3

Continuous Random Variables

• A continuous random variable has an uncountable set of

possible values.
X is a continuous random variable if there exists a nonnegative
function f, defined for all real x  (, ), having the property that for
any set B of real numbers, Pr{ X  B}   f ( x)dx.
B

 f is called the probability density function (pdf) 

of X, denoted as: f X ( x) 

f X ( x)dx  1
a
 Cumulative Distribution Function (cdf): FX (a)   f X ( x)dx


 Expected Value, or Mean:  X  E[ X ]   xf X ( x)dx


 The m-the Moment: E[ X m ]   x m f X ( x)dx, m  1, 2,...


Lin Dai (City University of Hong Kong) EE3008 Principles of Communications Lecture 5
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Variance

• Define variance of a random variable X as:

Var[ X ]  E ( X  E[ X ]) 2 

 Var[X] describes how far apart X is from its mean on the average.
 Var[X] can be also obtained as: Var[ X ]  E[ X 2 ]   E[ X ]
2

 Var[X] is usually denoted as  X2 .

 The square root of Var[X],  X , is called the standard deviation
of X.

Lin Dai (City University of Hong Kong) EE3008 Principles of Communications Lecture 5
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Example 1. Uniform Distribution

• X is a uniform random variable on the interval (, ) if its pdf is given by

 1 f X ( x)
  x
f X ( x)     
1
 
0
 otherwise
  x

 cdf:  0 a 

a  a 
FX (a )   f X ( x)dx    a
 


 1 a
  
 Mean:  X   xf X ( x)dx   Variance:
 2
 The second moment:  X2  E[ X 2 ]   X2
  2     2 (   )2
E[ X 2 ]   x 2 f X ( x)dx  
 3 12
Lin Dai (City University of Hong Kong) EE3008 Principles of Communications Lecture 5
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Example 2. Gaussian (Normal) Distribution

• X is a Gaussian random variable with parameters 0 and  02 if its pdf is

given by
fX(x)
1  ( x  0 ) 2 
f X ( x)  exp   
2 0  2 02 
0 x
• X is denoted as X   ( 0 ,  02 )

 Mean:  X  0  Variance:  X2   02

a 1   ( x  0 ) 2 
 cdf: FX (a )   f X ( x)dx  1   exp   dx
 a
2 0  2 2
0 
x  0
z 
 1  z2  a   x2 
 1  a0
0
exp   dz  1  Q   Q( )  
 1
exp   dx
0 2  2  
 0  
2  2

Lin Dai (City University of Hong Kong) EE3008 Principles of Communications Lecture 5