MATH F113

(Probability and Statistics)

Chandra Shekhar
Associate Professor

Department of Mathematics
BITS Pilani, Pilani Campus, Rajasthan 333 031
Email: chandrashekhar@pilani.bits-pilani.ac.in
Mobile: 9414492349
Chandra Shekhar MATH F113 (Probability and Statistics)
What have you covered?

In Lecture 12
Continuous Random Variable
Probability Density Function
Cumulative Distribution Function

Chandra Shekhar MATH F113 (Probability and Statistics)

Expectation

Definition
Let X be a continuous random variable with
pdf f . The expected value of X is defined as
Z∞
E(X) = xf (x)dx
−∞

Again E(X) exists if and only if

R∞
|x|f (x)dx is finite.
−∞
Chandra Shekhar MATH F113 (Probability and Statistics)
Expectation (Cont...)

Definition
For a random variable X and function, say
H(x), the definition takes the form
Z∞
E [H(x)] = H(x)f (x)dx
−∞

R∞
provided |H(x)|f (x)dx is finite
−∞

Chandra Shekhar MATH F113 (Probability and Statistics)

Expectation (Cont...)

Variance of X

V ar(X) = E x2 − [E(x)]2 = σ 2
 

where,
Z∞
2
x2f (x)dx
 
E(x ) =
−∞

Chandra Shekhar MATH F113 (Probability and Statistics)

Expectation (Cont...)

Moment Generating Function (mgf )

Z∞
E etx = mx(t) = etxf (x)dx
 

−∞
 
d
E [x] = (mx(t)) = µx
dt t=0
µx is a location parameter since it in-
dicates the position of the center of
the density along the x axis.
Chandra Shekhar MATH F113 (Probability and Statistics)
Expectation (Cont...)

d2
 
 2
E x = (mx(t))
dt2 t=0
Variance is shape parameter in the
sense that a random variable with
small variance will have a compact
density; one with a large variance
will have a density that is rather spread
out or flat.
Chandra Shekhar MATH F113 (Probability and Statistics)
Continuous Uniform Distribution

Exercise 5/4.1/139
Definition
A random variable X is said to be
uniformly distributed over an
interval (a, b) if its density is given
by
1
f (x) = a<x<b
b−a

Chandra Shekhar MATH F113 (Probability and Statistics)

Continuous Uniform Distribution (Cont...)

(a) Show that this is a density for a

continuous random variable.
Since
1
f (x) = > 0 for b > a
b−a
Secondly,
Zb
1
dx = 1
b−a
a

Chandra Shekhar MATH F113 (Probability and Statistics)

Continuous Uniform Distribution (Cont...)

(b) Sketch the graph of the uniform

density.

Chandra Shekhar MATH F113 (Probability and Statistics)

Continuous Uniform Distribution (Cont...)

(c) Shade the area in the graph of

part (b) that represents P [X ≤ (a + b)/2].

Chandra Shekhar MATH F113 (Probability and Statistics)

Continuous Uniform Distribution (Cont...)

(d) Find the probability pictured in

part (c)
a+b
  Z2
a+b 1
P X≤ = dt = 0.5
2 b−a
a

Chandra Shekhar MATH F113 (Probability and Statistics)

Continuous Uniform Distribution (Cont...)

(e) Let (c, d) and (e, f ) be sub inter-

vals of (a, b) of equal length. What is
the relationship between P [c ≤ X ≤ d]
and P [e ≤ f ≤ d].
Probabilities are constant over equal
length of interval

Chandra Shekhar MATH F113 (Probability and Statistics)

Continuous Uniform Distribution (Cont...)

Exercise 10/4.1/pp.139
Find the general expression for the
cumulative uniform distribution for
a random variable X over (a, b)
By definition of cdf, we have
Zx
1
F (x) = P [X ≤ x] = dt
b−a
−∞
x−a
= a<x<b
b−a
Chandra Shekhar MATH F113 (Probability and Statistics)
Continuous Uniform Distribution (Cont...)

Therefore, we have the following cdf:


0
 x<a
F (x) = x−a
b−a a≤x<b

1 x≥b


Chandra Shekhar MATH F113 (Probability and Statistics)

Continuous Uniform Distribution (Cont...)

A random variable is said to be uni-

formly distributed over (0, 1) if its pdf
is given by
(
1 0 <x< 1
f (x) =
0 otherwise
Since f (x) > 0 only when x ∈ (0, 1),
it means X must assume a value in
(0, 1).
Chandra Shekhar MATH F113 (Probability and Statistics)
Continuous Uniform Distribution (Cont...)

Hence, cumulative distribution func-

tion is

0 x < 0

F (x) = x 0 ≤ x < 1

1 x≥1


Chandra Shekhar MATH F113 (Probability and Statistics)

Continuous Uniform Distribution (Cont...)

MGF of uniform distribution on (a, b):

1
Density is f (x) = b−a , a<x<b
Z∞ Zb
tx etx
mx(t) = e f (x)dx = dx
b−a
−∞ a
(etb − eta)
= ; t 6= 0
t(b − a)
Zb 0x
e
mx(0) = dx = 1
b−a
a
Chandra Shekhar MATH F113 (Probability and Statistics)
Continuous Uniform Distribution (Cont...)

Either by using mgf or directly, mean

and variance can be found.
a+b
E [X] =
2
(b − a)2
V ar [X] =
12

Chandra Shekhar MATH F113 (Probability and Statistics)

Continuous Uniform Distribution (Cont...)

Proof: By definition
Zb b
x2

x a+b
E [X] = dx = =
b−a 2(b − a) a 2
a

Zb
x2 b2 + a2 + ab
E X2 =
 
dx =
b−a 3
a

Chandra Shekhar MATH F113 (Probability and Statistics)

Continuous Uniform Distribution (Cont...)

Proof
b2 + a2 + ab (b + a)2
var (X) = −
3 4
(b − a)2
=
12

Chandra Shekhar MATH F113 (Probability and Statistics)