Continuous Random Variables

Reading: Chapter 3.1 3.8

Homework: 3.1.2, 3.2.1, 3.2.4, 3.3.2, 3.3.7,
3.4.4, 3.4.5, 3.4.9, 3.5.3., 3.5.6,
3.6.1, 3.6.6, 3.7.1, 3.7.3, 3.7.11, 3.8.1.

Conditional PDF and Expectation

X: random variable, P[B] >0 for an event BSX
the conditional PDF of X given B is defined as
f X ( x)

f X |B ( x) = P[ B ]
0

xB
xB

fX(x) = fX|Bi(x)P[Bi] for event space {B1,}

E[X|B] = xfX|B(x)dx
Var[X|B]=E[X2|B] E[X|B]2
E[g(X)] = g(x) fX|B(x)dx
G. Qu

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Example
W: the waiting time (in minutes) at a bus
stop for the next bus, is an exponential
random variable with = 0.2.
What is E[W]?
B={W10}, what is EW|B(w)?
P[B] = P[W10] = FW(10) = 1-e-2
fW|B(w) = 0.2e-0.2w/(1-e-2)

if w[0,10]; 0 o.w.

0 .2 w

EW|B(w) = 10 w 0 . 2 e 2
0
1 e

G. Qu

dw = 5

10
e2 1

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Mixed Random Variables

CDF: FX(x) = P[Xx]
Discrete r.v.: FX(x) is piecewise constant with
jumps (discontinuous)
PMF () CDF, E[X], Var[X],

Continuous r.v.: FX(x) is continuous

CDF (d/dx) PDF () CDF, E[X], Var[X],

Mixed r.v.: FX(x) is piecewise continuous with

discountinuous
G. Qu

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Examples

0
x a + 1
FX ( x) =
b a +1
1

0
ya
FY ( y ) =
b a
1
0
z a
FZ ( z ) =
2(b a )
1
G. Qu

x<a

Are they CDFs?

a xb

Non-negative

x>b

Non-decreasing

y<a
a yb
y>b
z<a
a zb
z >b

Reach 1

X: discrete
uniform (a,b)
Y: continuous
uniform (a,b)
Z: mixed

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Delta () Function
Unit impulse () function:
The limit of n as n
and d as 0.
Sifting property: for any
continuous function g(x),
g(x) (x-c)dx = g(c)
where the integral goes
from - to or a to b
with a<c<b.

0
if x < 0

/2 1
(v)dv = lim / 2 dv = 1 if x 0

0
x

G. Qu

0 x 0
x = 0

( x) =

( x)dx = 1

0
n (x) =
n

d (x) = 1

ENEE 324 Engineering Probability

| x |>

1
2n

1
1
x
2n
2n

| x |> 2

x
2
2
24

Unit Step Function

Definition
(v)dv = u(x) du/dx= (x)

x<0
x0

0
u ( x) =
1

For discrete random variable X:

FX(x) = xiSx PX(xi) = xiSx PX(xi)u(x-xi)
Define fX(x)=(d/dx)(FX(x)=xiSx PX(xi) (x-xi)
xfT(t)dt = xiSx PX(xi) x(t-xi)dt = xiSx
PX(xi)u(x-xi) = xiSx PX(xi) = FX(x)
xfX(x)dx = xiSx{PX(xi)(x(x-xi)dx)} =
xiSxPX(xi) xi= E[X] recall: g(x) (x-c)dx = g(c)
fX(x) can be considered as the PDF of X.
G. Qu

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Mixed Random Variables

X is a mixed r.v. iff fX(x) is contains both
impulses and nonzero finite values.
draw fX(x) with impulses: a at x, where the
impulse occurs, with value PX(x) at the arrowhead.

Example 3.19*: Y takes values 1,2,3 with

probabilities 1/2, 1/3, and 1/6.
Draw PMF, CDF, and PDF of Y
1/2

G. Qu

ENEE 324 Engineering Probability

1/3

1/6

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Example 3.21
Y is the length of a phone call. Line is busy
or no answer with 1/3; otherwise Y is
uniformly distributed between 0 and 3
minutes.
CDF: FY(y)=(1/3)u(y) + (1/3+2y/9) (0y3)
PDF: fY(y)=(1/3)(y)+2/9
E[Y] = 1

G. Qu

0
1

FY ( y ) = 1 3 2
3 + 3
1

(0y 3)
y<0
y=0
y
3

0 y3
y >3

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