AB1202

Statistics and Analysis

Lecture 2b (Part 2 of 2)
Continuous Random Variables
Chin Chee Kai
cheekai@ntu.edu.sg
Nanyang Business School
Nanyang Technological University
NBS 2016S1 AB1202 CCK-STAT-018
2

Continuous Random Variables

• Continuous Probability Distributions
• Probability Density Function
• Cumulative Distribution Function
• Uniform Distribution
• Exponential Distribution
• Normal Distribution
• Student-t Distribution
• Chi-Square Distribution
• F Distribution
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Continuous Probability Distributions

• Many random variables take range of values –
any value within the range is possible.
▫ Eg: Most measurements such as distance, time,
weight, temperature, money, energy and their
derived values like area, volume, speed, etc are
modeled as continuous random variables.
• Possible value might not be probable – this is
where a description of the distribution comes in.

• Thus, a random variable 𝑋 modeling lengths of

rulers can take possibly values from −∞, ∞ , even
though the probability of a ruler reaching ∞ in
practice is infinitesimally small.
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Probability Density Function

• Probability Density Function (pdf) of a random
variable 𝑋 describes the height of the distribution
graph (ie, it is a function of 𝑥 where 𝑋 = 𝑥)
pdf(𝑥)
1
• Consider the pdf:
1
▫ pdf 𝑥 = 𝑓𝑜𝑟 𝑥 = 1, ∞
𝑥2
▫ pdf 1 = 1 and pdf 2 = 0.25 0.25
• Clearly, pdf is not probability. 𝑋
0 1 2 3 4

• Probability = Area under the pdf curve for a given

interval of 𝑥. Eg: 𝑃 1 ≤ 𝑋 ≤ 2 = 0.5 (by finding the
2 1
closed integral 1 2 𝑑𝑢)
𝑢
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Cumulative Distribution Function

• 𝐶 𝑋=𝑥 = 𝑢∈𝑆 and𝑢≤𝑥
pdf 𝑢 𝑑𝑢 S is the sample space
• We also call this cdf – cumulative distribution function.
• Certainly, 𝐶 𝑋 = 𝑥 = 𝑃(𝑋 ≤ 𝑥)

1
• Eg: pdf 𝑥 = where x ∈ [0, 6](sample space)
6
21 1 2 1
▫ 𝐶 𝑋=2 = 0 6
𝑑𝑢 = 𝑢 0 =
6 3
𝑥1 1 𝑥 𝑥
▫ 𝐶 𝑋=𝑥 = 0 6
𝑑𝑢 = 𝑢 0 =
6 6
1
• Eg: pdf 𝑥 = where x ∈ [1,∞] (∞ sample space)
𝑥2
3 1 1 3 2
▫ 𝐶 𝑋=3 = 1 𝑢2
𝑑𝑢 = − =
𝑢 1 3
𝑥 1 1 𝑥 1
▫ 𝐶 𝑋=𝑥 = 1 𝑢2
𝑑𝑢 = − =1−
𝑢 1 𝑥
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Properties of Continuous Probability

• pdf(x) ≥ 0 ∀ 𝑥 ∈ sample space
▫ This means the pdf curve can only lie on or above y=0
• 𝑥∈sample space pdf(𝑥) 𝑑𝑥 = 1
▫ This means area under the pdf curve sums up to 1.

1
• Eg: pdf(𝑥) = where x ∈ [0, 6] (finite range sample space)
6
▫ Clearly pdf(𝑥) ≥ 0 for all values of X in the sample space.
1
Also, area of rectangle = (6 − 0) is 1.
6
1
• Eg: pdf(𝑥) = where x ∈ [1,∞] (∞ sample space)
𝑥2
▫ Clearly pdf(𝑥) ≥ 0 for all values of X in the sample space.
∞ 1 1 ∞
Also, 1 2 𝑑𝑥 = − = 1.
𝑥 𝑥 1
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Mean and Variance of Continuous

Probability
• 𝐸 𝑋 = 𝑥∈sample space 𝑥 ∙ pdf 𝑥 𝑑𝑥
• 𝑉𝑎𝑟 𝑋 = 𝑥 − 𝐸(𝑋) 2 ∙ pdf 𝑥 𝑑𝑥 =
𝑥∈sample space

