Lecture 3

Lecture outline

• Probability density function (PDF)

• Cumulative distribution functions

• Normal random variables
Continuous Random Variables and PDF

• A continuous r.v. is described by a probability density function fX

Mean and variance
Cumulative distribution function (CDF)
Gaussian (Normal) PDF

• Standard normal 𝑁(0,1)

• E[𝑋] = 0

• var(𝑋) = 1

• General normal 𝑁(μ, σ2 )

• E[𝑋] = μ
• var(𝑋) = σ2
Calculating normal probabilities

There is a standard normal table

Normal Distribution