Chapter 4.

Continuous Random Variables

September 27, 2021

ThienNV (FPTU) Chapter 4. Continuous Random Variables September 27, 2021 1/9
 Chapter 4. Continuous Random Variables

September 27, 2021

1 4.1 Continuous Random Variables

2 4.2 Probability distributions and probability density functions

3 4.3 Cumulative distribution function

ThienNV (FPTU) Chapter 4. Continuous Random Variables September 27, 2021 2/9
4.1 Continuous Random Variables

A continuous random variable is a random variable with an interval (either

finite or infinite) of real numbers for its range. The model provides for any
precision in length measurements. The number of possible values of X is
uncountably infinite.

ThienNV (FPTU) Chapter 4. Continuous Random Variables September 27, 2021 3/9
4.1 Continuous Random Variables

A continuous random variable is a random variable with an interval (either

finite or infinite) of real numbers for its range. The model provides for any
precision in length measurements. The number of possible values of X is
uncountably infinite.
Example
The height of a student at FPT University, weight of a cat, the mass of an
object in a classroom...

ThienNV (FPTU) Chapter 4. Continuous Random Variables September 27, 2021 3/9
4.1 Continuous Random Variables

A continuous random variable is a random variable with an interval (either

finite or infinite) of real numbers for its range. The model provides for any
precision in length measurements. The number of possible values of X is
uncountably infinite.
Example
The height of a student at FPT University, weight of a cat, the mass of an
object in a classroom...

ThienNV (FPTU) Chapter 4. Continuous Random Variables September 27, 2021 3/9
4.2 Probability distributions and probability density
functions
Definition
For a continuous random variable X , a probability density function is a
function such that
f (x ) ≥ 0
R∞
f (x )dx = 1
−∞

ThienNV (FPTU) Chapter 4. Continuous Random Variables September 27, 2021 4/9
4.2 Probability distributions and probability density
functions
Definition
For a continuous random variable X , a probability density function is a
function such that
f (x ) ≥ 0
R∞
f (x )dx = 1
−∞
P(a ≤ X ≤ b) = P(a < X ≤ b) = P(a ≤ X < b) = P(a < X < b) =
Rb
a f (x )dx , this is the area under the curve y = f (x ) from x = a to b.

ThienNV (FPTU) Chapter 4. Continuous Random Variables September 27, 2021 4/9
4.2 Probability distributions and probability density
functions
Definition
For a continuous random variable X , a probability density function is a
function such that
f (x ) ≥ 0
R∞
f (x )dx = 1
−∞
P(a ≤ X ≤ b) = P(a < X ≤ b) = P(a ≤ X < b) = P(a < X < b) =
Rb
a f (x )dx , this is the area under the curve y = f (x ) from x = a to b.

ThienNV (FPTU) Chapter 4. Continuous Random Variables September 27, 2021 4/9
4.2 Probability distributions and probability density
functions
Definition
For a continuous random variable X , a probability density function is a
function such that
f (x ) ≥ 0
R∞
f (x )dx = 1
−∞
P(a ≤ X ≤ b) = P(a < X ≤ b) = P(a ≤ X < b) = P(a < X < b) =
Rb
a f (x )dx , this is the area under the curve y = f (x ) from x = a to b.

ThienNV (FPTU) Chapter 4. Continuous Random Variables September 27, 2021 4/9
Example 1

Suppose that the probability density of a continuous random variable X is

f (x ) = e −(x −3) for x > 3. Determine:

a) P(1 ≤ X < 5), b) P(X < 8), c) P(X ≥ 6), d) P(X ≥ 0)?

ThienNV (FPTU) Chapter 4. Continuous Random Variables September 27, 2021 5/9
Example 1

Suppose that the probability density of a continuous random variable X is

f (x ) = e −(x −3) for x > 3. Determine:

a) P(1 ≤ X < 5), b) P(X < 8), c) P(X ≥ 6), d) P(X ≥ 0)?

