A continuous random variable has a probability of 0 of assuming exactly any of its values. P(a < X ≤ b) = P(a < X < b) + P(X = b) = P(a < X < b). Consequently, its probability distribution cannot be given in tabular form but it can be stated as a formula. In dealing with continuous variables, f(x) is usually called the probability density function, or simply the density function, of X. A probability density function is constructed so that the area under its curve bounded by the x axis is equal to 1 when computed over the range of X for which f(x) is defined. b P(a < X < b) = ∫ f ( x)dx a
Definition: The function f(x) is a probability density function (pdf) for the continuous random variable X, defined over the set of real numbers, if
1. f(x) ≥ 0, for all x ∈ R.
∞
2. ∫ −∞ f ( x)dx = 1. b 3. P(a < X < b) = ∫ f ( x)dx . a
Mathematical Expectation (Mean of a Random Variable)
Definition: Let X be a random variable with probability distribution f(x). The mean, or expected value, of X is ∞
μ = E(X) = ∫ xf ( x)dx if X is continuous.
−∞
Theorem: Let X be a random variable with probability distribution f(x). The expected value of the random variable g(X) is ∞ μ g(X) = E[g(X)] = ∫ g ( x) f ( x)dx if X is continuous. −∞
Also, if a and b are constants, then
E(aX ± b) = aE(X) ± b. PHM111s - Probability and Statistics Variance of Random Variables Definition: Let X be a random variable with probability distribution f(x) and mean μ. The variance of X is ∞ σ = E[(X − μ) ] = ∫ ( x − µ ) 2 f ( x)dx, if X is continuous. 2 2 −∞
Theorem: The variance of a random variable X is σ 2 = E(X2) − μ2.
Theorem: Let X be a random variable with probability distribution f(x). The variance of the random variable g(X) ∞ is σ g2( X ) = E{[ g ( X ) − µ g ( X ) ]2 } = ∫ [g( X ) − µ g(X ) ]2 f ( x)dx if X is continuous. −∞
Example 10.1: Suppose that the error in the reaction temperature, in ◦C, for a controlled laboratory experiment is a continuous random variable X having the probability density function x2 , − 1 < x < 2, f(x) = 3 0, elsewhere. (a) Verify that f(x) is a density function. (b) Find P(0 < X ≤ 1). (c) The expected value of g(X) = 4X + 3 (d) The variance of the random variable g(X). Solution: (a) Obviously, f(x) ≥ 0. To verify condition 2 in the previous definition, we have ∞ 2 x2 x3 2 8 1 ∫ f ( x)dx = −∫1 3 dx = 9 |−1 = 9 + 9 = 1. −∞ 1 x2 x3 1 1 (b) P(0 < X ≤ 1) = ∫ = dx = |0 . 0 3 9 9 2 (4x + 3) x 2 12 3 (c) E(4X + 3) = ∫ dx = ∫ (4x + 3x 2 )dx = 8. −1 3 3 −1 Or simply, E(4X +3) = 4E(X) + 3. Now 2 x2 2 x3 5 E(X) = ∫ x( = )dx ∫ = dx . −1 3 −1 3 4 Therefore,
PHM111s - Probability and Statistics
5 E(4X +3) = (4) + 3 =8, as before. 4 (d) σ 42= X +3 Var(4 X += 3) E{[(4 X + 3) − 8]= 2 } E[(4 X − 5) 2 ] 2 x2 12 51 51 = ∫ (4 x − 5) 2 dx = ∫ (16 x 4 − 40 x 3 + 25 x 2 )dx = . ⇒ σ = . −1 3 3 −1 5 5
Example 10.2: Suppose that X is a continuous random variable whose probability density function is given by C (4 x − 2 x 2 ) 0< x< 2 f (x) = 0 otherwise (a) What is the value of C? (b) Find P(X > 1). Solution: ∞
