Continuous Random

Variables
Lecture 08
EEE 25: Probability and Statistics for Electrical and Electronics Engineers

Lecture 08: Continuous Random Variables

EEE 25

Review

Random variable (RV)

-

Mapping from the sample space to the set of real

numbers

Discrete random variable (DRV)

-

Set of possible outcomes is countable

Described by the probability mass function (PMF)

Lecture 08: Continuous Random Variables

EEE 25

Random variable examples

Let X be the random variable defined as the

number of items found defective in a sample of 10.

Interest centers around the proportion of people

who respond to a certain mail order solicitation. Let
X be that proportion.

Let X be the random variable defined by the

waiting time, in hours, between successive
speeders spotted by a radar unit.

Lecture 08: Continuous Random Variables

EEE 25

From R. Walpole et. al., Probability & Statistics

for Engineers & Scientists

Continuous random variables

Continuous random variables (CRVs) take an

infinite number of possible values

Continuous RVs represent measured data.

-

Height and weight

Time required to run a mile

Lecture 08: Continuous Random Variables

EEE 25

Continuous random variables

The following must apply

1. Possible values are either all numbers in a single
interval OR in a union of disjoint intervals

Lecture 08: Continuous Random Variables

EEE 25

Continuous random variables

The following must apply

2. No possible value has a nonzero probability

Example: X = heights of people

-

P(X = 164 cm) = 0

P(163 cm < X < 165 cm) is possibly > 0

P(a < X b)

= P(a < X < b) + P(X = b)

= P(a < X < b)

Lecture 08: Continuous Random Variables

EEE 25

From R. Walpole et. al., Probability & Statistics

for Engineers & Scientists

Probability density function

CRVs can be described by probability density

functions (PDFs)
-

Notation: given a CRV X, its PDF is fX(x)

Examples

Lecture 08: Continuous Random Variables

EEE 25

From R. Walpole et. al., Probability & Statistics

for Engineers & Scientists

Probability density function

Calculating probabilities with the PDF

P (a X b) =
Lecture 08: Continuous Random Variables
EEE 25

fX (x)dx
a

From R. Walpole et. al., Probability & Statistics

for Engineers & Scientists

Probability density function

Properties
1. fX (x) 0, for all x 2 R
Z 1
2.
fX (x)dx = 1
1

3. P (a X b) =

Lecture 08: Continuous Random Variables

EEE 25

fX (x)dx
a

Probability density function

PDF as probability mass per unit length

P([x, x + ]) =
Lecture 08: Continuous Random Variables
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x+

fX (t)dt fX (x)

From R. Walpole et. al., Probability & Statistics

for Engineers & Scientists

10

Example: continuous uniform RV

A gambler spins a wheel of fortune, continuously

calibrated between 0 and 1, and observes the
resulting number.

Assume that all subintervals of [0,1] of the same

length are equally likely.

Lecture 08: Continuous Random Variables

EEE 25

From R. Walpole et. al., Probability & Statistics

for Engineers & Scientists

11

Example: continuous uniform RV

The experiment can be modeled in terms a random

variable X with the following PDF
(
c, if 0 x 1
fX (x) =
0, otherwise

How can this be a valid PDF?

Lecture 08: Continuous Random Variables

EEE 25

From R. Walpole et. al., Probability & Statistics

for Engineers & Scientists

12

Expectation of CRVs

For a continuous RV X:
Z 1
E[X] =
xfX (x)dx
1
Z 1
g(x)fX (x)dx
E[g(X)] =
1
Z 1
2
2
var(X) = X =
(x E[X]) fX (x)dx
1

Lecture 08: Continuous Random Variables

EEE 25

13

Example: continuous uniform RV

The experiment can be modeled in terms a random

variable X with the following PDF
(
c, if 0 x 1
fX (x) =
0, otherwise

Determine the mean and variance of X.

Lecture 08: Continuous Random Variables

EEE 25

From R. Walpole et. al., Probability & Statistics

for Engineers & Scientists

14

Cumulative distribution functions

Can be used to describe both discrete and

continuous RVs

Definition
FX (x) = P(X x) =
-

8P
>
< kx pX (k), X: discrete
>
:R x

f
(t)dt,
X:
continuous
X
1

Accumulates probability up to the value x

Lecture 08: Continuous Random Variables

EEE 25

15

Example: continuous uniform RV

Show that the CDF of the uniform RV X is the graph

on the right

Lecture 08: Continuous Random Variables

EEE 25

Example from J. Tsitsiklis, Lecture Notes on

Probabilistic Systems Analysis and Applied
Probability

16

Example: discrete RV

Show that the CDF of the discrete RV X is the

graph on the right

Lecture 08: Continuous Random Variables

EEE 25

Example from J. Tsitsiklis, Lecture Notes on

Probabilistic Systems Analysis and Applied
Probability

17

Cumulative distribution functions

Properties
1. The CDF is monotonically nondecreasing

if x y, then FX (x) FX (y)

2. At the limits:

lim FX (x) = 0,

x! 1

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lim FX (x) = 1

x!1

18

Example: mixed RVs

Consider the amount of rainfall in a certain area in

a day

Probability distribution function = PMF + PDF

Lecture 08: Continuous Random Variables

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19

Continuous Random
Variables
Lecture 08
EEE 25: Probability and Statistics for Electrical and Electronics Engineers

Lecture 08: Continuous Random Variables

EEE 25