1

241 241- -460 460 I nt r oduct i on t o I nt r oduct i on t o Queuei ng Queuei ng

Net wor ks : Engi neer i ng Appr oach Net wor ks : Engi neer i ng Appr oach
Chapt er 4 Cont i nuous Random Chapt er 4 Cont i nuous Random
Assoc. Prof. Thossaporn Kamolphiwong
Centre for Network Research (CNR)
Department of Computer Engineering, Faculty of Engineering
Prince of Songkla University, Thailand
Chapt er 4 Cont i nuous Random Chapt er 4 Cont i nuous Random
Vari abl es Vari abl es
Email : kthossaporn@coe.psu.ac.th
Out l i ne
Cont i nuous Random Var i abl es
Cumulat ive Dist ribut ion Funct ion (CDF) Cumulat ive Dist ribut ion Funct ion (CDF)
Probabilit y Densit y Funct ion (PDF)
Some Useful Cont inuous RV
Expect ed Value
Derived random variable
Condit ioning a Cont inuous RV
Chapter 4 : Continuous Random Variables
2
Cont i nuous RV
Continuous Random variable Y is a random variable
where the data can take infinitely many values. where the data can take infinitely many values.
Outcomes
Random Variable
Y(,) = y
S
,
Chapter 4 : Continuous Random Variables
0 1 2 -1 -2
S
Y
,
S
Y
= {y|-2 < y < 2}
Random Variables
Di scr et e & Cont i nuous RV
Discrete
S
x
= {-2, -1, 0, 1, 2}
Continuous S
Outcomes
S
0 1 2 -1 -2
S
X
,
Continuous
S
Y
= {y| -2 < y < 2}
Chapter 4 : Continuous Random Variables
Outcomes
S
0 1 2 -1 -2
S
Y
3
Cont i nuous Sampl e Space
A cont i nuous set of number s, somet i mes
r ef er r ed t o as an i nt er val , cont ai ns al l of r ef er r ed t o as an i nt er val , cont ai ns al l of
t he r eal number s bet ween t wo l i mi t s.
(x
1
,x
2
)= {x | x
1
< x < x
2
}
[x
1
,x
2
]= {x | x
1
s x s x
2
}
[x x )= {x | x s x < x } [x
1
,x
2
) {x | x
1
s x < x
2
}
(x
1
,x
2
]= {x | x
1
< x s x
2
}
Chapter 4 : Continuous Random Variables
Cont i nuous Random Var i abl es
A cont inuous random variable is one for which
t he out come can be any value in an int erval of
t he real number line.
Dont calculat e P[X = x] but calculat e
b h d b l b P[a < X < b], where a and b are real numbers
For a cont inuous random variable P[X = x] = 0
Chapter 4 : Continuous Random Variables
4
Exampl e
a wheel of circumference 1m
mark a point on t he perimet er
X
mark a point on t he perimet er
at t he t op of t he wheel.
spinning t he point er in cent er
of wheel
X : dist ance, 0 s X < 1
Fo a gi en hat is t he For a given x, what is t he
probabilit y P[X = x]?
Chapter 4 : Continuous Random Variables
Y=n
Y=2
Y=1
Sol ut i on
Find PMF of Y
Y = # of arc in which pointer
Y
Y=3
Y 2
( )

= ,..., 2 , 1 / 1 n y n
f p
stops
S
Y
= {1, 2, , n} P
Y
(y) = ??
( )

=
otherwise 0
,..., 2 , 1 / 1 n y n
y P
Y
Chapter 4 : Continuous Random Variables
5
( Cont i nue)
X = distance from marked point
to pointer stops
Y=1
Y=2
Y=n
X
to pointer stops
P[X = x] < P[Y = nx(] = 1/n
If n ,
Y 2
Y=3
a( : smallest integer > a
| |
(
| | 0
1
lim lim = = = s =