𝑥 2 ∙ pdf 𝑥 𝑑𝑥 − 𝐸(𝑋) 2
𝑥∈sample space
1
• Eg: pdf 𝑥 = where x ∈ [0, 6] (finite range sample space)
6
6
6 1 1 1 1
▫ E 𝑋 = 0
𝑥 ∙ 𝑑𝑥 = 𝑥 2
= 36 − 0 = 3
6 6 2 0 12
6 2 1 1 1 3 6
▫ 𝑉𝑎𝑟 𝑋 = 0
𝑥 ∙ 𝑑𝑥 − 32 = 𝑥 −9=3
6 6 3 0
1
• Eg: pdf 𝑥 = where x ∈ [1,∞] (∞ sample space)
𝑥2
∞ 1 ∞
▫ E 𝑋 = 𝑥 ∙ 𝑑𝑥 = ln 𝑥 1 =∞−0=∞
1 𝑥2
▫ 𝑉𝑎𝑟 𝑋 = undefined
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Uniform Distribution
1
• pdf 𝑥 = 𝑓𝑜𝑟 𝑥 = [𝑎, 𝑏]
𝑏−𝑎 1
𝑏−𝑎
▫ pdf(x) is 0 for all other
values of X
𝑎 𝑏 𝑋
▫ Parameters are 𝑎 and 𝑏.
𝑎+𝑏
•𝐸 𝑋 = • Application Areas:
2
𝑏−𝑎 2 ▫ Most values within interval
• 𝑉𝑎𝑟 𝑋 = are equally likely to occur
12
▫ Simple model to approximate
complex distribution within a
short-interval
▫ Simulations
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Exponential Distribution
• pdf 𝑥 = 𝜆𝑒 −𝜆𝑥 𝑓𝑜𝑟 𝑥 = [0, ∞] 𝜆
▫ pdf(x) is 0 for all other values of X
▫ Parameter is 𝜆, which may be
interpreted as the average rate of
𝑋
arrival.
1 Application Areas:
•𝐸 𝑋 = • Timing distribution for customers randomly
𝜆 arriving (to a queue, a service station, etc)
1 • Time measured is between any two consecutive
• 𝑉𝑎𝑟 𝑋 =
𝜆2 customers.
• “Customer” may be people, or events that are of
interest.
• “Timing” may also be spatial intervals.
• Related to Poisson Distribution in the sense of
customer arrival.
▫ Customers arriving in a Poisson Distribution at a
rate of 𝜆 has inter-arrival time exhibiting
1
Exponential Distribution with mean of 𝜆.
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Normal Distribution
1
1 𝑥−𝜇 2
1 −2 𝜎 𝜎 2𝜋
• pdf 𝑥 = 𝑒
𝜎 2𝜋
𝑓𝑜𝑟 𝑥 = [−∞, ∞]
▫ Parameters are μ and 𝜎. μ is
the mean of the distribution, 𝜇 𝑋

while 𝜎 is the standard

deviation of the distribution.
•𝐸 𝑋 =𝜇
Application Areas:
• 𝑉𝑎𝑟 𝑋 = 𝜎 2 • Measurements which are expected to
congregate at a particular value.
• When 𝜇 = 0 and 𝜎 = 1, • Large number of measurements,
even taken from other distributions
the distribution is (see Lec 6: Sampling Distributions)
called “standard • Data behavior where mean and
variance vary independently.
normal”
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Student-t Distribution
𝜐+1 𝜐+1
Γ − 2
2 𝑥2
• pdf 𝑥 = 𝜐 1+ for 𝑥 = [−∞, ∞]
𝜐𝜋 Γ 𝜐
2
•𝐸 𝑋 =0
𝜐
• 𝑉𝑎𝑟 𝑋 = for 𝜐>2
𝜐−2 0 𝑋
▫ t-distribution has no parameter.
▫ Must specify degree of freedom 𝜐. Eg. in
sampling, 𝜐 is set to sample size, 𝑛, minus 1.
▫ As 𝜐 increases to ∞, t-distribution tends
towards Standard Normal Distribution (𝜇 =
0, 𝜎 = 1) point-by-point.
Application Areas:
• Measurements where we don’t know the
distribution’s variance (which is almost Source: Wikipedia.
http://en.wikipedia.org/wiki/Student%27s
every situation). _t-distribution
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Chi-Square Distribution
𝑣−2 𝑥
1 −2
• pdf 𝑥 = 𝑣
𝜐
𝑥 2 𝑒 for 𝑥 = [0, ∞]
22 Γ
2
•𝐸 𝑋 =𝑣
• 𝑉𝑎𝑟 𝑋 = 2𝑣
0 𝑣−2
▫ 𝜒2 has no parameter. 𝜒2
▫ Must specify degree of freedom 𝑣.
Eg. in establishing confidence
interval for variance of sampling
distribution of normal
distribution.
Application Areas:
• One-population variance test
• Sum of squares of normal distributions
• Many others (See Lecture 8) Source: Wikipedia. http://en.wikipedia.org/wiki/Chi-
square_distribution
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F Distribution
𝑣 𝑣
1 𝑥 𝑣1 𝑣1 1 𝑣2 2 for 𝑥 = [0, ∞]
• pdf 𝑥 = 𝑣 𝑣
𝑥∙𝐵 1 , 2 𝑣1 𝑥+𝑣2 𝑣1 +𝑣2
2 2
𝑣2
• 𝐸 𝑋 = for 𝑣2 > 2 𝛼 𝛼
𝑣2 −2
2𝑣22 (𝑣1 +𝑣2 −2) 0 𝑣2 𝑣1 − 2
Χ2
• 𝑉𝑎𝑟 𝑋 = for 𝑣2 > 4 𝑣1 𝑣2 + 2
1
𝑣1 𝑣2 −2 2 (𝑣2 −4)
𝐹𝑣1 ,𝑣2,𝛼 =
▫ 𝐹 distributions has no parameter. 𝐹𝑣2 ,𝑣1,1−𝛼
▫ Must specify degrees of freedom
𝑣1 (a.k.a numerator d.f.) and 𝑣2
(a.k.a denominator d.f.).
Application Areas:
• Two-population variance test
• Ratio of Chi-square distributions
• Many others (See Lecture 8 & 9) Source: Wikipedia.
http://en.wikipedia.org/wiki/F_distribution