Continuous random variables

Chrysafis Vogiatzis

Department of Industrial and Enterprise Systems Engineering

University of Illinois at Urbana-Champaign

Lecture 7a

©Chrysafis Vogiatzis. Do not distribute without permission of the author

1/7 Chrysafis Vogiatzis Continuous random variables

Last time..

Random variables.
Discrete random variables.
Bernoulli, binomial, geometric;
Hypergeometric;
Poisson;
Uniform.

2/7 Chrysafis Vogiatzis Continuous random variables

Last time..

Random variables.
Discrete random variables.
Bernoulli, binomial, geometric;
Hypergeometric;
Poisson;
Uniform.

Today, we will introduce and study continuous random variables: we

will also see the exponential distribution.

2/7 Chrysafis Vogiatzis Continuous random variables

Last time..

Random variables.
Discrete random variables.
Bernoulli, binomial, geometric;
Hypergeometric;
Poisson;
Uniform.

Today, we will introduce and study continuous random variables: we

will also see the exponential distribution.

This lecture is divided into two smaller videos. This is the first one
focusing on continuous random variable fundamentals.

2/7 Chrysafis Vogiatzis Continuous random variables

Continuous random variables

Definition
A random variable is continuous if it can take uncountably many
values such that there exists some function f (x) called a probability
density function defined over real values (−∞, +∞) such that:
f (x) ≥ 0.
+∞R
f (x)dx = 1.
−∞
R
P (X ∈ B) = f (x)dx
B

Example
What is the probability that random variable X with pdf f (x) is
between 0 and 10?
R10
Answer: P (0 ≤ X ≤ 10) = f (x)dx.
0

3/7 Chrysafis Vogiatzis Continuous random variables

Continuous random variables

Definition
A random variable is continuous if it can take uncountably many
values such that there exists some function f (x) called a probability
density function defined over real values (−∞, +∞) such that:
f (x) ≥ 0.
+∞R
f (x)dx = 1.
−∞
R
P (X ∈ B) = f (x)dx
B

Example
What is the probability that random variable X with pdf f (x) is
between 0 and 10?
R10
Answer: P (0 ≤ X ≤ 10) = f (x)dx.
0

3/7 Chrysafis Vogiatzis Continuous random variables

Continuous random variable functions
pdf: f (x): relative likelihood that random variable X is equal to some
value x.
1 f (x) = 0 implies that value x cannot happen.
2 fR(x) ≥ 0.
+∞
3 −∞
f (x)dx = 1.
Rx
cdf: F (x) = P(X ≤ x) = −∞ f (y )dy : the probability that random
variable X is up to some value x.
1 0 ≤ F (x) ≤ 1.
2 If x ≤ y , then F (x) ≤ F (y ) and also P(a ≤ X ≤ b) = F (b) − F (a).
3 By definition f (x) = F 0 (x).

c a b c a b

4/7 Chrysafis Vogiatzis Continuous random variables

Continuous random variable functions
pdf: f (x): relative likelihood that random variable X is equal to some
value x.
1 f (x) = 0 implies that value x cannot happen.
2 fR(x) ≥ 0.
+∞
3 −∞
f (x)dx = 1.
Rx
cdf: F (x) = P(X ≤ x) = −∞ f (y )dy : the probability that random
variable X is up to some value x.
1 0 ≤ F (x) ≤ 1.
2 If x ≤ y , then F (x) ≤ F (y ) and also P(a ≤ X ≤ b) = F (b) − F (a).
3 By definition f (x) = F 0 (x).

c a b c a b

4/7 Chrysafis Vogiatzis Continuous random variables

Continuous random variable functions
pdf: f (x): relative likelihood that random variable X is equal to some
value x.
1 f (x) = 0 implies that value x cannot happen.
2 fR(x) ≥ 0.
+∞
3 −∞
f (x)dx = 1.
Rx
cdf: F (x) = P(X ≤ x) = −∞ f (y )dy : the probability that random
variable X is up to some value x.
1 0 ≤ F (x) ≤ 1.
2 If x ≤ y , then F (x) ≤ F (y ) and also P(a ≤ X ≤ b) = F (b) − F (a).
3 By definition f (x) = F 0 (x).

c a b c a b

4/7 Chrysafis Vogiatzis Continuous random variables

The probability density function: a small example

Example
Assume that X is a continuous random variable with pdf
f (x) = c · (1 + 0.1 · x), for values of x such that −1 ≤ x ≤ 1. For which value
of c is this a valid pdf?

