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Continuous Random Variables Guide

A continuous random variable is a random variable whose probability is defined by a probability density function rather than by a discrete probability mass function. The probability density function f(x) defines the probability of the random variable taking on a value within a particular interval rather than being equal to a particular value. The cumulative distribution function F(x) gives the probability that the random variable takes on a value less than or equal to x. The expected value of a continuous random variable is defined by the integral of x times the probability density function from negative infinity to positive infinity.

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30 views15 pages

Continuous Random Variables Guide

A continuous random variable is a random variable whose probability is defined by a probability density function rather than by a discrete probability mass function. The probability density function f(x) defines the probability of the random variable taking on a value within a particular interval rather than being equal to a particular value. The cumulative distribution function F(x) gives the probability that the random variable takes on a value less than or equal to x. The expected value of a continuous random variable is defined by the integral of x times the probability density function from negative infinity to positive infinity.

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tarunya724
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Introduction to Statistics (MAT 283)

Dipti Dubey

Department of Mathematics
Shiv Nadar University
Table of Contents

CONTINUOUS RANDOM VARIABLE


CONTINUOUS RANDOM VARIABLE:
A random variable X is said to be continuous if and only if
R ∞ exists a function fX : R → R such that fX (x) ≥ 0,
there
−∞ fX (x)dx = 1 and
Z b
P(a < X < b) = fX (x)dx
a
for any real constants a and b with a ≤ b. The function fX
is called the probability density function (pdf)of X .
• Note that fX (c), the value of the probability density of X
at c, does not give P(X = c) as in the discrete case. In
connection with continuous random variables, probabilities
are always associated with intervals and P(X = c) = 0 for
any real constant c.
• Note that fX (c), the value of the probability density of X
at c, does not give P(X = c) as in the discrete case. In
connection with continuous random variables, probabilities
are always associated with intervals and P(X = c) = 0 for
any real constant c.

Theorem: If X is a continuous random variable and a and b are


real constants with a ≤ b, then

P(a ≤ X ≤ b) = P(a ≤ X < b) = P(a < X ≤ b) = P(a < X < b).


• For a pdf fX (x) > 1. For example fX (x) = 5 for x ∈ [0, 1/5] and
0 otherwise.
• For a pdf fX (x) > 1. For example fX (x) = 5 for x ∈ [0, 1/5] and
0 otherwise.

• A pdf can be unbounded also.


CUMULATIVE DISTRIBUTION FUNCTION: If X is a con-
tinuous random variable and the value of its probability den-
sity att is f (t), then the function given by

Z x
FX (x) = P(X ≤ x) = f (t)dt for − ∞ < x < ∞,
−∞

is called the cumulative distribution function of X .


EXAMPLE: Consider a continuous random variable X with pdf
(
1 if x ∈ (0, 1)
fX (x) =
0 if otherwise.
The CDF is given by

0
 if x ≤ 0
FX (x) = x if x ∈ (0, 1]

1 if x > 1.

• If F is the cumulative distribution function of a continuous
random variable X, the probability density function f of X is the
derivative of F , that is

d
F (x) = f (x).
dx
Expected Value of a Continuous Random Variables:

Let X be a random variable with space RX and probability


density function f . The expected value E (X ) (or mean µX )
of the random variable X is defined as
Z ∞
µX = E (X ) = x f (x)dx
−∞

if the right hand side exists.


EXAMPLE: Consider a continuous random variable X with pdf
(
1/5 if x ∈ (2, 7)
f (x) =
0 if otherwise.

Then
Z ∞
E (X ) = x f (x)dx
−∞
Z 7
1
= x dx
2 5

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