Answer:
R 5 −(x −3) 5
a) P(1 ≤ X < 5) = P(3 < X < 5) = e dx = −e −(x −3)  =
3 
3
1 − e −2 .

ThienNV (FPTU) Chapter 4. Continuous Random Variables September 27, 2021 5/9
Example 1

Suppose that the probability density of a continuous random variable X is

f (x ) = e −(x −3) for x > 3. Determine:

a) P(1 ≤ X < 5), b) P(X < 8), c) P(X ≥ 6), d) P(X ≥ 0)?

Answer:
R 5 −(x −3) 5
a) P(1 ≤ X < 5) = P(3 < X < 5) = e dx = −e −(x −3)  =
3 
3
1 − e −2 .
R 8 −(x −3) 8
b) P(X < 8) = P(3 < X < 8) = e dx = −e −(x −3)  = 1 − e −5 .
3 
3

ThienNV (FPTU) Chapter 4. Continuous Random Variables September 27, 2021 5/9
Example 1

Suppose that the probability density of a continuous random variable X is

f (x ) = e −(x −3) for x > 3. Determine:

a) P(1 ≤ X < 5), b) P(X < 8), c) P(X ≥ 6), d) P(X ≥ 0)?

Answer:
R 5 −(x −3) 5
a) P(1 ≤ X < 5) = P(3 < X < 5) = e dx = −e −(x −3)  =
3 
3
1 − e −2 .
R 8 −(x −3) 8
b) P(X < 8) = P(3 < X < 8) = e dx = −e −(x −3)  = 1 − e −5 .
3 
3
R ∞ −(x −3) ∞
c) P(X ≥ 6) = 6 e dx = −e −(x −3) −3
 =e .

6

ThienNV (FPTU) Chapter 4. Continuous Random Variables September 27, 2021 5/9
Example 1

Suppose that the probability density of a continuous random variable X is

f (x ) = e −(x −3) for x > 3. Determine:

a) P(1 ≤ X < 5), b) P(X < 8), c) P(X ≥ 6), d) P(X ≥ 0)?

Answer:
R 5 −(x −3) 5
a) P(1 ≤ X < 5) = P(3 < X < 5) = e dx = −e −(x −3)  =
3 
3
1 − e −2 .
R 8 −(x −3) 8
b) P(X < 8) = P(3 < X < 8) = e dx = −e −(x −3)  = 1 − e −5 .
3 
3
R ∞ −(x −3) ∞
c) P(X ≥ 6) = 6 e dx = −e −(x −3) −3
 =e .

6
d) P(X ≥ 0) = P(X > 3) = 1.

ThienNV (FPTU) Chapter 4. Continuous Random Variables September 27, 2021 5/9
Example 1

Suppose that the probability density of a continuous random variable X is

f (x ) = e −(x −3) for x > 3. Determine:

a) P(1 ≤ X < 5), b) P(X < 8), c) P(X ≥ 6), d) P(X ≥ 0)?

Answer:
R 5 −(x −3) 5
a) P(1 ≤ X < 5) = P(3 < X < 5) = e dx = −e −(x −3)  =
3 
3
1 − e −2 .
R 8 −(x −3) 8
b) P(X < 8) = P(3 < X < 8) = e dx = −e −(x −3)  = 1 − e −5 .
3 
3
R ∞ −(x −3) ∞
c) P(X ≥ 6) = 6 e dx = −e −(x −3) −3
 =e .

6
d) P(X ≥ 0) = P(X > 3) = 1.

ThienNV (FPTU) Chapter 4. Continuous Random Variables September 27, 2021 5/9
Example 2
The probability density function of the length of a metal rod is f (x ) = cx 2
for 2 ≤ x < 3 meters.
a) What is the value of c? b) Find P(X < 2.5 or X ≥ 2.8)?

ThienNV (FPTU) Chapter 4. Continuous Random Variables September 27, 2021 6/9
Example 2
The probability density function of the length of a metal rod is f (x ) = cx 2
for 2 ≤ x < 3 meters.
a) What is the value of c? b) Find P(X < 2.5 or X ≥ 2.8)?

