Continuous Random Variable and Their Properties
Continuous Random Variable and Their Properties
• One can easily see that the probability of having X = a is virtually zero for a
any continuous variable X.
• The cumulative distribution function is
Expected Value and Mean of CRV
• The expected value is defined as:
The standardized RV for any Normally
distributed variable x (or called the z-
score for x) is defined as:
Example:
• compressive strength of concrete cylinders follows a normal distribution with a mean of 30 MPa and
The
standard deviation of 2 MPa.
1. What is the probability that a specimen will have a strength less than 30MPa?
2. What is the probability of having a specimen of strength between 26 and 34 MPa ?
3. What is the strength of specimen that exceeds 95% of all specimen strengths? (the 95th percentile)
4. What is the strength of specimen that is exceeded by 95% of all specimen strengths.
.0 {CRV}
{CRV}
• Of course as usual, the probabilities are simply the Areas (for CRV) or the Sums
(for DRV) resulting from the density functions
Function of One Random Variable
• Most of the times, we use a function of parameters that are random, e.g.:
The pressure “p” behind a retaining wall is a function of soil density “γ” and
height of soil “h” and lateral pressure coefficient Ka . i.e. p = γ h Ka
• Let’s say we have an invertible function W = G(x) , and let’s have the
function G(x) as monotonic or ever decreasing
• Then logically, the probability of having a range of X is equivalent to have a
range of W. i.e. P(W=w) = P(X=x) = P(G –1(w))
• The probabilities are computed using the cumulative function as
For DRV :
For CRV:
, Hence:
Example
•
• The basic wind pressure is related to the wind velocity as p = cV2 where c is a
constant. The PDF for the velocity V is fv = (a/v)*exp(-b/v), where a and b are
constant parameters. Find the PDF of the wind pressure p.
Here , and thus , and hence , by taking the positive derivative (because the PDF
must be positive)
• Assume we know the Joint PDF for X and Y : i.e. fXY is given.
1. W = X + Y , note: w – y is in fact x.
2. W = X - Y
3. W = X / Y
4. W = XY
The Expected Value and Variance, DRV
The Expected Value and Variance, CRV
Example:
• joint probability function of two discrete random variables X and Y is given by f(x,
The
y)=c(2x+y), where x and y can assume all integers such that 0≤ x ≤ 2, 0 ≤ y ≤ 3, and f (x, y)= 0
otherwise:
1. Find the value of constant c. 2. Find P(X=2,Y=1), 3.Find the P(1 ≤ X, Y ≤ 2), 4. Find the
Marginal Probability Function for X. , 5. Find the mean value of X
1. The constant c must satisfy the basic property of PDF, i.e.: , thus doing the sum, we have:
2. P(X=2,Y=1) = (1/42)*(2*2+1)=5/42
3. P(1 ≤ X, Y ≤ 2)= (1/42)*
4. P(X=x)=
Example:
•• Two one-way roads converge into a single road. The probability of traffic size on each road is described using
Poisson Distribution, with road 1 having an average of 50 car per hour, and the second having 30 cars per hour.
Denote the number of cars in road 1 as X and the second as Y. Assume independence
• 1. Find the joint probability density function for X and Y.
• 2. The marginal probability density function for X.
• 3. Find the probability that each road has between 30 and 50 cars.
• 4. Find the probability that road 1 has between 30 and 50 cars given that the 20 cars are from road 2.
1. Assuming independence, then
3. Since and are bigger than 5, the distribution of each variable can be approximated using a Normal distribution,
therefore:
P(30<X<50,30<Y<50) = P( [30-50]/50<ZX<[50-50]/50, [30-30]/30<ZY<[50-30]/30)
= P( -0.4<ZX<0 , 0 <ZY<0.67 )= P( -0.4<ZX<0)*P(0 <ZY<0.67 )
= 0.155*0.247 = 0.038 = 3.8%
4. P(30<X<50 |Y=20) = P(30<X<50 , Y=20) / P(Y=20) = P(30<X<50)*P(Y=20)/P(Y=20)=0.155 … This is trivial because
Y and X are independent.
Covariance