Statistics for Data Science - 2
Week 4 Notes
Continuous Random Variables
1. Cumulative distribution function:
A function F : R → [0, 1] is said to be a Cumulative Distribution Function (CDF) if
(i) F is a non-decreasing function taking values between 0 and 1.
(ii) As x → −∞, F → 0
(iii) As x → ∞, F → 1
(iv) Technical: F is continuous from the right.
2. CDF of a random variable:
Cumulative distribution function of a random variable X is a function FX : R → [0, 1]
defined as
FX (x) = P (X ≤ x)
Properties of CDF
• FX (b) − FX (a) = P (a < X ≤ b)
• FX is a non-decreasing function of x.
• FX takes non-negative values.
• As x → −∞, FX (x) → 0
• As x → ∞, FX (x) → 1
3. Theorem: Random variable with CDF F(x)
Given a valid CDF F (x), there exists a random variable X taking values in R such
that
P (X ≤ x) = F (x)
• If F is not continuous at x and F (X) rises from F1 to F2 at x (jump at x), then
P (X = x) = F2 − F1
• If F is continuous at x, then
P (X = x) = 0
4. Continuous random variable:
A random variable X with CDF FX (x) is said to be a continuous random variable if
FX (x) is continuous at every x.
Properties of continuous random variables
• CDF has no jumps or steps.
• P (X = x) = 0 for all x.
• Probability of X falling in an interval will be nonzero
P (a < X ≤ b) = F (b) − F (a)
• Since P (X = a) = 0 and P (X = b) = 0, we have
P (a ≤ X ≤ b) = P (a < X ≤ b) = P (a ≤ X < b) = P (a < X < b)
5. Probability density function (PDF):
A continuous random variable X with CDF FX (x) is said to have a PDF fX (x) if, for
all x0 , Z x0
FX (x0 ) = fX (x)dx
−∞
• CDF is the integral of the PDF.
• Derivative of the CDF (wherever it exists) is usually taken as the PDF.
• Value of PDF around fX (x0 ) is related to X taking a value around x0 .
• Higher the PDF, higher the chance that X lies there.
6. For a random variable X with PDF fX , an event A is a subset of the real line and its
probability is computed as Z
P (A) = fX (x)dx
A
Rb
• P (a < X < b) = FX (b) − FX (a) = a
fX (x)dx
7. Density function:
A function f : R → R is said to be a density function if
(i) fR(x) ≥ 0
∞
(ii) −∞ fX (x)dx = 1
(iii) f (x) is piece-wise continuous
8. Given a density function f , there is a continuous random variable X with PDF as f .
9. Support of random variable X
Support of the random variable X with PDF fX is
supp(X) = {x : fX (x) > 0}
• supp(X) contains intervals in which X can fall with positive probability.
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10. Continuous Uniform distribution:
• X ∼ Uniform[a, b]
• PDF:
1 a<x<b
fX (x) = b − a
0 otherwise
• CDF:
0 x≤a
x − a
FX (x) = a<x<b
b−a
1 x≥b
11. Exponential distribution:
• X ∼ Exp(λ)
• PDF: (
λe−λx x>0
fX (x) =
0 otherwise
• CDF: (
0 x≤0
FX (x) =
1 − e−λx x>0
12. Normal distribution:
• X ∼ Normal[µ, σ 2 ]
• PDF:
−(x − µ)2
1
fX (x) = √ exp −∞<x<∞
σ 2π 2σ 2
• CDF: Z x
FX (x) = fX (u)du
−∞
• CDF has no closed form expression.
• Standard normal: Z = Normal(0, 1)
2
1 −z
– PDF: fZ (z) = √ exp −∞<z <∞
2π 2
13. Standardization:
If X ∼ Normal(µ, σ 2 ), then
X −µ
= Z ∼ Normal(0, 1)
σ
14. To compute the probabilities of the normal distribution, convert probability computa-
tion to that of a standard normal.
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