Lecture 10

CONTINUOUS PROBABILITY
DISTRIBUTION
REFERENCES

*Walpole, R. E., Myers, R. H., and S. L. Myers (2011), Probability and Statistics
for Engineers and Scientists, 9th ed., Prentice-Hall, Inc., Upper Saddle River, New
Jersey.
WHAT YOU SHOULD LEARN?

1- A probability distribution of continuous random variables.

2- A cumulative function of continuous random variables.
3- The mean, variance, and standard deviation of a continuous probability
distribution.
Properties of continuous probability distribution (Walpole et. al. (2011) p.g.87-89):
• A continuous random variable has a probability of 0 of assuming exactly any of its
values.
• Consequently, its probability distribution cannot be given in tabular form.
• We are dealing with an interval rather than a point value of our random variable.
• When X is continuous, P(A < X ≤ B) = P(A ≤ X < B) = P(A < X < B) = P(A ≤ X ≤ B)
because P(X = A)= P(X = B)=0. It does not matter whether we include an endpoint of
the interval or not. this is not true, though, when X is discrete.
• The probability distribution of a continuous random variable can be stated as a formula.
• In dealing with continuous variables, f(x) is usually called the probability density
function, or simply the density function, of x.
Continued

• A probability density function is constructed so that the area under its curve
bounded by the x axis is equal to 1 when computed over the range of x for which
f(x) is defined.
• The probability that x assumes a value between a and b is equal to the shaded
area under the density function between the ordinates at x = a and x = b, and from
integral calculus is given by:
Defenition 3.6 (Walpole et. al. (2011) p.g.89):
The function f(x) is a probability density function (pdf) for the continuous
random variable X, defined over the set of real numbers, if
1. 𝑓 𝑥 > 0 for all 𝑥 ∈ 𝑅.
∞
2. ‫׬‬−∞ 𝑓 𝑥 𝑑𝑥 = 1
𝑏
3. 𝑃 𝑎 < 𝑋 < 𝑏 = ‫𝑓 𝑎׬‬ 𝑥 𝑑𝑥
EXAMPLE 3.11 (Walpole et. al. (2011) p.g.89):
Suppose that the error in the reaction temperature, in ◦c, for a controlled laboratory
experiment is a continuous random variable x having the probability density
function:

𝑥2
, −1 < 𝑥 < 2
𝑓 𝑥 = 3
0 , 𝑒𝑙𝑠𝑤ℎ𝑒𝑟𝑒

(a) Verify that f(x) is a density function.

(b) Find P(0 < X ≤ 1).
(b) Find P(0 < X ≤ 1).
Defenition 3.7 (Walpole et. al. (2011) p.g.90):
The cumulative distribution function F(x) of a continuous random variable X
with density function f(x) is
𝒙
𝑭 𝒙 = 𝑷 𝑿 ≤ 𝒙 = න 𝒇 𝒕 𝒅𝒕 , −∞ < 𝑿 < ∞
−∞

As an immediate consequence of definition 3.7, one can write the two results
𝑃 𝑎 <𝑋 <𝑏 =𝐹 𝑏 −𝐹 𝑎
And
𝑑𝐹(𝑥)
𝑓 𝑥 = if the derivative exists.
𝑑𝑥
 EXAMPLE 3.12 (Walpole et. al. (2011) p.g.90):
For the density function of example 3.11, find F(x), and use it to evaluate P(0 < X ≤ 1).

𝑥2
, −1 < 𝑥 < 2
𝑓 𝑥 = 3
0 , 𝑒𝑙𝑠𝑤ℎ𝑒𝑟𝑒
EXERCISE 4.12 (Walpole et. al. (2011) p.g.117):

If a dealer’s profit, in units of $5000, on a new automobile can be looked upon as

a random variable X having the density function

𝐶(1 − 𝑥) ,0 < 𝑥 ≤ 1
𝑓 𝑥 =ቐ 0 , 𝑒𝑙𝑠𝑤ℎ𝑒𝑟𝑒

a) Find the value C.

b) Find the cumulative function F(X)
c) Calculate 𝑃 0.5 < 𝑋 < 1
Defenition 4.1 (Walpole et. al. (2011) p.g.112):
Let X be a random variable with probability density distribution f(x). The mean, or Expected value, of X is
∞
𝝁 = 𝑬 𝑿 = න 𝒙 𝒇 𝒙 𝒅𝒙
−∞

Example:
From Example 3.11 (Walpole et. al. (2011) p.g.89), Find the 𝑬 𝑿 where:

𝒙𝟐
, −𝟏 < 𝒙 < 𝟐
𝒇 𝒙 = 𝟑
𝟎 , 𝒆𝒍𝒔𝒘𝒉𝒆𝒓𝒆
Defenition 4.3 (Walpole et. al. (2011) p.g.120):
Let X be a random variable with probability distribution f(x) and mean 𝝁. The variance of X is
∞
𝝈𝟐 = 𝑽 𝑿 = 𝑬[(𝒙 − 𝝁)𝟐 ] = න (𝒙 − 𝝁)𝟐 𝒇 𝒙 𝒅𝒙
−∞
Or
𝝈𝟐 = 𝑬 𝑿𝟐 − 𝑬[𝑿]𝟐 =𝑬 𝑿𝟐 − 𝝁𝟐
The positive square root of the variance, 𝝈, is called the standard deviation of X.

Example:
From Example 3.11 (Walpole et. al. (2011) p.g.89), Find the 𝑽 𝑿 where:

𝑥2
, −1 < 𝑥 < 2
𝑓 𝑥 = 3
0 , 𝑒𝑙𝑠𝑤ℎ𝑒𝑟𝑒
EXERCISE 4.12 (Walpole et. al. (2011) p.g.117):

If a dealer’s profit, in units of $5000, on a new automobile can be looked upon as

a random variable X having the density function

2(1 − 𝑥) ,0 < 𝑥 ≤ 1
𝑓 𝑥 =ቐ 0 , 𝑒𝑙𝑠𝑤ℎ𝑒𝑟𝑒

a) Find the expected value.

b) Find the standard deviation.
 Homework

SOLVE CONTINUOUS RANDOM VARIABLE

EXERCISES SHEET

EXERCISE 5.1, PAGE 245: 19, 20, 21, 22, 25, 26, 27, 28, 29,
30, 51, 52, 53, 57, 58;
EXERCISE 5.2, PAGE 252: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 13.