n
nx Y P x X P
n n
P[X=x] < 0,
Chapter 4 : Continuous Random Variables
( g
Y = nx(,
Y = 12x0.2( = 2.4( = 3
P[X=x] = 0
Cumul at i ve Di st r i but i on Funct i on
The cumulative distribution function (CDF)
if d i bl X i if random variable X is
F
X
(x) = P[X < x]
Chapter 4 : Continuous Random Variables
6
CDF Theor em
For any random variable X,
- F
X
(-) = 0
- F
X
() = 1
- P[x
1
< X s x
2
] = F
X
(x
2
) F
X
(x
1
) [
1 2
]
X
(
2
)
X
(
1
)
Chapter 4 : Continuous Random Variables
Exampl e
Find CDF of X (P[X < x]), 0 < X <1
Y=1
Y=2
Y=3
Y=n
X
Chapter 4 : Continuous Random Variables
7
Sol ut i on
Let n = 10 and x = 0.17
{Y = 1}< {X = 0 17} < {Y =2}
Y=1
Y=2
Y=10
X
{Y = 1}< {X = 0.17} < {Y =2}
{Y < nx( - 1}c{X < x}c{Y < nx(}
{Y < 10x0.17( - 1}={X < 0.17}={Y < 10x0.17(}
{Y < 1.7( - 1}c{X < 0.17}c{Y < 1.7(}
Y=3
{Y < 1} c {X < x} c {Y < 2}
F
Y
(1) < F
X
(0.17) < F
Y
(2)
Chapter 4 : Continuous Random Variables
( Cont i nue)
F
Y
(1) < F
X
(0.17) < F
Y
(2)
( ) ( ) n k
y
n k y n k
y
n
k
y F
Y
,..., 2 , 1 ,
1
1
0
1
0
=

>
< <
<
=
Chapter 4 : Continuous Random Variables
8
( Cont i nue)
F
Y
(nx(-1) < F
X
(x) < F
Y
(nx()
(
( )
(
n
nx
x F
n
nx
X
s s
1
(
x
n
nx
n
=

lim
(
( )
(
n
nx
x F
n
nx
n
X
n
s s

lim
1
lim
Chapter 4 : Continuous Random Variables
n n
(
( )
(
n
nx
x F
n n
nx
n
X
n n
s s lim
1
lim lim
F
X
(x) = x
Sol ut i on
The CDF of X is
( )

s
<
1 0
0 0 x
F ( )

>
< s =
1
1 0
1 x
x x x F
X
0.8
1
1.2
X
(
x
)
Chapter 4 : Continuous Random Variables
0
0.4
0 0.2 0.4 0.6 0.8 1 1.2
x
F
X
9
Pr obabi l i t y Densi t y Funct i on
p
1
= P[x
1
< X < x
1
+A]
F ( +A) F ( )
2
F
X
(x)
= F
X
(x
1
+A) - F
X
(x
1
)
p
2
= P[x
2
< X < x
2
+A]
= F
X
(x
2
+A) - F
X
(x
2
)
x
1
A
x
2
p
1
p
2
A
x
( ) F f d i ti l
, 0 A
Average slope
Chapter 4 : Continuous Random Variables
A
A
A +
=
A + = A + s <
) ( ) (

) ( ) ( ] [
1 1
1 1 1 1
x F x F
x F x F x X x P
X X
X X
( )
( )
dx
x dF
x f
x F of derivative slope
X
X
X
) (

=
=
Pr obabi l i t y Densi t y Funct i on
The probability density function (PDF) of a
continuous random variable X is continuous random variable X is
( )
( )
d
x dF
x f
X
X
=
Slop at point x
Chapter 4 : Continuous Random Variables
( )
dx
10
Theor em
For a continuous random variable X with
PDF f (x)
- f
X
(x) > 0 for all x,
-
( ) , ) ( du u f x F
x
X X
}