Answer: First, we observe whether f (x) ≥ 0 for all values that x can take.
The smallest value that x can take is −1, at which point we have
f (−1) = 0.9 · c. This is non-negative if c ≥ 0.
R +∞
Secondly, we know that −∞ f (x)dx = 1. Using this we get:
Z +∞ Z +∞
f (x)dx = 1 =⇒ c · (1 + 0.1 · x)dx = 1 =⇒
−∞ −∞
1
0.1 · x 2 1
=⇒ cx|1−1 + c = 1 =⇒ 2c = 1 =⇒ c =
2 −1 2

5/7 Chrysafis Vogiatzis Continuous random variables

The probability density function: a small example

Example
Assume that X is a continuous random variable with pdf
f (x) = c · (1 + 0.1 · x), for values of x such that −1 ≤ x ≤ 1. For which value
of c is this a valid pdf?

Answer: First, we observe whether f (x) ≥ 0 for all values that x can take.
The smallest value that x can take is −1, at which point we have
f (−1) = 0.9 · c. This is non-negative if c ≥ 0.
R +∞
Secondly, we know that −∞ f (x)dx = 1. Using this we get:
Z +∞ Z +∞
f (x)dx = 1 =⇒ c · (1 + 0.1 · x)dx = 1 =⇒
−∞ −∞
1
0.1 · x 2 1
=⇒ cx|1−1 + c = 1 =⇒ 2c = 1 =⇒ c =
2 −1 2

5/7 Chrysafis Vogiatzis Continuous random variables

The probability density function: a small example

Example
Assume that X is a continuous random variable with pdf
f (x) = c · (1 + 0.1 · x), for values of x such that −1 ≤ x ≤ 1. For which value
of c is this a valid pdf?

Answer: First, we observe whether f (x) ≥ 0 for all values that x can take.
The smallest value that x can take is −1, at which point we have
f (−1) = 0.9 · c. This is non-negative if c ≥ 0.
R +∞
Secondly, we know that −∞ f (x)dx = 1. Using this we get:
Z +∞ Z +∞
f (x)dx = 1 =⇒ c · (1 + 0.1 · x)dx = 1 =⇒
−∞ −∞
1
0.1 · x 2 1
=⇒ cx|1−1 + c = 1 =⇒ 2c = 1 =⇒ c =
2 −1 2

5/7 Chrysafis Vogiatzis Continuous random variables

The probability density function: a small example

Example
Assume that X is a continuous random variable with pdf
f (x) = c · (1 + 0.1 · x), for values of x such that −1 ≤ x ≤ 1. For which value
of c is this a valid pdf?

Answer: First, we observe whether f (x) ≥ 0 for all values that x can take.
The smallest value that x can take is −1, at which point we have
f (−1) = 0.9 · c. This is non-negative if c ≥ 0.
R +∞
Secondly, we know that −∞ f (x)dx = 1. Using this we get:
Z +∞ Z +∞
f (x)dx = 1 =⇒ c · (1 + 0.1 · x)dx = 1 =⇒
−∞ −∞
1
0.1 · x 2 1
=⇒ cx|1−1 + c = 1 =⇒ 2c = 1 =⇒ c =
2 −1 2

