Thus far we have dealt with the properties of discrete random variables.

We now extend this to

continuous random variables.

We will now look at variables that are continuous and hence measured eg: height, weight, time
taken, distance travelled.

Continuous Random variables

Let X be a continuous random variable.

Definition 1: Probability density function

A function f ( x) of a continuous random variable X is called a probability density function (or

probability distribution) of X such that for any two numbers a and b with a  b
b
P(a  X  b)   f ( x) dx
a

The integral from x  a to x  b gives the probability that X takes a value in the interval [a, b]

Properties of a pdf
A function f ( x) of a continuous random variable X is called a probability density function (or
probability distribution) of X if and only if (iff)

i ) f ( x)  0   x  

ii ) 

f ( x) dx  1

Recall: the properties of a probability mass function of a discrete random variable X :

i ) p( x)  0 x

ii )  p( x)  1
All x

Example 1:
Show that
1
 0  x  60
f ( x)   60

0 elsewhere
is a p.d.f.

1
Example 2:
Show that
3
 4  2 x  x  0 x2
2

f ( x)  

0 elsewhere
is a p.d.f.

Example 3:
Find the value of k that makes f ( x) a p.d.f

e kx k  0, x  0

f ( x)  
 0 elsewhere


Definition 2: Cumulative distribution function

The cumulative distribution function F ( x) of a continuous random variable X gives the P( X  x)
It is found by integrating the probability density function f ( y ) between the limits  and x .The
cumulative distribution function F ( x) for a continuous r.v. X is defined for every number x by
x
F ( x)  P( X  x)  

f ( y ) dy

Thus, for each x, F ( x) is the area under the density to the left of x.

Using F ( x) to compute probabilities

If X is a continuous random variable with pdf f ( x) and cumulative distribution function F ( x) then:
i) for any numbers a and b with a  b
b
P(a  X  b)   f ( x) dx  F (b)  F (a)
a

ii) for any number a

P( X  a)  1  P( X  a)  1  F (a)
and
a
P( X  a)   f ( x) dx  F (a)  F (a)  0
a

Using F ( x) to find f ( x)

2
If X is a continuous random variable with pdf f ( x) and cumulative distribution function , then at
every x at which the derivative F '( x) exists
F '( x)  f ( x)

Example 4

i) Homework: Show that k=2 makes f ( x) a p.d.f., where

k
 x3 x 1

f ( x)  
0 elsewhere



ii) Find P( X  3)

Extra Example (Homework)

i) Find the value of k that makes f ( x) a p.d.f where

kx 2 (1  x) 0  x  1; k  0

f ( x)  
 0 elsewhere

(Ans: k = 12)

 1
ii) Find P  X   - Ans 0
 2
iii) Find P  0.1  X  0.6  - Ans 0.4715

Definition 3

The (100p)th percentile of the distribution of a continuous random variable X , denoted by  ( p) is

defined by
 ( p)
p  F  ( p)   f ( y ) dy

where p is a number between 0 and 1

The median of the distribution of a continuous random variable X , denoted by M is defined by

M
F (M  

f ( y ) dy  0.5

3
Definition 4: Expected value
The expected value of a c.r.v X with p.d.f. f ( x) is given by

  E[ X ]  x

f ( x) dx

Definition 5: Variance
The variance of a c.r.v X with p.d.f. f ( x) is given by


2   (x  )
2
f ( x) dx


Homework: Show that


  x f ( x) dx   E[ X ]
2 2 2



 E[ X 2 ]   E[ X ]
2

Example 5

Going back to example 4, find the expected value.

2
 x3 x 1

f ( x)  
0 elsewhere



Example 6

1
8 0 x2

x
Let f ( x)   2 x4
8
0 elsewhere



Find F ( x) the c.d.f of f ( x) ; P 1  X  3 , the median, mean and variance

4
Integration by parts

Suppose u and v are both functions of x

Then from the product rule

[ u ( x) v( x)]'  u '( x) v( x)  v '( x)u ( x)

Thus taking the integral on both sides gives

u ( x) v( x)   u '( x) v( x) dx   v '( x)u ( x) dx

Generally speaking:

uv   v du   u dv

General guidelines:

 u  dv must give the original integrand

 dx must be part of dv
 For u choose something that can be differentiated without getting messy
 For dv - generally pick the most complicated part of the integrand that will integrate into
something not too messy

Example 7
 x e dx
x

Example 8 (homework)
1 2
Show that  x e x dx  e x  C
2

Example 9
2

x e xe
6x 6x
Find dx and evaluate dx
1

Example 10 (homework)
3 5
2 4
Show that the following indefinite integral x x  1 dx =
3
x( x  1) 2  ( x  1) 2  C
15

Example 11

x x3  1 dx
5
Evaluate

5
6
Example 12

Given

1 x

 x e 2
x0
 4
f ( x)  
 0 elsewhere



Find E[X]

****** Revise limits and L'Hôpital's rule as we apply these in solving examples******