=
}

PDF f
X
(x),
-
Chapter 4 : Continuous Random Variables
1 ) ( =
}

dx x f
X
PDF and CDF
F
X
(x
2
) F
X
(x
1
)
f
X
(x)
The probability of
observing X in an
interval is the area
under the PDF
graph between the
x
1
x
2
x
dx x f x X x P
x
x
X
) ( ] [
2
1
2 1
}
= s <
Chapter 4 : Continuous Random Variables
two end points of
the interval
11
Some t hought s
The probabilit y of any individual out come is
zero. zero.
The probabilit y mass funct ion (PMF) does not
apply for a cont inuous random variable.
For a cont inuous random variable, t he
probabilit ies apply t o int ervals.
Chapter 4 : Continuous Random Variables
PMF versus PDF
Discrete Continuous
A finite set of number All numbers in an interval
x
0
, x
1
, x
2
, , x
n
Probability Mass
Function, f
x
(x)
P[X=x] = f
x
(x)
Probability Density
Function, f
x
(x)
P[a<x<b] = [area under the
graph of f
x
over [a,b] ]
f
X
(x)
f
X
(x)
Probability
given by
Probability
given by
height
Chapter 4 : Continuous Random Variables
a b
f
X
x
x
given by
area.
12
Discrete Continuous
A finite set of number All numbers in an interval
Compar i son of CDF
x
0
, x
1
, x
2
, , x
n
Cumulative Distribution
Function, F
x
(x)
P[X<x] = F
x
(x)
Cumulative Distribution
Function, F
x
(x)
P[X < x] = F
x
(x)
F
X
(x)
x
F
X
(x)
x
Chapter 4 : Continuous Random Variables
Summary PDF and PMF
Di scr et e r andom var i abl e, t he probabilit y
dist ribut ion is referred as a probabilit y mass
funct ion (PMF) funct ion (PMF).
Cont i nuous r andom var i abl e, t he probabilit y
dist ribut ion is referred as a probabilit y densit y
funct ion (PDF).
The defining propert y of a PDF is t hat t he t ot al
area under t he curve is equal t o one.
Chapter 4 : Continuous Random Variables
13
Exampl e
The CDF of X is

< 0 0 x
Find
The PDF of X
( )

>
< s
<
=
1 x 1
1 0
0 0
x x
x
x F
X
Probabilit y of t he event {1/4 < X s 3/4}.
Chapter 4 : Continuous Random Variables
Sol ut i on
( )

< s
<
= 1 0
0 0
x x
x
x F
f
X
(x) = ?
f
X
(x) = dF
X
(x)/dx
( )

>
< s =
1 x 1
1 0 x x x F
X
( )

< s
=
1 0 1
0
x
otherwise
x f
X
1
x
)
Chapter 4 : Continuous Random Variables

< s 1 0 1 x
0.5
x
0 0.5 1 1.5
f
X
(
x
14
P[1/4 < X s 3/4]
= F[3/4] F[1/4]
Sol ut i on
( )

s
=
1 0 1
0 otherwise
x f
X
[ ] [ ]
= - =
Or
P[1/4 < X s 3/4]
( )

< s 1 0 1 x
f
X
( ) 1
4 / 3 4 / 3
= =
} }
dx dx x f
X
1
X
(
x
)
Chapter 4 : Continuous Random Variables
2
1
4
1
4
3
4 / 1 4 / 1
= =
0.5
x
0 0.5 1 1.5
f
X
(
Not e : I nt er val
Not e:
When we work wit h cont inuous random variable it When we work wit h cont inuous random variable, it
is usually not necessary t o be precise about
specifying whet her or not range of numbers
includes t he endpoint s. This is because
individual numbers have probabilit y zero. The
following int ervals have t he same probabilit y. g p y
(, ) (, ]
[ , ) [ , ]
Chapter 4 : Continuous Random Variables
15
Expect ed Val ues
The expected value of a continuous random
variable X is variable X is
For Discrete Random Variable :
| | ( )
}

= = dx x xf X E
X X

Chapter 4 : Continuous Random Variables

| | | |

e
=
x
S x
X
x xP X E
Expect ed Val ues of Der i ved RV
Expect ed value of cont inuous random variable

