Introduction to Random variables, Part 3 - Continuous random variables – Normal RV,

Expectation of a continuous RV. [HB] sec. 6.3

• The most widely used probability density functions are the normal density functions.

• The normal distribution was introduced by the French mathematician Abraham De

Moivre in 1733, who used it to approximate probabilities associated with binomial
random variables when the binomial parameter n is large. This result was later
extended by Laplace and others and is now encompassed in a probability theorem
known as the central limit theorem. The central limit theorem, one of the two most
important results in probability theory, gives a theoretical base to the often-noted
empirical observation that, in practice, many random phenomena obey, at least
approximately, a normal probability distribution.

• Let’s standardize the normal RV.

• See normal curve in general below (for arbitrary 𝜇 and 𝜎)
• The CDF (cumulative distribution function) of the standardized normal random variable 𝑍
holds the following property:

• Some approximate values of Φ are presented below:

• So called 68 – 95 - 99.7 rule for the CDF of 𝑍 is provided below. It follows from the table
of values and the symmetry property of Φ.

• By the following theorem we establish the standardization way for normally distributed
random variables:
• Here are examples of an inverse problem and a problem that requires to find an unknown
parameter:

• A useful characteristic of a random variable 𝑋 is its expected value, denoted by 𝐸(𝑋). If a

random experiment is performed repeatedly and the results are recorded, then the
arithmetic average of the recorded results will approach the expected value, so in this
sense, 𝐸(𝑋) can be thought of as the “average” of the random variable 𝑋. Familiar
expected values of random variables include the average highway mileage for a particular
car model, the average waiting time to clear security at a certain airport, and the average
life span of a particular appliance. Below is a formula for the expected value of a
continuous random variable 𝑋 in terms of an integral involving its probability density
function.
Examples 6.3.8 and 6.3.9 (p. 520) illustrate how the integral formula for the expected
value of a continuous random variable may be used.
Homework 6 (Due 26 Apr 2023) –
I. Compute 𝑃(𝑋 ≤ 2) if 𝑋~𝑁(1, 2.25).
II. Let 𝑋~𝑁(20, 3.2! ) and 𝑃(𝑋 ≥ 𝑎) = 0.6. Find 𝑎.
III. Let 𝑋~𝑁(𝜇, 𝜎 ! ). Given 𝑃(𝑋 ≤ 30) = 0.197 and 𝑃(𝑋 ≥ 65) = 0.246, find 𝜇 and 𝜎.
IV. The life of a certain make of battery is known to be normally distributed with a mean life
of 150 hours and a standard deviation of 15 hours. Estimate the probability that the life
of such a battery will be
a) greater than 170 hours;
b) less than 120 hours;
c) within the range 135 hours to 155 hours.
"
V. Prove that if 𝑋~𝑈[𝑎, 𝑏] (uniformly distributed) then 𝐸(𝑋) = ! (𝑎 + 𝑏).
"
VI. Prove that if 𝑋~𝐸𝑥𝑝(𝜆) (exponentially distributed) then 𝐸(𝑋) = #.

+
[HB] Sec. 6.3, p. 521, Exercises NN 52, 54, 56, 58, 61.