5/7 Chrysafis Vogiatzis Continuous random variables

The cumulative density function: a small example
Example
For the previous random variable X , with pdf
f (x) = 0.5 · (1 + 0.1 · x), −1 ≤ x ≤ 1, what is the cumulative distribution
function? With that in hand, what is the probability that:
a) X ≤ 0? b) X = 0? c) −0.1 ≤ X ≤ 0.1?
Rx
Answer: By definition, F (x) = −1 f (y )dy :
Z x Z x
x2
F (x) = f (y )dy = 0.5 · (1 + 0.1 · y )dy = 0.5 · x + 0.05 · + 0.475.
−1 −1 2
For the probability questions now:
1 Two ways to calculate this:
P(X ≤ 0) = F (0) = 0.475.
R0 R0
P(X ≤ 0) = −1 f (x)dx = −1 0.5 · (1 + 0.1 · x)dx = 0.475.
0 R
2 Trick question: it is zero! 0 f (x)dx = 0, or F (0) − F (0) = 0.
3 Again two ways:
P(−0.1 ≤ X ≤ 0.1) = F (0.1) − F (−0.1) = 0.1.
R 0.1 R 0.1
P(X ≤ 0) = −0.1 f (x)dx = −0.1 0.5 · (1 + 0.1 · x)dx = 0.1.
6/7 Chrysafis Vogiatzis Continuous random variables
The cumulative density function: a small example
Example
For the previous random variable X , with pdf
f (x) = 0.5 · (1 + 0.1 · x), −1 ≤ x ≤ 1, what is the cumulative distribution
function? With that in hand, what is the probability that:
a) X ≤ 0? b) X = 0? c) −0.1 ≤ X ≤ 0.1?
Rx
Answer: By definition, F (x) = −1 f (y )dy :
Z x Z x
x2
F (x) = f (y )dy = 0.5 · (1 + 0.1 · y )dy = 0.5 · x + 0.05 · + 0.475.
−1 −1 2
For the probability questions now:
1 Two ways to calculate this:
P(X ≤ 0) = F (0) = 0.475.
R0 R0
P(X ≤ 0) = −1 f (x)dx = −1 0.5 · (1 + 0.1 · x)dx = 0.475.
0 R
2 Trick question: it is zero! 0 f (x)dx = 0, or F (0) − F (0) = 0.
3 Again two ways:
P(−0.1 ≤ X ≤ 0.1) = F (0.1) − F (−0.1) = 0.1.
R 0.1 R 0.1
P(X ≤ 0) = −0.1 f (x)dx = −0.1 0.5 · (1 + 0.1 · x)dx = 0.1.
6/7 Chrysafis Vogiatzis Continuous random variables
The cumulative density function: a small example
Example
For the previous random variable X , with pdf
f (x) = 0.5 · (1 + 0.1 · x), −1 ≤ x ≤ 1, what is the cumulative distribution
function? With that in hand, what is the probability that:
a) X ≤ 0? b) X = 0? c) −0.1 ≤ X ≤ 0.1?
Rx
Answer: By definition, F (x) = −1 f (y )dy :
Z x Z x
x2
F (x) = f (y )dy = 0.5 · (1 + 0.1 · y )dy = 0.5 · x + 0.05 · + 0.475.
−1 −1 2
For the probability questions now:
1 Two ways to calculate this:
P(X ≤ 0) = F (0) = 0.475.
R0 R0
P(X ≤ 0) = −1 f (x)dx = −1 0.5 · (1 + 0.1 · x)dx = 0.475.
0 R
2 Trick question: it is zero! 0 f (x)dx = 0, or F (0) − F (0) = 0.
3 Again two ways:
P(−0.1 ≤ X ≤ 0.1) = F (0.1) − F (−0.1) = 0.1.
R 0.1 R 0.1
P(X ≤ 0) = −0.1 f (x)dx = −0.1 0.5 · (1 + 0.1 · x)dx = 0.1.
6/7 Chrysafis Vogiatzis Continuous random variables
The cumulative density function: a small example
Example
For the previous random variable X , with pdf
f (x) = 0.5 · (1 + 0.1 · x), −1 ≤ x ≤ 1, what is the cumulative distribution
function? With that in hand, what is the probability that:
a) X ≤ 0? b) X = 0? c) −0.1 ≤ X ≤ 0.1?
Rx
Answer: By definition, F (x) = −1 f (y )dy :
Z x Z x
x2
F (x) = f (y )dy = 0.5 · (1 + 0.1 · y )dy = 0.5 · x + 0.05 · + 0.475.
−1 −1 2
For the probability questions now:
1 Two ways to calculate this:
P(X ≤ 0) = F (0) = 0.475.
R0 R0
P(X ≤ 0) = −1 f (x)dx = −1 0.5 · (1 + 0.1 · x)dx = 0.475.
0 R
2 Trick question: it is zero! 0 f (x)dx = 0, or F (0) − F (0) = 0.
3 Again two ways:
P(−0.1 ≤ X ≤ 0.1) = F (0.1) − F (−0.1) = 0.1.
R 0.1 R 0.1
P(X ≤ 0) = −0.1 f (x)dx = −0.1 0.5 · (1 + 0.1 · x)dx = 0.1.
6/7 Chrysafis Vogiatzis Continuous random variables
The cumulative density function: a small example
Example
For the previous random variable X , with pdf
f (x) = 0.5 · (1 + 0.1 · x), −1 ≤ x ≤ 1, what is the cumulative distribution
function? With that in hand, what is the probability that:
a) X ≤ 0? b) X = 0? c) −0.1 ≤ X ≤ 0.1?
Rx
Answer: By definition, F (x) = −1 f (y )dy :
Z x Z x
x2
F (x) = f (y )dy = 0.5 · (1 + 0.1 · y )dy = 0.5 · x + 0.05 · + 0.475.
−1 −1 2
For the probability questions now:
1 Two ways to calculate this:
P(X ≤ 0) = F (0) = 0.475.
R0 R0
P(X ≤ 0) = −1 f (x)dx = −1 0.5 · (1 + 0.1 · x)dx = 0.475.
0 R
2 Trick question: it is zero! 0 f (x)dx = 0, or F (0) − F (0) = 0.
3 Again two ways:
P(−0.1 ≤ X ≤ 0.1) = F (0.1) − F (−0.1) = 0.1.
R 0.1 R 0.1
P(X ≤ 0) = −0.1 f (x)dx = −0.1 0.5 · (1 + 0.1 · x)dx = 0.1.
6/7 Chrysafis Vogiatzis Continuous random variables
The cumulative density function: a small example
Example
For the previous random variable X , with pdf
f (x) = 0.5 · (1 + 0.1 · x), −1 ≤ x ≤ 1, what is the cumulative distribution
function? With that in hand, what is the probability that:
a) X ≤ 0? b) X = 0? c) −0.1 ≤ X ≤ 0.1?
Rx
Answer: By definition, F (x) = −1 f (y )dy :
Z x Z x
x2
F (x) = f (y )dy = 0.5 · (1 + 0.1 · y )dy = 0.5 · x + 0.05 · + 0.475.
−1 −1 2
For the probability questions now:
1 Two ways to calculate this:
P(X ≤ 0) = F (0) = 0.475.
R0 R0
P(X ≤ 0) = −1 f (x)dx = −1 0.5 · (1 + 0.1 · x)dx = 0.475.
0 R
2 Trick question: it is zero! 0 f (x)dx = 0, or F (0) − F (0) = 0.
3 Again two ways:
P(−0.1 ≤ X ≤ 0.1) = F (0.1) − F (−0.1) = 0.1.
R 0.1 R 0.1
P(X ≤ 0) = −0.1 f (x)dx = −0.1 0.5 · (1 + 0.1 · x)dx = 0.1.
6/7 Chrysafis Vogiatzis Continuous random variables
Let’s play: cdf or not?