Expect ed value of cont inuous funct ion

( ) ( )
X
E X xf x dx

=
}

Chapter 4 : Continuous Random Variables

| |
( ) ( ) ( )
X
E g X g X f x dx

=
}
16
Theor em
[ ] 0
For any random variable X,
E[X -
X
] = 0
E[aX + b] = aE[X] + b
Var[X] = E[X
2
] -
2
X
Var[aX + b] = a
2
Var[X]
Chapter 4 : Continuous Random Variables
Exampl e
The probabilit y densit y funct ion of t he random
variable Y is variable Y is
Sket ch t he PDF and find t he following
( )

s s
=
otherwise
y y
y f
Y
1 1
0
2 / 3
2
(1) The expect ed value E[Y]
(2) The variance Var[Y]
(3) The st andard deviat ion o
Y
Chapter 4 : Continuous Random Variables
17
( Cont i nue)
Sket ch t he PDF
( )

s s
=
h
y y
y f
Y
1 1 2 / 3
2
( )

otherwise
y f
Y
0
1.5
3
PDF
Chapter 4 : Continuous Random Variables
1 1.5 0.5 -0.5 -1 -1.5
y
Sol ut i on
The expect ed value
3
PDF
| | ( )
}

= dy y yf Y E
Y
}

=
1
1
3
2
3 dy
y
1
1 1.5 0.5 -0.5 -1 -1.5
1.5
y
Chapter 4 : Continuous Random Variables
0
8
3
8
3
8
3
1
1
4
= = =

y
18
( Cont i nue)
The variance | | | |
2 2
Var
Y
Y E Y =
| |
}

= dy y y Y E
2 2 2
2
3
1
1
5
10
3
= y
The Variance
0
Chapter 4 : Continuous Random Variables
1
0

5
3
=
Var[X] = 3/5
( Cont i nue)
The st andard deviat ion o
Y
| | 5 / 3 Var = = Y
Y
o
Chapter 4 : Continuous Random Variables
19
Some Usef ul Cont i nuous RV
Some Random Var i abl es
Uniform Random Variable Uniform Random Variable
Exponent ial Random Variable
Chapter 4 : Continuous Random Variables
Uni f or m Random Var i abl e
Uni f or m Random Var i abl e
The uniform random variable arises in sit uat ions The uniform random variable arises in sit uat ions
where all values in an int erval of t he real line
are equally likely t o occur
Chapter 4 : Continuous Random Variables
20
Uni f or m Random Var i abl e
Definition Uniform Random Variable
X is a uniform (a,b) random variable on the interval
( )
( )

< s
=
otherwise
b x a a b
x f
X
0
/ 1
[a,b] if the PDF of X is
where the two parameters and b > a
Chapter 4 : Continuous Random Variables
where the two parameters and b > a
Uni f or m RV Theor y
- The CDF of X is
If X is a uniform (a, b) random variable
- The CDF of X is
( )
( )
( )

>
s <

s
=
b x
b x a
a b
a x
a x
x F
X
1
0
- The expected value of X is E[X] = (b+a)/2
- The variance of X is Var[X] = (b-a)
2
/12
Chapter 4 : Continuous Random Variables
21
CDF of Uni f or m RV
( )
( ) ( )du u f x F
x
X X
}

=
u
a b
( ) du
a b
x F
x
X
}


=
1
x
a
u
a b
=
1
x

du
a b
x
a
}

=
1
a
a b
x
a b

=
1 1
0
Chapter 4 : Continuous Random Variables
( )

>
s s

<
=
b x
b x a
a b
a x
a x
x F
X
1
0
a b
a x

=
Exponent i al Random Var i abl es
Exponent i al Random Var i abl e
arises in t he modeling of t he t ime bet ween occurrence
( )

>
<
=

0
0 0
x
x
e
x f
x
X

The probabilit y densit y funct ion is

The cumulat ive dist ribut ion funct ion is
of event s
Chapter 4 : Continuous Random Variables
is t he rat e at which event s occur
( )

>
<

=

0
0
1
0
x
x
e
x F
x
X

22
CDF of Exponent i al RV
( )
}

=
x
u
X
du e x F

( ) ( )
}
=
x
X X
du u f x F
}

( )
}

=
x
u
e du

x
x
u
e e e

= =
0
0
}

Chapter 4 : Continuous Random Variables
( )
x
X
e x F

=1
PDF and CDF
= 2
0 1
0.2
0.3
0.4
0.5
0.6
f
X
(x)
Probability Density Function
0 2
0.4
0.6
0.8
1.0
1.2
F
X
(
x
)
Cumulative Distribution Function
x
e