(a) Since f is a probability density function, we must have ∫
−∞ f ( x)dx = 1, implying that 2
C ∫ (4 x − 2 x 2 )dx = 1 0
or 2 x3 x= 2 C[2 x 2 − ] |x = 0 = 1 3 or 3 C= 8 Hence, ∞ 32 1 (b) P(X > 1) = ∫ 1 f ( x)dx = ∫ (4 x − 2 x 2 )dx = 81 2
PHM111s - Probability and Statistics
Example 10.3: The amount of time in hours that a computer functions before breaking down is a continuous random variable with probability density function given by λ e − x /100 x≥0 f (x) = 0 x<0 (a) Find λ. (b) What is the probability that a computer will function between 50 and 150 hours before breaking down? (c) What is the probability that it will function for fewer than 100 hours? Solution: ∞ ∞
(a)= Since 1 f ( x)dx λ ∫ e − x /100 dx ∫= −∞ 0
1 we obtain − λ (100)e − x /100 |0∞ == 1= 100λ or λ 100 150 1 (b) P(50 < X < 150) = ∫ 100 e − x /100 dx = − e − x /100 |150 50 = e −1/2 − e −3/2 ≈ 0.384 50 100 1 − x /100 (c) Similarly, P(X < 100) = ∫0 100 e dx = − e − x /100 |100 0 = 1 − e −1 ≈ 0.633 In other words, approximately 63.3 % of the time, a computer will fail before registering 100 hours of use.
Example 10.4: The lifetime in hours of a certain kind of radio tube is a random variable having a probability density function given by 0 x < 100 f (x) = 100 x ≥ 100 x2 What is the probability that exactly 2 of 5 such tubes in a radio set will have to be replaced within the first 150 hours of operation? Assume that the events E i , i = 1, 2, 3, 4, 5, that the ith such tube will have to be replaced within this time are independent. Solution: From the statement of the problem, we have 150
P(E i ) = ∫0 f ( x)dx 150 1 = 100 = ∫ x dx −2
100 3 Hence, from the independence of the events E i , it follows that the desired probability is 5 1 2 2 3 80 2 = 3 3 243 PHM111s - Probability and Statistics Example 10.7: Let X be the random variable that denotes the life in hours of a certain electronic device. The probability density function is 20,000 , x > 100, f(x) = x 3 0, elsewhere. Find the expected life of this type of device.
Solution: ∞ ∞ 20,000 20,000 μ = E(X) = ∫100 x3 = x dx ∫100= dx 200. x2 Definition: The cumulative distribution function F(x) of a continuous random variable X with density function f(x) is x
F(x) = P(X ≤ x) = ∫ −∞ f (t )dt , for − ∞ < x < ∞.
1. 0 ≤ F(x) ≤ 1.
2. F(−∞) = 0 and F(∞) = 1
3. P(X<a) = F(a) and 4. P(X >a) =1− F(a).
As an immediate consequence of this definition, one can write the two results
dF ( x ) 5. P(a < X < b) = F(b) − F(a) and 6. f(x) = dx if the derivative exists. x2 , − 1 < x < 2, Example 10.5: For the density function f(x) = 3 , find F(x), and use it to evaluate 0, elsewhere. P(0 < X ≤1). Solution: x
For x < −1, F(x) = ∫
−∞ f (t )dt = 0. x t2 x t 3 x x3 + 1 For −1 ≤ x < 2, F(x) = ∫ f (t= )dt ∫ = dt = |−1 . −∞ −1 3 9 9 x 2 2 t For x ≥ 2, F(x) = ∫ f (t )dt = 0 + ∫ dt + 0 = 0 + 1 + 0 = 1. −∞ −1 3
Therefore,
PHM111s - Probability and Statistics
0, x < −1, 3 x +1 F(x) = , − 1 ≤ x < 2, 9 1, x ≥ 2. The cumulative distribution function F(x) is expressed in the following figure. Now
