Continuous Random Variables OPTS502M202022-2

Suresh Venkatraman

Probability Distribution

◼ By envisaging the distribution of the Continuous Random Variable

◼ as the extreme case of the Discrete Random Variable taking on

infinite number of values,

◼ We have demonstrated that P(X = x) = 0.

◼ And p(a < X < b) ≠ 0

◼ provided the points (X=a) and (X=b) are not too near one another.

Friday, October 30, 2020 PDF and CDF 1 of 5

 From this we get the OPTS502M202022-2
Suresh Venkatraman

following
P(a≤ X ≤ b) can be broken up into three components.

P(a≤ X ≤ b) = p(X=a) + P(a<X<b) + P(X=b)

Since p(X=a) and p(X=b) = 0

We say P(a≤ X ≤ b) = P(a<X<b)

Also P(a≤ X ≤ b) = P(a≤ X < b)

And P(a≤ X ≤ b) = P(a< X ≤ b)

Friday, October 30, 2020 PDF and CDF 2 of 5

 PDF OPTS502M202022-2
Suresh Venkatraman

• Or probability density function

• Takes the form of a curve f(X) such that
• The area under the curve is the probability.
• Since the total probability must be equal to one,
• The total area under the curve is equal to one.
• The area under the curve between X=a and X=b (see graph)
• Is the probability of X taking values between a and b

Friday, October 30, 2020 PDF and CDF 3 of 5

 PDF vs Mass function OPTS502M202022-2
Suresh Venkatraman

For the continuous random variable, we have the probability density

function, where the area is the probability p(x ≤ X ≤ x+ dx).

But for the discrete random variable, we have the probability mass
function, where the height of the bar is the probability p(X=x*)
Friday, October 30, 2020 PDF and CDF 4 of 5
 CDF OPTS502M202022-2
Suresh Venkatraman

For any value x of the random variable X, the cumulative

distribution function or CDF is expressed as F(x) = P(X < x)
As a result, P(a < X < b) = F(b) − F(a)
For a discrete random variable the Cumulative Mass function
would be P(X≤ x*) = P(X=1) + P(X=2)+ ….P(X=x*)
Friday, October 30, 2020 PDF and CDF 5 of 5