Math 2274 Lecture 11 Continuous Random Variables

A continuous random variable is one that may take on any value in an interval of numbers.

o Its possible values are uncountably infinite.

o It has no measurable probability associated with each value, if X is a continuous r.v. ,
P(X=c) = 0, where c is a fixed number.
o Measures e.g. height, weight, speed, value, duration, length.
o Examples include the amount of water flowing into a dam, litres of petrol sold by a
gas station, time taken to complete a task, weight of newly born babies in a maternity
ward etc.

Definition 1: Probability Density Function- pdf (similar to the pf)

Let X be a continuous random variable. Then the real-valued function f is said to be the
probability density function (pdf) of X if, for all a and b

P(a Xb) = ().

The probabilities associated with a continuous random variable X. The function f(x) has
the following properties:

a) f(x)0 for all values of x.

b) The probability that X will be between two numbers a and b is equal to the area under

f(x) between a and b i.e. P(aXb) = ()

c) The total area under the curve f(x) is equal to 1.00 i.e. ()

P(aXb
)

a b
Note: In a continuous sample space, the probability of any single given value is zero i.e.

P(X=a) = P(X=b) = 0. Why? Since () = () = 0.

Definition 2 : Distribution Function, F(x)

Let X be a continuous r.v. The d.f. F of X is defined to be:

F(x) = P(Xx) = ()
 Properties of d.f. :

i) 0F(x)1 for all x R.

ii) F is non-decreasing and right continuous

iii) lim () = 1 lim () = 0.

Note: For continuous random variables, since P(X=a) = 0 = P(X=b) then:

P(a<X<b)= P(a < ) = ( < ) = ( ). This is F(b)-F(a).

P(X<b)=P(X ) = F(b);
P(X>a)=P(Xa)=1-P(X )=1-F(a).

Definition 3: Percentile

Let X be a r.v. Then the pth. percentile, p of X is defined by

F(p) = P(X p) = p/100

e.g. If someone is in the 99th. percentile of an exam, this means he made higher than 99% of the
people who took the exam.

Definition 4: Let X be a continuous r.v. with pdf. f and df. F. Then,

E(X) = ()

Theorem 1: i) E(c) = c, where c is a constant.

ii) E(aX) = aE(X)

iii) E(aX +b) = aE(X) + b

Definition 5: Let g be a real function. Then:

E(X) = ()()

Note: E(c1g1(x) + c2g2(x)) = c1E(g1(x)) + c2E(g2(x))

Definition 6: Let X be a continuous r.v. with pdf f and finite mean X = E(X). Then:

Var(X) = E[(X- X)2]

Theorem 2: i) Var(X) = E(X2) [E(X)]2 ii) var(aX+b) = a2var(X)

Example: See pgs 65- 67 - Lecture Notes.