EE891 STOCHASTIC

SYSTEMS

Lecture 06
Probability Density Function
Characterization of Continuous RVS
◦ If we view a PMF, it gives us an idea about what value the
RV is likely to take

◦ This information is not evident when viewing the CDF

◦ However we can calculate it from the CDF
 Characterization of Continuous RVs
◦ For a continuous RV, each point has zero probability of
occurring
◦ So the PMF is not suitable for continuous RVs

◦ Can we have some description of a Continuous RVs

similar to the PMF?

◦ Yes. It is the Probability Density Function (PDF).

Probability Density Function (PDF)
◦ For a Continuous RV 𝑋 ∈ 0,6 we can find Pr 𝑎 𝑋 𝑎 𝜖 ,
Assume
Pr 0 𝑋 2 0.3, Pr 2 𝑋 4 0.6, Pr 4 𝑋 6 0.1
◦ For RV 𝑋 we may plot the probability density (probability
measure/region)
Probability
density
𝚫
𝟎. 𝟔

𝚫
𝟎. 𝟑 𝚫
𝟎. 𝟏
◦𝜖 2 0 𝜖 2𝜖 6
𝜖
◦ Area of a rectangle 𝚫 gives the probability measure
Probability Density Function (PDF)
◦ As 𝜖 decreases, 𝜖 1
Probability Δ 0.3 Δ 0.6 Δ 0.1

density

0.3 0.3

0.2
0.1

0 𝜖 2𝜖 4𝜖 6
◦ Height of bar = Δ/𝜖 𝜖

◦ Area of the rectangle give the probability measure eg

Pr 0 𝑋 2 0.1 0.2 0.3
◦ This plot is similar to PMF as by viewing it we can get an
idea about what value the RV is likely to take
Probability Density Function (PDF)
◦ If 𝜖 → 0 𝑓 𝑥 Mathematically
Δ
𝑓 𝑥 lim
→ 𝜖
Pr 𝑥 𝑋 𝑥 𝜖
lim
→ 𝜖

0 6
◦ 𝑓 𝑥 is known as the PDF.
◦ By viewing it we can get an idea about what value the
RV is likely to take
◦ Probability measure of a region is obtained by finding
the area under the curve over the region
Probability Density Function (PDF)
◦ The probability density function (PDF) of the RV 𝑋
evaluated at the point 𝑥 is

Pr 𝑥 𝑋 𝑥 𝜖
𝑓 𝑥 lim
→ 𝜖

“PDF is the probability that the RV 𝑋 lies in an infinitesimal

interval about the point 𝑋 𝑥, normalized by the length
of the interval”
Probability Density Function (PDF)
Pr 𝑥 𝑋 𝑥 𝜖
𝑓 𝑥 lim
→ 𝜖
◦ Express in terms of its CDF
Pr 𝑥 𝑋 𝑥 𝜖 𝐹 𝑥 𝜖 𝐹 𝑥
◦ Substituting into the PDF expression
𝐹 𝑥 𝜖 𝐹 𝑥
𝑓 𝑥 lim
→ 𝜖
𝑑
𝑓 𝑥 𝐹 𝑥
𝑑𝑥
◦ PDF of a random variable is the derivative of its CDF
◦ Conversely, the CDF of a random variable can be
expressed as the integral of its PDF
 Properties of PDF
1. PDF is a nonnegative function
𝑓 𝑥 0
Proof: From definition we see that the numerator is non-negative

2. PDF can be obtained from the CDF as

𝑑
𝑓 𝑥 𝐹 𝑥
𝑑𝑥
3. CDF can be obtained from the PDF as

𝐹 𝑥 𝑓 𝑢 𝑑𝑢
 Properties of PDF
4. Area underneath the PDF function is equal to unity

𝑓 𝑥 𝑑𝑥 1

Proof: Using Property 3

5. Pr 𝑎 𝑋 𝑏 can be calculated from the PDF as

Pr 𝑎 𝑋 𝑏 𝑓 𝑥 𝑑𝑥

Proof: Using Property 3

To verify the validity of a potential PDF, we need to verify
◦ The function is nonnegative (Property 1)
◦ Area underneath the function is equal to unity (Property 4)
 Example
◦ CDF is given by
𝐹 𝑥 1 𝑒 𝑢 𝑥
What is the PDF?
𝑓 𝑥 𝜆𝑒 𝑢 𝑥

◦ PDF is given by
𝑓 𝑥 2𝑥𝑒 𝑢 𝑥
What is the CDF?