1
x
e

Chapter 4 : Continuous Random Variables
0.1
-3 0 3 6 9 12 15
x
0.2
-3 0 3 6 9 12 15
x
23
Memor yl ess Pr oper t y of an
Exponent i al RV
Memoryless propert y:
P[X > t + h | X > t] P[X > h]
Waiting t second
Waiting more h second
Waiting h second
P[X > t + h | X > t] = P[X > h]
Waiting more h second
The probabilit y of wait ing at least an
addit ional h seconds is t he same regardless
of how long one has already been wait ing
Chapter 4 : Continuous Random Variables
Pr ove : Memor yl ess Pr oper t y
{ } { } | | t X h t X P
Prove : P[X > t + h | X > t] = P[X > h]
| |
{ } { } | |
| | t X P
t X h t X P
t X h t X P
>
> + >
= > + > |
X > t
X > t + h
{X > t + h } { X > t} = {X > t + h }
Chapter 4 : Continuous Random Variables
t
t + h
time
24
Pr ove : Memor yl ess Pr oper t y( 2)
| |
{ } { } | |
| | t X P
t X h t X P
t X h t X P
>
> + >
= > + > |
| | t X P >
| |
| | t X P
h t X P
>
+ >
=
}

=
h t
u
du e

Chapter 4 : Continuous Random Variables

}

t
u
du e

( )
h
t
t h
e
e
e

+
= =
Pr ove : Memor yl ess Pr oper t y( 3)
| | | | h X P h X P s = > 1 | | | |
}

=
h
u
du e

=
h
u
e

P[X > h ] = P[X > t + h | X > t]
Chapter 4 : Continuous Random Variables
h
e

=
25
Exampl e
The t ransmission t ime X of messages in a
communicat ion syst em obeys t he exponent ial communicat ion syst em obeys t he exponent ial
probabilit y law wit h paramet er , t hat is,
P[X > x] = e
-x
, x > 0.
Find
h f t he CDF of X.
P[T < X < 2T], where T = 1/.
Chapter 4 : Continuous Random Variables
Sol ut i on
CDF of X
F ( ) P[X < ] 1 P[X > ]
P[X > x] = e
-x
, x > 0.
F
X
(x)
( )

>
<

=

0
0
1
0
x
x
e
x F
x
X

= P[X < x] = 1 P[X > x]
P[T < X < 2T]
Chapter 4 : Continuous Random Variables
= P[T < X < 2T] = F
X
(2T) F
X
(T)
= 1 e
-2
(1-e
-1
) ~ 0.233
26
Sol ut i on( 2)
f
X
(x) F
X
(x)

1
x
e
-x
x
1 e
-x
( )

< 0 0 x
F
( )

< 0 0 x
1
Chapter 4 : Continuous Random Variables
( )

>
=

0 1 x e
x F
x
X

( )

>
=

0
0
x
x
e
x f
x
X

Exampl e
The wait ing t ime X of a cust omer in a queueing
syst em is zero if he finds t he syst em idle, and an syst em is zero if he finds t he syst em idle, and an
exponent ially dist ribut ed random lengt h of t ime
if he finds t he syst em busy. The probabilit ies
t hat he finds t he syst em idle or busy are p and
1 p, respect ively.
Find t he CDF of X
Chapter 4 : Continuous Random Variables
27
Sol ut i on
F
X
(x) = P[X < x]
= P[X < x|idle]p + P[X < x|busy](1-p)
Chapter 4 : Continuous Random Variables
Sol ut i on
F
X
(x) = P[X < x]
= P[X < x|idle]p + P[X < x|busy](1-p)
1 e
-x
Noting that P[X < x|idle] = 1 when x > 0 and 0
otherwise
Chapter 4 : Continuous Random Variables
28
( Cont i nue)
F
X
(x) = P[X < x|idle]p + P[X < x|busy](1-p)
= p + (1 p)(1 e
-x
) = p + (1-p)(1 e
x
)
1
F
X
(x)
( )
< 0 0 x
Chapter 4 : Continuous Random Variables
0
x
p
( )
( )( )

