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Continuous Random Variables - Annotated

This document covers the fundamentals of continuous random variables in probability theory, including definitions, examples, and properties of probability density functions and cumulative distribution functions. It discusses specific types of continuous random variables such as uniform, exponential, and normal distributions, along with their expectations and variances. The module aims to equip students with the ability to define, identify, and calculate key characteristics of continuous random variables.

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30 views11 pages

Continuous Random Variables - Annotated

This document covers the fundamentals of continuous random variables in probability theory, including definitions, examples, and properties of probability density functions and cumulative distribution functions. It discusses specific types of continuous random variables such as uniform, exponential, and normal distributions, along with their expectations and variances. The module aims to equip students with the ability to define, identify, and calculate key characteristics of continuous random variables.

Uploaded by

chaimaalabyad647
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Probability Theory

Applications for Data Science


Module 4 Continuous Random Variables

Anne Dougherty

February 27, 2021


TABLE OF CONTENTS

Continuous Random Variables


Random Variables

At the end of this module, students should be able to


I Define a continuous random variable and give
examples of a probability density function and a
cumulative distribution function.

I Identify and discuss the properties of a uniform,


exponential, and normal random variable.

I Calculate the expectation and variance of a continuous rv.


Continuous Random Variables

Definition: A random variable is continuous if possible


values comprise either a single interval on the number line or a
union of disjoint intervals.
Examples:
I In the study of the ecology of a lake, a rv X could be the
depth measurements at randomly chosen locations.
X 2 [0, maximum depth of lake].
I In a study of a chemical reaction, Y could be the
concentration level of a particular chemical in solution.
I In a study of customer service, W could be the time a
customer waits for service.
Note: If X is continuous, P(X = x) = 0 for any x! Why?
Motivating example: Suppose a train is scheduled to arrive at
1 pm. Let X be the minutes past the hour that it arrives and
X 2 {0, 1, 2, 3, 4, 5}.

x 0 1 2 3 4 5
p(x) .1 .15 .3 .25 .15 .05
Properties of the probability density function
For any continuous rv X with probability density function
(pdf) f we have:
I The probability density function f : ( 1, 1) ! [0, 1),
so f (x) 0.
R
I P(1 < X < 1) = 11 f (x) dx = 1
R
I P(a  X  b) = ab f (x) dx
Ra
Note: P(X = a) = a f (x) dx = 0 for all real numbers a.
Cumulative Distribution Function
Definition The cumulative distribution function (cdf)
R x for a
continuous rv X is given by F (x) = P(X  x) = 1 f (t) dt
Uniform Random Variable

Definition A random variable X has the uniform


distribution on the interval [a, b] if it’s density function is
given by ⇢ 1
b a
if a  x  b
f (x) =
0 else
Notation: X ⇠ U[a, b]
Example: Random number generators select numbers
uniformly from a specific interval, usually [0, 1].

Example: Suppose the diameter of aerosol particles in a


particular application is uniformly distributed between 2 and 6
nanometers. Find the probability that a randomly measured
particle has diameter greater than 3 nanometers.

Example: You throw a dart at a dartboard. The radial


distance of the dart from the x-axis can be modeled by a
uniform random variable.
Expectation and variance for a continuous rv X :
Compute expectation and variance for X ⇠ U[a, b]

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