2 1.2
1.2

1
1
1.5
0.8
0.8

F (x)
F (x)
F (x)

0.6 1 0.6

0.4 0.4
0.5
0.2 0.2

x x x
0 0 0
2 4 6 8 10 1 2 3 4 −4 −2 0 2 4

No. F (x) has to be non-decreasing. No. F (x) has to be ≤ 1. Yes.

1.2 1.2

1 1 1

0.5 0.8 0.8

x

Ff (x)
F (x)

0 0.6 0.6
F (x)

−2 0 2 4
−0.5 0.4 0.4

−1 0.2 0.2

x x
−1.5 0 0
2 4 6 8 10 −5 0 5 10

No. F (x) has to be ≥ 0. Yes. Yes.

7/7 Chrysafis Vogiatzis Continuous random variables

Let’s play: cdf or not?

2 1.2
1.2

1
1
1.5
0.8
0.8

F (x)
F (x)
F (x)

0.6 1 0.6

0.4 0.4
0.5
0.2 0.2

x x x
0 0 0
2 4 6 8 10 1 2 3 4 −4 −2 0 2 4

No. F (x) has to be non-decreasing. No. F (x) has to be ≤ 1. Yes.

1.2 1.2

1 1 1

0.5 0.8 0.8

x

Ff (x)
F (x)

0 0.6 0.6
F (x)

−2 0 2 4
−0.5 0.4 0.4

−1 0.2 0.2

x x
−1.5 0 0
2 4 6 8 10 −5 0 5 10

No. F (x) has to be ≥ 0. Yes. Yes.