Answer:

a) We must have

cx 3 3
Z 3
8c 19c
cx 2 dx =  = 9c − = = 1.
2 3 2 3 3
Thus, c = 3/19.

ThienNV (FPTU) Chapter 4. Continuous Random Variables September 27, 2021 6/9
Example 2
The probability density function of the length of a metal rod is f (x ) = cx 2
for 2 ≤ x < 3 meters.
a) What is the value of c? b) Find P(X < 2.5 or X ≥ 2.8)?

Answer:

a) We must have

cx 3 3
Z 3
8c 19c
cx 2 dx =  = 9c − = = 1.
2 3 2 3 3
Thus, c = 3/19.
b) We have

P(X < 2.5 or X ≥ 2.8) = P(2 < X < 2.5) + P(2.8 ≤ X < 3)
Z 2.5 Z 3
3 2 3
= x dx + x 2 dx ≈ 0.667
2 19 2.8 19
ThienNV (FPTU) Chapter 4. Continuous Random Variables September 27, 2021 6/9
Example 2
The probability density function of the length of a metal rod is f (x ) = cx 2
for 2 ≤ x < 3 meters.
a) What is the value of c? b) Find P(X < 2.5 or X ≥ 2.8)?

Answer:

a) We must have

cx 3 3
Z 3
8c 19c
cx 2 dx =  = 9c − = = 1.
2 3 2 3 3
Thus, c = 3/19.
b) We have

P(X < 2.5 or X ≥ 2.8) = P(2 < X < 2.5) + P(2.8 ≤ X < 3)
Z 2.5 Z 3
3 2 3
= x dx + x 2 dx ≈ 0.667
2 19 2.8 19
ThienNV (FPTU) Chapter 4. Continuous Random Variables September 27, 2021 6/9
4.3 Cumulative distribution function

The cumulative distribution function of a continuous random variable X is

Z x
F (x ) = P(X ≤ x ) = P(X < x ) = f (t)dt,
−∞

for any −∞ < x < ∞.

ThienNV (FPTU) Chapter 4. Continuous Random Variables September 27, 2021 7/9
4.3 Cumulative distribution function

The cumulative distribution function of a continuous random variable X is

Z x
F (x ) = P(X ≤ x ) = P(X < x ) = f (t)dt,
−∞

for any −∞ < x < ∞.

Theorem
Suppose that f (x ) and F (x ) are the probability density and the cumulative
distribution functions of a continuous random variable X respectively.
Then
dF (x )
f (x ) = F 0 (x ) = .
dx

ThienNV (FPTU) Chapter 4. Continuous Random Variables September 27, 2021 7/9
4.3 Cumulative distribution function

The cumulative distribution function of a continuous random variable X is

Z x
F (x ) = P(X ≤ x ) = P(X < x ) = f (t)dt,
−∞

for any −∞ < x < ∞.

Theorem
Suppose that f (x ) and F (x ) are the probability density and the cumulative
distribution functions of a continuous random variable X respectively.
Then
dF (x )
f (x ) = F 0 (x ) = .
dx

ThienNV (FPTU) Chapter 4. Continuous Random Variables September 27, 2021 7/9
Example 1
Suppose the cumulative distribution function of the random variable X is

0 if x < 1


F (x ) = 0.5x − 0.5 if 1 ≤ x < 3

if x ≥ 3

1

Find:
a) P(X < 2.8), b) P(X < 0), c) P(X > 1.5)?

ThienNV (FPTU) Chapter 4. Continuous Random Variables September 27, 2021 8/9
Example 1
Suppose the cumulative distribution function of the random variable X is

0 if x < 1


F (x ) = 0.5x − 0.5 if 1 ≤ x < 3

if x ≥ 3

1

Find:
a) P(X < 2.8), b) P(X < 0), c) P(X > 1.5)?

Answer:
a) P(X < 2.8) = F (2.8) = 0.5 ∗ 2.8 − 0.5 = 0.9.

