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Week 9

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louay
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PROBABILITY AND STATISTICS

Dr. Öğr. Üyesi Sadra Mousavi


1𝑠𝑡 semester 2023-2024
Continuous Random Variables

• Continuous Sample Space


• A continuous set of numbers, sometimes referred to as an interval, contains all of
the real numbers between two limits.
1. (x1, x2) is the open interval defined as all numbers between x 1 and x2 but not
including either x1 or x2. Formally, (x1, x2) = {x|x1 < x < x2}.
2. [x1, x2] is the closed interval defined as all numbers between x 1 and x2 including
both x1 and x2. Formally [x1, x2] = {x|x1 ≤ x ≤ x2}.
3. [x1, x2) is the interval defined as all numbers between x 1 and x2 including x1 but
not including x2. Formally, [x1, x2) = {x|x1 ≤ x < x2}.
4. (x1, x2] is the interval defined as all numbers between x 1 and x2 including x2 but
not including x1. Formally, (x1, x2] = {x|x1 < x ≤ x2}.
Continuous Random Variables

• Many experiments lead to random variables with a range that is a continuous


interval.
• Examples:
• Measuring T , the arrival time of a particle (𝑆𝑇 = {𝑡|0 ≤ 𝑡 < ∞})
• Measuring V, the voltage across a resistor (𝑆𝑉 = {𝑣| − ∞ < 𝑣 < ∞})
• Measuring the phase angle A of a sinusoidal radio wave (𝑆𝐴 = {𝑎|0 ≤ 𝑎 < 2𝜋}).
Continuous Random Variables

• Definition: Cumulative Distribution Function (CDF)


• The cumulative distribution function (CDF) of random variable X is
𝐹𝑋 (𝑥) = 𝑃 [𝑋 ≤ 𝑥] .
• Graphs of all cumulative distribution functions start at zero on the left and end at
one on the right. All are nondecreasing, and, most importantly, the probability that
the random variable is in an interval is the difference in the CDF evaluated at the
ends of the interval.
• Theorem: For any random variable X,
• (𝑎) 𝐹𝑋 (−∞) = 0
• (𝑏) 𝐹𝑋 (∞) = 1
• (𝑐) 𝑃[𝑥1 < 𝑋 ≤ 𝑥2 ] = 𝐹𝑋 (𝑥2 ) − 𝐹𝑋 (𝑥1 )
Probability Density Function

• Definition: Continuous Random Variable


• X is a continuous random variable if the CDF 𝐹𝑋 (𝑥) is a continuous function.

• Probability Density Function (PDF)


• The slope of the CDF contains the most interesting information about a continuous
random variable. The slope at any point x indicates the probability that X is near x.
• Definition: Probability Density Function (PDF)
• The probability density function (PDF) of a continuous random variable X is:
𝑑𝐹𝑋 (𝑥)
𝑓𝑋 𝑥 =
𝑑𝑥
Probability Density Function

• The PDF is a complete probability model of a continuous random variable. While


there are other functions that also provide complete models the PDF is the most
useful. One reason for this is that the graph of the PDF provides a good indication
of the likely values of observations.

• Example: Figure below depicts the PDF of a random variable X that describes the
voltage at the receiver in a modem. What are probable values of X?
Probability Density Function

• Note that there are two places where the PDF has high values and that it is low
elsewhere. The PDF indicates that the random variable is likely to be near −5 V
(corresponding to the symbol 0 transmitted) and near +5 V (corresponding to a 1
transmitted). Values far from ±5 V (due to strong distortion) are possible but much
less likely.
• Theorem: For a continuous random variable X with PDF 𝑓𝑋 (𝑥),
1. 𝑓𝑋 (𝑥) ≥ 0 𝑓𝑜𝑟 𝑎𝑙𝑙 𝑥
𝑥
2. 𝐹𝑋 𝑥 = 𝑓
−∞ 𝑋
𝑢 𝑑𝑢
+∞
3. 𝑓
−∞ 𝑋
𝑥 𝑑𝑥 = 1
Probability Density Function

• Example: Consider an experiment and spin the pointer three times and observing Y
meters, the maximum value of X in the three spins.

0 𝑦<0
• 𝐹𝑌 𝑦 = 𝑦 3 0 ≤ 𝑦 < 1
1 𝑦≥1

• Find the PDF of Y and the probability that Y is between 1/4 and 3/4.
Expected value and Variance

• Definition: Expected Value


• The expected value of a continuous random variable X is:
+∞
𝐸𝑋 = 𝑥𝑓𝑋 𝑥 𝑑𝑥
−∞

• Theorem: For any random variable X,


• (𝑎) 𝐸[𝑋 − 𝜇𝑋 ] = 0
• (𝑏) 𝐸[𝑎𝑋 + 𝑏] = 𝑎𝐸[𝑋] + 𝑏
• (𝑐) 𝑉𝑎𝑟[𝑋] = 𝐸[𝑋 2 ] − 𝜇𝑋2
• (𝑑) 𝑉𝑎𝑟[𝑎𝑋 + 𝑏] = 𝑎2 𝑉𝑎𝑟[𝑋].
Expected value and Variance

+∞
𝐸 𝑋2 = 𝑥 2 𝑓𝑋 𝑥 𝑑𝑥
−∞
+∞
𝑉𝑎𝑟[𝑋] = (𝑥 − 𝜇𝑋 )2 𝑓𝑋 𝑥 𝑑𝑥
−∞

• Example: Find the variance of the pervious example?

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