>
<
+
=

0
0
1 1
0
x
x
e p p
x F
x
X

Exampl e
The probabilit y t hat a t elephone call last s no
more t han t minut es is oft en modeled as an
( )

>
=

otherwise
t e
t F
t
T
0
0
1
3 /
exponent ial CDF.
What is t he PDF of t he durat ion in minut es of a
Chapter 4 : Continuous Random Variables
What is t he PDF of t he durat ion in minut es of a
t elephone conversat ion?
What is t he probabilit y t hat a conversat ion will
last bet ween 2 and 4 minut es?
29
Sol ut i on
1
F
T
(
t
)
( )

>
=

t e
t F
t
0 1
3 /
The PDF of T
0.4
t
)
0.5
t
4 9
F
( )

=
otherwise
t F
T
0
( )
( ) t dF
t f
T
T
=
Chapter 4 : Continuous Random Variables
0.2
t
3
8
f
T
(
t
0
( )
dt
t f
T
( )

>
=

otherwise
t e
t
0
0
3 / 1
3 /
Sol ut i on
( )
P[2 s T s 4] = ?
Using CDF
P[2 s T s 4] = F
4
(4) F
2
(2) = e
-2/3
e
-4/3
= 0.25
Using PDF
4
( ) ( )
3 /
3 / 1
t
T
e t f

=
( )
3 /
1
t
T
e t F

=
Chapter 4 : Continuous Random Variables
| | dt e T P
t 3 /
4
2
3
1
4 2

}
= s s
3 4 3 2
4
2
3 /
= = e e e
t
30
Pr obabi l i t y Model s of Der i ved RV
Di scr et e : Det ermine f
Y
(y) from g(X) and f
X
(x))
I f Y = g(X)
( ) ( )
( )

=
=
y x g x
X Y
x P y P
:
Di scr et e : Det ermine f
Y
(y) from g(X) and f
X
(x))
Cont i nuous Der i ved RV
Chapter 4 : Continuous Random Variables
Find CDF F
Y
(y) = P[Y < y]
Compute PDF f
Y
(y) = dF
Y
(y)/dy
Exampl e
Find PDF of Y, Y = 100X
Y = locat ion of t he point er
Y=1
Y=2
Y=n
X
Y = locat ion of t he point er
on 1-met er circumference of
circle
X = locat ion of t he point er
aft er spinning
Y=2
Y=3

< 0 0 x
Chapter 4 : Continuous Random Variables
( )

>
< s
<
=
1
1 0
0
1
0
x
x
x
x x F
X
31
Sol ut i on
Y 100X
F
Y
(y) = P[Y < y]
Y = 100X
F
Y
(y) = P[100X < y]
= P[X < y/100]
Chapter 4 : Continuous Random Variables
Sol ut i on( 2)
F
Y
(y) = P[X < y/100]
P[X < x]

< 0 0 y
( )

>
< s
<
=
1
1 0
0
1
0
x
x
x
x x F
X
P[X < x]
Chapter 4 : Continuous Random Variables
( )

>
< s =
100
100 0
1
100 /
y
y
y
y y F
Y
32
Sol ut i on( 3)
Find PDF of Y, Y = 100X
( ) ( )

< s
= =
100 0 100 / 1
0
y
otherwise
y f y F
dy
d
Y Y
Chapter 4 : Continuous Random Variables
Der i ved Random Var i abl e
If Y = aX, a > 0
F
Y
(y) = P[Y < y] = P[aX < y]
= P[X < y/a] = F
X
(y/a)
Chapter 4 : Continuous Random Variables
( )
( )
( ) a y f
a dy
a y dF
y f
X
X
Y
/
1 /
= =
33
Der i ved Random Var i abl e ( 2)
If Y = X + b, F
Y
(y) = P[Y < y]
F
Y
(y) = P[X + b < y]
= P[X < y - b] = F
X
(y-b)
( ) b dF
Chapter 4 : Continuous Random Variables
( )
( )
( ) b y f
dy
b y dF
y f
X
X
Y
=