ThienNV (FPTU) Chapter 4. Continuous Random Variables September 27, 2021 8/9
Example 1
Suppose the cumulative distribution function of the random variable X is

0 if x < 1


F (x ) = 0.5x − 0.5 if 1 ≤ x < 3

if x ≥ 3

1

Find:
a) P(X < 2.8), b) P(X < 0), c) P(X > 1.5)?

Answer:
a) P(X < 2.8) = F (2.8) = 0.5 ∗ 2.8 − 0.5 = 0.9.
b) P(X < 0) = F (0) = 0.

ThienNV (FPTU) Chapter 4. Continuous Random Variables September 27, 2021 8/9
Example 1
Suppose the cumulative distribution function of the random variable X is

0 if x < 1


F (x ) = 0.5x − 0.5 if 1 ≤ x < 3

if x ≥ 3

1

Find:
a) P(X < 2.8), b) P(X < 0), c) P(X > 1.5)?

Answer:
a) P(X < 2.8) = F (2.8) = 0.5 ∗ 2.8 − 0.5 = 0.9.
b) P(X < 0) = F (0) = 0.
c)
P(X > 1.5) = 1 − P(X ≤ 1.5) = 1 − F (1.5)
=1 − (0.5 ∗ 1.5 − 0.5) = 0.75.
ThienNV (FPTU) Chapter 4. Continuous Random Variables September 27, 2021 8/9
Example 1
Suppose the cumulative distribution function of the random variable X is

0 if x < 1


F (x ) = 0.5x − 0.5 if 1 ≤ x < 3

if x ≥ 3

1

Find:
a) P(X < 2.8), b) P(X < 0), c) P(X > 1.5)?

Answer:
a) P(X < 2.8) = F (2.8) = 0.5 ∗ 2.8 − 0.5 = 0.9.
b) P(X < 0) = F (0) = 0.
c)
P(X > 1.5) = 1 − P(X ≤ 1.5) = 1 − F (1.5)
=1 − (0.5 ∗ 1.5 − 0.5) = 0.75.
ThienNV (FPTU) Chapter 4. Continuous Random Variables September 27, 2021 8/9
Example 2

Suppose that the probability density of a continuous random variable X is

f (x ) = e −(x −2) for x > 2. Find the cumulative distribution function of X .

ThienNV (FPTU) Chapter 4. Continuous Random Variables September 27, 2021 9/9
Example 2

Suppose that the probability density of a continuous random variable X is

f (x ) = e −(x −2) for x > 2. Find the cumulative distribution function of X .

Answer: For x > 2, we have

Z x Z x x
F (x ) = f (t)dt = e −(t−2) dt = −e −(t−2) 

2 2 2
−(x −2)
=1 − e .

ThienNV (FPTU) Chapter 4. Continuous Random Variables September 27, 2021 9/9
Example 2

Suppose that the probability density of a continuous random variable X is

f (x ) = e −(x −2) for x > 2. Find the cumulative distribution function of X .

Answer: For x > 2, we have

Z x Z x x
F (x ) = f (t)dt = e −(t−2) dt = −e −(t−2) 

2 2 2
−(x −2)
=1 − e .

Since f (x ) = 0 when x ≤ 2, hence F (x ) = 0 for x ≤ 2. Thus,

(
0 if x ≤ 2
F (x ) =
1 − e −(x −2) if x > 2.

ThienNV (FPTU) Chapter 4. Continuous Random Variables September 27, 2021 9/9
Example 2

Suppose that the probability density of a continuous random variable X is

f (x ) = e −(x −2) for x > 2. Find the cumulative distribution function of X .

Answer: For x > 2, we have

Z x Z x x
F (x ) = f (t)dt = e −(t−2) dt = −e −(t−2) 

2 2 2
−(x −2)
=1 − e .

Since f (x ) = 0 when x ≤ 2, hence F (x ) = 0 for x ≤ 2. Thus,

(
0 if x ≤ 2
F (x ) =
1 − e −(x −2) if x > 2.

ThienNV (FPTU) Chapter 4. Continuous Random Variables September 27, 2021 9/9