The document discusses continuous and discrete random variables. It defines a continuous random variable as having a probability density function fX that defines its cumulative distribution function FX. Examples of continuous distributions given are the exponential, uniform, and normal distributions. A discrete random variable is defined as having a probability mass function fX that defines its cumulative distribution function FX over its support set SX. The expectation or mean of a discrete random variable X is defined as the weighted average of its possible values using its probability mass function.
The document discusses continuous and discrete random variables. It defines a continuous random variable as having a probability density function fX that defines its cumulative distribution function FX. Examples of continuous distributions given are the exponential, uniform, and normal distributions. A discrete random variable is defined as having a probability mass function fX that defines its cumulative distribution function FX over its support set SX. The expectation or mean of a discrete random variable X is defined as the weighted average of its possible values using its probability mass function.
The document discusses continuous and discrete random variables. It defines a continuous random variable as having a probability density function fX that defines its cumulative distribution function FX. Examples of continuous distributions given are the exponential, uniform, and normal distributions. A discrete random variable is defined as having a probability mass function fX that defines its cumulative distribution function FX over its support set SX. The expectation or mean of a discrete random variable X is defined as the weighted average of its possible values using its probability mass function.
The document discusses continuous and discrete random variables. It defines a continuous random variable as having a probability density function fX that defines its cumulative distribution function FX. Examples of continuous distributions given are the exponential, uniform, and normal distributions. A discrete random variable is defined as having a probability mass function fX that defines its cumulative distribution function FX over its support set SX. The expectation or mean of a discrete random variable X is defined as the weighted average of its possible values using its probability mass function.
Lecture Slides Lecture 7 Continuous Random Variable
Def: A random variable is said to have a continuous distribution if
there exists a non-negative integrable function fX : R → [0, ∞) such that Z x FX (x) = fX (t)dt −∞
for all x ∈ R. The function fX is called the probability density
function. The set SX = {x ∈ R : fX (x) > 0} is called support of X . Example 32: (Exponential Distribution: Exp(λ)) ( 1 − e −λx if x > 0 FX (x) = 0 otherwise.
Example 33: (Uniform Distribution: U(a, b))
0 if x < a FX (x) = x−a b−a if a ≤ x < b 1 if x ≥ b.
Example 34: (Normal Distribution: N(µ, σ 2 ))
Z x 1 (t−µ)2 FX (x) = √ e − 2σ2 dt if − ∞ < x < ∞. −∞ σ 2π Remarks on CRV
◮ For a continuous random variable X , P(X = a) = 0 for all
a ∈ R. ◮ CDF of a continuous random variable is continuous. ◮ PDF is not unique. ◮ Support of a continuous random variable is not unique. Rb ◮ P(a ≤ X ≤ b) = a fX (t)dt. ◮ fX (x) is not P(X = x). Properties of PDF
R∞ 1 fX (x) ≥ 0 for all x ∈ R. 2 f (x) −∞ X = 1.
Theorem: Suppose a real valued function g : R → R satisfies the
following conditions: 1 g (x) ≥ 0 for all x ∈ R. R∞ 2 −∞ g (x)dx = 1. Then g (·) is a probability density function of some continuous random variable. RV which is neither discrete nor continuous Consider the random variable X whose distribution function is given by 0 if x < −1 FX (x) = x + 1 if − 1 ≤ x < −1/2 1 if x ≥ −1/2.
Observe that FX = 1/2F1 + 1/2F2 where F1 and F2 are distribution
functions given by 0 if x < −1 F1 (x) = 2(x + 1) if − 1 ≤ x < −1/2 1 if x ≥ −1/2.
( 0 if x < −1/2 F2 (x) = 1 if x ≥ −1/2. Expectation of DRV
Def: Let X be a discrete RV with PMF fX (·) and support SX . The
expectation or mean of X is defined by X X E (X ) = xfX (x) provided |x|fX (x) < ∞ . x∈SX x∈SX
◮ E(X) is the weighted average of the values taken by X .
X ◮ If |x|fX (x) = ∞ then we say that expectation does not exist. x∈SX Example 35: X = outcome of a roll of a fair die. What is E (X ) ? Example 36: X ∼ Bin(n, p). What is E (X ) ? Example 37: X ∼ Geo(p). What is E (X ) ? Example 38: X ∼ Poi (λ). What is E (X ) ? Example 39: X∞ −1 c , x ∈ N, where c = 1 2 fX (x) = n n=1 n2 0 otherwise .
Let X be a DRV having the above PMF, then E (X ) does not exist.
