Random Signals and Processes

Chapter 3: Continuous Random

Variables
Dr. Mohammad Rakibul Islam
Professor, EEE Department,
Islamic University of Technology
• Continuous set of numbers:
• A continuous set of numbers, sometimes referred to as an
interval, contains all of the real numbers between two limits.
• For the limits x1 and x2 with x1 < x2, there are four different
intervals distinguished by which of the limits are contained in
the interval.
• Example 3.1:

• Self Study
• Example 3.1(hints)
• The Cumulative Distribution Function
• The cumulative distribution function (CDF) of random
variable X is

• Theorem 3.1
• Quiz 3.1
• Solution:
• Probability Density Function:
• The probability density function (PDF) of a continuous
random variable X is

• Theorem 3.2
• Theorem 3.3:

• Proof:
• Quiz 3.2
• Solution:
• Solution (continued):
• Solution (continued):
• Expected Value:
• The expected value of a continuous random variable X is

• Theorem 3.4: The expected value of a function, g(X), of

random variable X is

• Theorem 3.5
• Quiz 3.3:
• Solution:
• Solution(Continued):
• Families of Continuous Random Variables
– Uniform Random Variable
– Exponential Random Variable
– Erlang Random Variable
– Gaussian Random Variable
• Uniform Random Variable

• Theorem 3.6
• Exponential Random Variable

• Theorem 3.8
• Erlang Random Variable

• Theorem 3.10
• Gaussian Random Variable

• Theorem 3.12
• Definition 3.9
• Standard Normal Random Variable: The standard normal
random variable Z is the Gaussian ( 0, 1) random variable
• Definition 3.10
• Standard Normal CDF: The CDF of the standard normal
random variable Z is

• Theorem 3.14
• Example 3.15
– Suppose your score on a test is x = 46, a sample value of the
Gaussian (61,10) random variable. Express your test score as a
sample value of the standard normal random variable, 2.
• Solution:

– z = (46 - 61)/10 = -1.5. Therefore your score is 1.5 standard

deviations less than the expected value.
• Theorem 3.15

• Example 3.16
– If X is the Gaussian (61,10) random variable, what is P[X <=46]?

– This suggests that if your test score is 1.5 standard deviations below the
expected value, you are in the lowest 6.7% of the population of test
takers.
• Example 3.17
– If X is a Gaussian random variable with μ = 61 and ρ = 10,what is P[51 < X <= 71]

• Standard Normal Complementary CDF

• Quiz 3.5
• Solution:
• Solution (continued):
• Probability Models of Derived Random Variables
• Theorem 3.19

• Example 3.23

• Solution:
• Theorem 3.20

• Theorem 3.21
• Conditional PDF
• The conditional PDF of X given B is

• Theorem 3.23

• Conditional Expected Value Given an Event

• Quiz 3.8
• Solution:
• Solution (continued):
• Exercise problem:
• Exercise problem (continued):