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Tieming Ji
Fall 2012
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Denition: A random variable X is continuous if it can take
uncountable number of values on the real line. Most often, the
support set for a continuous random variable is an interval.
For example, X = {x : 0 x 1}, X = {x : 0 < x < },
X = {x : < x < }, etc.
Continuous random variable X can describe height, time,
weight, etc. which can take continuous real values.
For example, the city bus can come any time between 8 to 9
am. Let X denote the time the bus comes, then X can take
any real value in X = {x : 8 < x < 9}.
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Compared to the discrete cases, we have:
Denition: (A rst denition of pdf for continuous r.v.s) A
function f is a probability density function of a continuous
variable if and only if
f (x) 0, for x , and
f (x)dx = 1.
In the discrete cases, we use summation
.
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Example 1. f (x) =
x
2
1 x 1;
0 otherwise.
Is f (x) a density function?
Solution:
1. For x , f (x) 0;
2.
f (x)dx =
1
1
f (x)dx =
1
1
x
2
dx =
1
3
x
3
1
1
=
2
3
= 1.
Since f only satises the rst condition, but not the second, f is not a
density function.
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Compared to the discrete cases, we also have:
Denition: The cumulative distribution function F for a
random variable X is dened as
F(x) = P(X x) =
b
a
f (x)dx, for any a, b .
Extension: Given the probability density function f ,
P(X A) =
A
f (x)dx, for any set A.
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Note: (Very Important)
1. In the discrete cases, f (x) = P(X = x).
Both f (x) and P(X = x) are the probability that X takes value x.
2. In the continuous cases, f (x) = P(X = x).
P(X = x) is the probability that X takes value x, and P(X = x) = 0 for
any x (Why? What is the probability that the city bus arrives exactly at
8:30 am between 8 to 9 am? Picking up a needle from an ocean).
f (x) has a dierent meaning, otherwise
f (x)dx = 0 = 1.
To understand this, we need a second denition for f for
continuous cases.
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Remember F(x) = P(X x) =
(x)
= lim
0
F(x +) F(x)
= lim
0
P(X x +) P(X x)
= lim
0
P(x X x +)
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Example: X is a random variable with density
f (x) =
1
2
0 x 2;
0 o.w.
1. Verify that f is a density function.
2. What is P(X = 1)? Since X can take any real value between 0 and 2,
the probability to pick up value 1 is 0, i.e. P(X = 1) = 0.
3. What is f (1)? f (1) =
1
2
. Note that f (1) = P(X = 1).
4. What is F(1)?
F(1) = P(X 1) =
f (x)dx =
1
0
1
2
dx =
1
2
x
1
0
=
1
2
.
5. Compute P(1 X < 3).
6. Graph f (x) and F(x).
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Denition: The expectation of a continuous r.v. X, E(X) or
X
, is given by
E(X) =
xf (x)dx.
Extension: The expectation of a function of a continuous r.v.
X, E(h(X)) or
h(X)
, is given by
E(h(X)) =
h(x)f (x)dx,
provided
2
Distribution.
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Continuous Uniform Distribution
Denition: A random variable follows a continuous uniform
distribution on an interval (a, b) if its probability density
function is given by
f (x) =
1
ba
, for any x (a, b);
0, o.w.
E(X) =
a+b
2
;
Var(X) =
(ba)
2
12
;
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Derive the cdf of X U(a, b).
Solution: We want to compute F(x) = P(X x) for all x .
(1) When x a,
F(x) =
f (t)dt =
0dt = 0.
(2) When a < x < b,
F(x) =
f (t)dt =
0dt+
x
a
1
b a
dt = 0+
t
b a
x
a
=
x a
b a
.
(3) When b x,
F(x) =
f (t)dt =
0dt+
b
a
1
b a
dt+
x
b
0dt = 0+
t
b a
b
a
+0 = 1.
So, F(x) =
0, x a;
xa
ba
, a < x < b;
1, b x.
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When a = 0 and b = 1, it is a Standard Uniform Distribution.
E(X) =
1
2
, Var(X) =
1
12
, F(x) =
0, x 0;
x, 0 < x < 1;
1, 1 x.
.
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Normal Distribution
Denition: A random variable X follows a normal distribution
with location parameter (< < ) and scale
parameter ( > 0) if its probability density function is given
by
f (x) =
1
2
e
(x)
2
2
2
, < x < .