=
Exampl e
Let X have t he t riangular PDF

Find
( )

s s
=
otherwise
x x
x f
X
1 0
0
2
PDF of Y = aX
Sket ch t he PDF of Y for a = , 1, 2
Chapter 4 : Continuous Random Variables
34
Sol ut i on
Y = aX, F
Y
(y) = F
X
(y/a)
0 < x < 1
f
Y
(y) = (1/a)f
X
(y/a)
f
Y
(y) = (1/a)f
X
(y/a), a > 0
2
3
4
f
Y
(
y
)
a=1/2
a=1
2
0 < y < a
= (1/a)(2y/a)
= 2y/a
2
Chapter 4 : Continuous Random Variables
0
0 1/2 1
2
1
y
f
a=2
Condi t i oni ng a Cont i nuous RV
Conditional PDF given an Event
F d i bl X ith PDF f ( ) d For a random variable X with PDF f
X
(x) and
an event B c S
X
with P[B] > 0, the conditional
PDF of X given B is
( )
( )
| |

eB x
x f
X
,
Chapter 4 : Continuous Random Variables
( ) | |

=
otherwise
B P x f
B X
0
|
35
Condi t i oni ng a Cont i nuous RV
Theorem :
Gi t {B} d th diti l Given an event space {B
i
} and the conditional
PDFs f
X|Bi
(x),
If {xeB}, the conditional expected value of X
( ) ( ) | |
i
i
B X X
B P x f x f
i

=
|
f { } p f
is
Chapter 4 : Continuous Random Variables
| | ( )
}

= dx x xf B X E
B X|
|
Exampl e
Suppose t he durat ion T (in minut es) of a
t elephone call is a exponent ial (1/3) random
variable:
( )
( )

>
=

otherwise
t e
t f
t
T
, 0
0
3 1
3
0
0.2
0.4
0 5 10
t
f
T
(
t
)
For calls t hat last at least 2 minut es, what is t he
condit ional PDF of t he call durat ion?
What is t he condit ion Expect ed Value
Chapter 4 : Continuous Random Variables
36
Sol ut i on
The probabilit y of t he condit ion event T > 2 is
The condit ional PDF of T given T > 2 is
( )

> t
t f
T
2
| | 2 > T P ( )
}

=
2
dt t f
T
( )
3 2
2
3
3 1

= =
}
e dt e
t
Chapter 4 : Continuous Random Variables
( )
( )
| |

> =
>
otherwise
T P
t f
t f
T
T T
0
2
2 |
Sol ut i on ( 2)
( )
( )

>
+
t e
t
2
1
3 2
/
T
>
2
(
t
)
0 2
0.4
( )

>
=
>
otherwise
t e
t f
T T
2
0
3
2 |
Chapter 4 : Continuous Random Variables
t
f
T
/
0
0.2
0 2 4 6 8 10
37
Sol ut i on ( 3)
The condit ional expect ed value is

| | 2 | > T T E
( ) ( )
}

+ =
3 2
2
3 2
dt e te
t t
( )
( )
}

=
2
3 2
3 1 dt e t
t
Chapter 4 : Continuous Random Variables
minutes
}
2
2
5 3 2 = + =
Ref er ences
1. Albert o Leon-Garcia, Probabilit y and Random
Processes for Elect rical Engineering, 3
rd
Ed., Processes for Elect rical Engineering, 3 Ed.,
Addision-Wesley Publishing, 2008
2. Roy D. Yat es, David J. Goodman, Probabilit y
and St ochast ic Processes: A Friendly
I nt roduct ion for Elect rical and Comput er
Engineering, 2nd, John Wiley & Sons, I nc, 2005 g g, , y , ,
3. Jay L. Devore, Probabilit y and St at ist ics for
Engineering and t he Sciences, 3rd edit ion,
Brooks/ Cole Publishing Company, USA, 1991.
Chapter 4 : Continuous Random Variables