:

 If is a continuous random variable with c.d.f and p.d.f then:

  𝑥 2 𝑥 2
1 𝑡 𝑥 1
F ( 𝑥 ) =∫
1 4
𝑡 d 𝑡= [ ] (
8 1
=
8 )− ( )
8
 Check: and
  0 , 𝑥 <1
F ( 𝑥 )=
{ 2
𝑥
8
−
1
8
, 1≤ 𝑥 ≤ 3
1 , 𝑥 >3
Cumulative Distribution Function
Example

 For

𝑥
  𝑡 𝑥 1
[]
F ( 𝑥 )= = −
5 1 5 5
  2 1 1
F (2) = − =
5 5 5
 For
Cumulative Distribution Function
Example
 For

  2 𝑥
1 𝑡 𝑡
5[
F ( 𝑥 )= + −
10 5 2
2
]
  1 𝑥 𝑥 4 2
F ( 𝑥 )= +
5 (
10 5
− −)( −
10 5 )
  𝑥2 𝑥 1
F ( 𝑥 )= − +
10 5 5
  16 4 1
F 4 = − + =1
( )
10 5 5
Cumulative Distribution Function
Example

 Overall:
Cumulative Distribution Function
Example

  1 3 2 51
𝑃 ( 𝑋 ≤1.5 ) =F ( 1.5 ) = ( 1.5 ) + ( 1.5 ) =
5 20 80
 

 
Single values will always have a probability of for continuous distributions
Cumulative Distribution Function
Example

  𝑑
𝑓 ( 𝑥 )= F (𝑥 )
𝑑𝑥
 For:

  1 3
𝑓 ( 𝑥 )= + 𝑥
5 10
  1 3
{ +
𝑓 ( 𝑥 ) = 5 10
𝑥 , 0≤ 𝑥 ≤ 2
0 , otherwise
Question Time
𝑏
 
P ( 𝑎< 𝑋 <𝑏 ) = shaded area=∫ 𝑓 ( 𝑥 ) d 𝑥
𝑎

∞
 
∫ 𝑓 ( 𝑥 ) d 𝑥 =1   since   the   area   under   the   curve  =1
−∞

∞
 
Mean= 𝜇 = E ( 𝑋 ) = ∫ 𝑥𝑓 ( 𝑥 ) d 𝑥
−∞

∞ ∞ 2
 
2 2
Variance =𝜎 =∫ 𝑥 𝑓 ( 𝑥 ) d 𝑥 −
−∞
[∫ −∞
𝑥𝑓 ( 𝑥 ) d 𝑥
]
𝑥
 
F ( 𝑥 )= P ( 𝑋 ≤ 𝑥 ) =∫ 𝑓 ( 𝑡 ) d 𝑡
−∞

𝑥
  𝑑
𝑓 ( 𝑥 )= F ( 𝑥 ) ∧ F ( 𝑥 )= ∫ 𝑓 ( 𝑡 ) d 𝑡
𝑑𝑥 −∞
Aims of this session:
Define what a cumulative distribution function is.

Determine the cumulative distribution function given the probability density

Determine the probability density function given the cumulative distribution

• Crawshaw, D.J. and Chambers, J.S. (2001) A Concise Course in Advanced Level
Statistics (4th ed.) Nelson Thornes

• Pledger, K. et al. (2008) Edexcel AS and A Level Modular Mathematics - Statistics 1

• Pledger, K. et al. (2008) Edexcel AS and A Level Modular Mathematics - Statistics 2

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