E(X) = ;
Var(X) =
2
;
m
X
(t) = e
t+
2
t
2
2
.
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4 2 0 2 4 6
0
.
0
0
.
1
0
.
2
0
.
3
0
.
4
x
f
(
x
)
N(0,1)
N(1,2)
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4 2 0 2 4 6
0
.
0
0
.
2
0
.
4
0
.
6
0
.
8
1
.
0
x
F
(
x
)
N(0,1)
N(1,2)
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Extension: If X follows a normal distribution with mean and
variance
2
, then Z =
X
M
= 2,
M
= 0.1.
According to Chebyshevs Theorem,
P(|M
M
| < 4
M
) = P(1.6 < M < 2.4) 1
1
4
2
= 0.9375.
So, P(M 1.6) + P(M 2.4) = 1 P(1.6 < M < 2.4) 0.0625. Since
P(M 2.4) > 0, the strongest conclusion we can make for P(M 1.6)
by using Chebyshevs Theorem is that P(M 1.6) < 0.0625.
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Exponential Distribution
Denition: Random variable X following an exponential
distribution with parameter ( > 0) if its density function is
given by
f (x) =
, x > 0;
0, o.w.
.
X: denote the time to wait for the rst event to occur. For example, the
survival time of patients before death occur; the lighting time of a new
bulb before dead; the time to wait for the rst incoming call; the time to
wait between two accidents, ... .
E(X) = . This is the expected time to wait for event to happen;
Var(X) =
2
;
m
X
(t) = (1 t)
1
.
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0 1 2 3 4 5
0
.
0
0
.
5
1
.
0
1
.
5
2
.
0
x
f
(
x
)
exp(0.5)
exp(1)
exp(2)
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Example 1 Engineers have collected data from compressors on natural
gas pipelines and found that the average life of compressors is 5.75 years.
Let X denote the lifetime of a compressor and it follows the exponential
distribution.
(1) What is the probability that a compressor fails during the rst year
after installation.
Solution: X Exp( = 5.75).
P(X 1) = F(1) =
f (x)dx
=
1
0
1
5.75
e
x
5.75
dx
= e
x
5.75
1
0
= e
1
5.75
(1)
0.16
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(2) Compute the probability of failure prior to the average life.
Solution:
P(X 5.75) = F(5.75) =
5.75
f (x)dx
=
5.75
0
1
5.75
e
x
5.75
dx
= e
x
5.75
5.75
0
= e
5.75
5.75
(1)
0.632
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Theorem: Relationship between a Poisson variable and an
Exponential variable.
If
X Poisson(),
then, X denote the number of occurrence in a period of time.
Furthermore, let Y denote the time to wait for the rst event
to occur, then
Y Exp( =
1
).
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Gamma Distribution
Before introducing the Gamma distribution, we need to rst introduce
the Gamma function.
Denition: The function is dened as
() =
0
z
1
e
z
dz,
and is called the gamma function.
Properties:
(1) = 1;
For any > 1, () = ( 1)( 1).
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Denition: A random variable X following a Gamma
distribution with parameters ( > 0) and ( > 0) if the
density function is given by
f (x) =
1
()
x
1
e
, x > 0;
0, o.w.
Important Note: When = 1, X Exp().
E(X) = ;
Var(X) =
2
;
m
X
(t) = (1 t)
.
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2
Distribution
Denition: Let X Gamma(, ). When = 2, X is said to
follow a
2
2
.
So, we have:
X Gamma(, ) =
When = 1, X Exp();
When = 2, X
2
=2
.
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Chapter Summary
Note: the chapter summary only lists important points of a chapter.
Understand the meanings of f (x), P(X = x), F(x) for a continuous
r.v. X.
Given X f (x), know how to compute E(X), Var(X), m
X
(t), F(x),
and P(x
1
< X < x
2
). And then use m
X
(t) to compute E(X
k
).
Know how to graph a f (x) and F(x).
In applications, given that X follows a normal or exponential
distribution, know what do the questions ask in applications, and
how to compute them. For this, see examples.
Know how to read the cdf table for the standard normal distribution
for calculation, even when X is not standardized.
Know the 3- rule and Chebyshevs Theorem for approximating
probabilities.
Use the continuous distribution summary table to nd the mean,
variance, pdf, and mgf for a commonly used distribution.
Know the relationships between a gamma random variable, an
exponential random variable and a
2
random variable.
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