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4.

Continuous Probability Distribution

4.4.1 Definitions
Probability distributions of continuous random variables are described by probability
density functions (pdf). A random variable X is continuous if it can take an infinite
number of values and if there is a function, f(x) called the probability function, such that;
1)

f(x)

f(x) dx 1

2)

P(a x b) f ( x )dx

3)

Example 1:
1
16 x

1
1
f ( x)
x
2 16
0

Determine:

0 x4

a)
b)

4 x8

P(3 x 4.8)

P(X > 6)

elsewhere

Solution:
a) P(3 x 4.8)
4

4.8

1
x dx
16

4.8

x2
x
x2
1 1

(
x ) dx

2 16
2(16) 3 2 2(16) 4
4

4 2 3 2 4.8 4.8 2 4 4 2

32 2 32
32 32 2

= 0.219 + 0.18 = 0.399


b)

P(X > 6)
8

1 1
(
x ) dx
2 16

x
x2
(

2 2(16 ) 6

OR

= 1 P(X
4

6)

1
x dx
=1
16
0

1
1
(
)dx

2 16 x
4

8 8 2 6 6 2


2 32 2 32

x2
x
x2
1
(

2(16 ) 0 2 2(16) 4

= 2 1.875 = 0.125

4 2 0 2 6 6 2 4 4 2

1
32 32 2 32 2 32

= 1- (0.5 + 0.375) = 0.125


Example 2:
X is continuous random variable with p.d.f as shown below:
c(2x 3) , 1 x 4

f ( x)
0
, elsew here

a) Determine the value of c.


b) Calculate P(X 2) and P(1< X < 3)
Solution:

a)

f(x) dx 1

b)

1 2x 2

3x

24 2

2x 2

c
3x 1
2
1

c 4 2 3(4) 12 3(1) 1
c16 12 1 3 1

c[24] 1
1
c
24

c(2x 3)dx 1

24 (2x 3)dx
4

4 2 3( 4) 2 2 3(2)
24
1
28 10 1 18 0.75

24
24
3

c)

1
(2x 3)dx
24

1 2x 2

3x

24 2

3 2 3(3) 12 3(1)
24
1
18 4 1 14 0.583

24
24

Quick check:
The probability density function of random variable X is:
k( x 2 4 x ) , 1 x 3

f (x)
0
, elsew here

a) Show that k=3/74


b) Determine P(X>2)

4.4.2 Cumulative Distribution Function


If X is a continuous random variable with probability density function f(x), then the
cumulative distribution function (distribution function), F(X) is given by
t

F( t )

f(x) dx

Note that:

1) F(x) = f(x)
2) P(a X b) = P(a < X b)
= P(a X < b)
= P(a < X < b)
= F(b) F(a)

Example 1:
Let Y have the probability density function below:

0.2

f ( y ) 0.2 cy
0

a)
b)

Find c
Find F(y)

1 y 0
0 y 1
elsewhere

Solution:
a)

0.2 dy (0.2 cy) dy 1


1

cy 2
0.2 y 1 0.2 y 1
2 0

0.2 (0.2 ) 0 1
2

c
0.4 1
2
c 1.2
0

b) Consider range 1 y 0
t

F(t) =

0.2dy
1

Now for t in the range 0 y 1


t

F(t) = 0.2 (0.2 1.2y ) dy


0

= 0.2y t1
= 0.2t + 0.2

1.2y 2
= 0.2 0.2y

F(0) = 0.2(0) + 0.2


= 0.2

= 0.2 0.2t 0.6t 2

= 0.6t 0.2t 0.2


2

F(1) = 0.6(12 ) 0.2(1) 0.2 = 1


Thus, the cumulative distribution function;

F(y)

0.2y 0.2

2
0.6 y 0.2y 0.2
1

y 1
1 y 0
0 y 1
y 1

Example 2:
The cumulative distribution function of a continuous random variable X is given by
x 1
0
1
x1
1 x 2
4
4
F(x) =

1 ( x 2 x) 1 2 x 3
8
2
1
x3

Find
a)
b)

The probability density functions of X.


P(1.5 < X < 2.5)

Solution:
a)

for x < 1
f(x)

d
(0) 0
dx

for 1 x 2
f(x)

d 1
1
1
( x )=
4
dx 4
4

for 2 x 3
f(x)

d
dx

1 2
8 ( x x)

1
1
1
= x

2
4
8

for x 3
f(x)

d
(1) 0
dx

Thus, the probability density function;

f(x)

1
4

1
1
x
8
4
0

1 x 2
2 x3
elsewhere

b)

P(1.5 < x < 2.5)


= F(2.5) F(1.5)
1
8

1
2

1
4

1
4

= ( (2.5 2 2.5) )) ( (1.5) ) = 0.469


OR
2

2.5

1
1
1
dx ( x ) dx
4
4
8

1.5

2.5

= x x 2 x
8 2
4 1.5 8
1

1.5

=
( (2.5 2 ) (2.5)) ( (22 ) (2)) = 0.469

4 8
8
8
8
2

Quick check:
3 x
2

f(x) =
0

1 x 3

otherw ise

a) Determine the cumulative probability function.


b) Find P(X 2).

4.4.3 Expected Value (mean) and Standard Deviation


The expected value of a continuous random variable X is given by:

E( X)

x f(x) dx

The expected value of g(x), X2 is:

E( X )
2

f ( x ) dx

The variance of a continuous random variable X is defined as:

V(X), Variance = E( X2 ) E( X)2

x f ( x ) dx
= x f ( x ) dx

Example 1:
f(y)

3 y 2
0

0 y 1

elsew here

Find the expected value and standard deviation.


Solution:
V(Y), Variance = E( Y 2 ) E( Y)2

E(Y)

y 3y

dy
1

0
1

E(Y )

3 y 3 dy

3 y 2 dy

0
1

3y 4
=

4 0

3y

dy

3y 5
3
=

5 0 5

3
4

Thus, V(Y) = E( Y 2 ) E( Y)2


=

3 3

5 4

3
80

Example 2:
X is a continuous random variable with the following probability density function:

f(x)

1
21 (2x 4) 0 x 3

0
elsew here

Find the expected value and standard deviation.

EXERCISES
1.

Given the probability density function below:


ax

1
f ( x ) a(3 x )
2
0

a)
b)
c)
d)
2.

0 x 1
1 x 3
elsew here

Find the value of a.


Calculate the expected value and standard deviation of X.
Determine the cumulative distribution function, F(t).
Calculate the probability of x between 0.5 and 1.5 using part (c).

The time taken to perform a particular task, t hours, has the probability density function
125 2
0 t 0.6
18 t

25
f (t ) (1 t )
0.6 t 1.0
4

elsewhere
0

a) Determine the probability that the time will be between 24 minutes and 48 minutes.
b) Find the expected time and the standard deviation.

3.

The temperature at which a certain chemical reaction takes place is a continuous random
variable with probability density function
k( 4 x 2 )
f ( x)
0

a)
b)
c)
d)
4.

1 x 2
otherw ise

Show that k=1/9.


What is the probability that the temperature at which the reaction takes place at
most 1.5?
What is the expected temperature at which the chemical reaction takes place?
Compute the standard deviation at which the chemical reaction takes place.

The cumulative distribution function of a continuous random variable X is given by


0

1 x 1
4
4
F( x )
1 (x 2 x) 1
8
2
1

Find
a)
b)

x 1
1 x 2
2x3
x3

The probability density function of X


P(1.5 < X < 2.5)

c)
d)

The expected value of X


The variance of X