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Continuous Random Variable

This document discusses key concepts in continuous random variables including: 1. The probability density function (PDF) which defines the probability of a continuous random variable taking on a value between two numbers as the area under the density curve between those numbers. 2. The cumulative distribution function (CDF) which gives the probability that a continuous random variable is less than or equal to a value x as the area under the density curve up to x. 3. The expected value or mean of a continuous random variable, which is calculated as the integral of x times the probability density function. 4. The variance of a continuous random variable, which measures how spread out the possible values are and is calculated by taking the

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Akram Khan
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62 views16 pages

Continuous Random Variable

This document discusses key concepts in continuous random variables including: 1. The probability density function (PDF) which defines the probability of a continuous random variable taking on a value between two numbers as the area under the density curve between those numbers. 2. The cumulative distribution function (CDF) which gives the probability that a continuous random variable is less than or equal to a value x as the area under the density curve up to x. 3. The expected value or mean of a continuous random variable, which is calculated as the integral of x times the probability density function. 4. The variance of a continuous random variable, which measures how spread out the possible values are and is calculated by taking the

Uploaded by

Akram Khan
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

DESIGN OF EXPERIMENTS

(IE-472)
(Fall Semester 2020)

Course Instructor Prof. Misbah Ullah


Assistant Teacher Engr. Muhammad Nauman

Department of Industrial Engineering


University of Engineering & Technology, Peshawar
Continuous Random Variable

Department of Industrial Engineering


University of Engineering & Technology, Peshawar
Probability Density Function
(PDF)

Department of Industrial Engineering


University of Engineering & Technology, Peshawar
Department of Industrial Engineering
University of Engineering & Technology, Peshawar
• Let X be a continuous random variable, then a probability density
function (PDF) of X is a function f(x) such that for any two numbers a
and b with a ≤ b,
𝑏
𝑃 𝑎 ≤ 𝑋 ≤ 𝑏 = න 𝑓 𝑥 𝑑𝑥
𝑎
• That is, the probability that X takes on a value in the interval [a, b] is the area
above this interval and under the graph of the density function, as illustrated in
fig. 4.2. The graph of f(x) is often referred to as the density curve.

1. 𝑓 𝑥 ≥ 0 for all 𝑥
∞
2. ‫׬‬−∞ 𝑓 𝑥 𝑑𝑥 = area under the entire graph of 𝑓 𝑥 = 1

Department of Industrial Engineering


University of Engineering & Technology, Peshawar
Department of Industrial Engineering
University of Engineering & Technology, Peshawar
Department of Industrial Engineering
University of Engineering & Technology, Peshawar
Cumulative Distribution Function
(CDF)

Department of Industrial Engineering


University of Engineering & Technology, Peshawar
• Cumulative distribution Function F(x) of a continuous random
variable, variable X is defined for every number x by

𝑥
𝐹 𝑥 = 𝑃 𝑋 ≤ 𝑥 = න 𝑓 𝑦 𝑑𝑦
−∞

• For each x, F(x) is the area under the density curve to the left of x. This
is illustrated in fig. 4.5, where F(x) increases smoothly as x increases.

Department of Industrial Engineering


University of Engineering & Technology, Peshawar
Department of Industrial Engineering
University of Engineering & Technology, Peshawar
Expected Value of X

Department of Industrial Engineering


University of Engineering & Technology, Peshawar
• The expected or mean value of a continuous random variable X with
probability density function f(x) is

∞
𝜇𝑋 = 𝐸 𝑋 = න 𝑥 . 𝑓 𝑥 𝑑𝑥
−∞

Department of Industrial Engineering


University of Engineering & Technology, Peshawar
Department of Industrial Engineering
University of Engineering & Technology, Peshawar
Variance

Department of Industrial Engineering


University of Engineering & Technology, Peshawar
• The variance of a continuous random variable X with probability
density function f(x) and mean value μ is
∞
𝜎2𝑋 = 𝑉 𝑋 = න 𝑥−𝜇 2 . 𝑓 𝑥 𝑑𝑥 = 𝐸[ 𝑋 − 𝜇 2]
−∞

• Standard Deviation (SD) of X is

σX = 𝑉(𝑋)

• The variance and standard deviation give quantitative measures of how


much spread there is in the distribution or population of x values.
• Again σ is roughly the size of a typical deviation from μ.
• Computation of σ2 is facilitated by using the same shortcut formula
employed in the discrete case.

Shortcut formula for σ2

Department of Industrial Engineering


University of Engineering & Technology, Peshawar
Department of Industrial Engineering
University of Engineering & Technology, Peshawar

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