Mathematical Statistics (MA212M)

Lecture Slides
Lecture 7
Continuous Random Variable

Def: A random variable is said to have a continuous distribution if

there exists a non-negative integrable function fX : R → [0, ∞) such
that Z x
FX (x) = fX (t)dt
−∞

for all x ∈ R. The function fX is called the probability density

function. The set SX = {x ∈ R : fX (x) > 0} is called support of X .
Example 32: (Exponential Distribution: Exp(λ))
(
1 − e −λx if x > 0
FX (x) =
0 otherwise.

Example 33: (Uniform Distribution: U(a, b))

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

Example 34: (Normal Distribution: N(µ, σ 2 ))

Z x
1 (t−µ)2
FX (x) = √ e − 2σ2 dt if − ∞ < x < ∞.
−∞ σ 2π
Remarks on CRV

◮ For a continuous random variable X , P(X = a) = 0 for all

a ∈ R.
◮ CDF of a continuous random variable is continuous.
◮ PDF is not unique.
◮ Support of a continuous random variable is not unique.
Rb
◮ P(a ≤ X ≤ b) = a fX (t)dt.
◮ fX (x) is not P(X = x).
Properties of PDF

R∞
1 fX (x) ≥ 0 for all x ∈ R. 2 f (x)
−∞ X
= 1.

Theorem: Suppose a real valued function g : R → R satisfies the

following conditions:
1 g (x) ≥ 0 for all x ∈ R.
R∞
2
−∞
g (x)dx = 1.
Then g (·) is a probability density function of some continuous
random variable.
RV which is neither discrete nor continuous
Consider the random variable X whose distribution function is given
by

0
 if x < −1
FX (x) = x + 1 if − 1 ≤ x < −1/2

1 if x ≥ −1/2.


Observe that FX = 1/2F1 + 1/2F2 where F1 and F2 are distribution

functions given by

0
 if x < −1
F1 (x) = 2(x + 1) if − 1 ≤ x < −1/2

1 if x ≥ −1/2.


(
0 if x < −1/2
F2 (x) =
1 if x ≥ −1/2.
Expectation of DRV

Def: Let X be a discrete RV with PMF fX (·) and support SX . The

expectation or mean of X is defined by
X X
E (X ) = xfX (x) provided |x|fX (x) < ∞ .
x∈SX x∈SX

◮ E(X) is the weighted average of the values taken by X .

X
◮ If |x|fX (x) = ∞ then we say that expectation does not exist.
x∈SX
Example 35: X = outcome of a roll of a fair die. What is E (X ) ?
Example 36: X ∼ Bin(n, p). What is E (X ) ?
Example 37: X ∼ Geo(p). What is E (X ) ?
Example 38: X ∼ Poi (λ). What is E (X ) ?
Example 39:
 X∞ −1
c
 , x ∈ N, where c =
 1
2
fX (x) = n n=1
n2

0 otherwise .


Let X be a DRV having the above PMF, then E (X ) does not exist.