7/7 Chrysafis Vogiatzis Continuous random variables

Let’s play: cdf or not?

2 1.2
1.2

1
1
1.5
0.8
0.8

F (x)
F (x)
F (x)

0.6 1 0.6

0.4 0.4
0.5
0.2 0.2

x x x
0 0 0
2 4 6 8 10 1 2 3 4 −4 −2 0 2 4

No. F (x) has to be non-decreasing. No. F (x) has to be ≤ 1. Yes.

1.2 1.2

1 1 1

0.5 0.8 0.8

x

Ff (x)
F (x)

0 0.6 0.6
F (x)

−2 0 2 4
−0.5 0.4 0.4

−1 0.2 0.2

x x
−1.5 0 0
2 4 6 8 10 −5 0 5 10

No. F (x) has to be ≥ 0. Yes. Yes.

7/7 Chrysafis Vogiatzis Continuous random variables

Let’s play: cdf or not?

2 1.2
1.2

1
1
1.5
0.8
0.8

F (x)
F (x)
F (x)

0.6 1 0.6

0.4 0.4
0.5
0.2 0.2

x x x
0 0 0
2 4 6 8 10 1 2 3 4 −4 −2 0 2 4

No. F (x) has to be non-decreasing. No. F (x) has to be ≤ 1. Yes.

1.2 1.2

1 1 1

0.5 0.8 0.8

x

Ff (x)
F (x)

0 0.6 0.6
F (x)

−2 0 2 4
−0.5 0.4 0.4

−1 0.2 0.2

x x
−1.5 0 0
2 4 6 8 10 −5 0 5 10

No. F (x) has to be ≥ 0. Yes. Yes.

7/7 Chrysafis Vogiatzis Continuous random variables

Let’s play: cdf or not?

2 1.2
1.2

1
1
1.5
0.8
0.8

F (x)
F (x)
F (x)

0.6 1 0.6

0.4 0.4
0.5
0.2 0.2

x x x
0 0 0
2 4 6 8 10 1 2 3 4 −4 −2 0 2 4

No. F (x) has to be non-decreasing. No. F (x) has to be ≤ 1. Yes.

1.2 1.2

1 1 1

0.5 0.8 0.8

x

Ff (x)
F (x)

0 0.6 0.6
F (x)

−2 0 2 4
−0.5 0.4 0.4

−1 0.2 0.2

x x
−1.5 0 0
2 4 6 8 10 −5 0 5 10

No. F (x) has to be ≥ 0. Yes. Yes.

7/7 Chrysafis Vogiatzis Continuous random variables

Let’s play: cdf or not?

2 1.2
1.2

1
1
1.5
0.8
0.8

F (x)
F (x)
F (x)

0.6 1 0.6

0.4 0.4
0.5
0.2 0.2

x x x
0 0 0
2 4 6 8 10 1 2 3 4 −4 −2 0 2 4

No. F (x) has to be non-decreasing. No. F (x) has to be ≤ 1. Yes.

1.2 1.2

1 1 1

0.5 0.8 0.8

x

Ff (x)
F (x)

0 0.6 0.6
F (x)

−2 0 2 4
−0.5 0.4 0.4

−1 0.2 0.2

x x
−1.5 0 0
2 4 6 8 10 −5 0 5 10

No. F (x) has to be ≥ 0. Yes. Yes.

7/7 Chrysafis Vogiatzis Continuous random variables

Let’s play: cdf or not?

2 1.2
1.2

1
1
1.5
0.8
0.8

F (x)
F (x)
F (x)

0.6 1 0.6

0.4 0.4
0.5
0.2 0.2

x x x
0 0 0
2 4 6 8 10 1 2 3 4 −4 −2 0 2 4

No. F (x) has to be non-decreasing. No. F (x) has to be ≤ 1. Yes.

1.2 1.2

1 1 1

0.5 0.8 0.8

x

Ff (x)
F (x)

0 0.6 0.6
F (x)

−2 0 2 4
−0.5 0.4 0.4

−1 0.2 0.2

x x
−1.5 0 0
2 4 6 8 10 −5 0 5 10

No. F (x) has to be ≥ 0. Yes. Yes.

7/7 Chrysafis Vogiatzis Continuous random variables