VE401 2019Spring Liu Niyiqiu Credit by Fang Jiayi

Elements of Probability Theory – Continuous Random Variables

1 Concepts

1.1 P121-122

1.2 P123 1.3.3 Exponential Distribution

1.3 P134 1.3.5 Gamma Distribution

1.4 P138 1.3.7 Chi-Squared Distribution

1.5 P145 1.3.9 Normal Distribution

The most important distribution in the first half semester!

Remember everything about it by heart!
R∞
fX (x)dx = 1 Proof:
R−∞
∞ R ∞ −( x−µ )2 /2 x−µ
f X (x)dx = √1 e σ dx. Let y = (This is a very frequently used change
−∞ 2πσ −∞ σ
R∞ 2
of variables). Then dy = σ1 dx and the expression becomes √12π −∞ e−y /2 dy.
R∞ 2
Now we calculate −∞ e−y /2 dy.
Z ∞ 2 Z ∞ Z ∞
−y 2 /2 −y 2 /2 2 /2
e dy = e dy e−x dx
−∞ −∞ −∞
Z ∞Z ∞
2 +y 2 )/2
= e−(x dxdy
−∞ −∞
Z 2π Z ∞
2 /2
= e−r
rdrdθ(r2 = x2 + y 2 )
0 −∞
Z 2π   ∞
−r2 /2 
= −e  dθ = 2π.
0 0

R∞ R∞ 2 /2 √
Therefore, f (x)dx =
−∞ X
√1
2π −∞
e−y dy = √1
2π
2π = 1.
How to use this method to calculate Γ( 32 )?
Hint: Z ∞
3
Γ( ) = z 1/2 e−z dz.
2 0

1
Let z = y 2 . Then dz = 2ydy.
Z ∞ Z ∞ Z ∞
1/2 −z −y 2 2
z e dz = ye 2ydy = 2 y 2 e−y dy.
0 0 0

R∞ 2 R∞ 2
Using integration by part, we can represent 0
y 2 e−y dy in the form of 0
e−y dy. The left
is for you to discover in the assignments!

1.6 P150 1.3.11 Standard Normal Distribution

E[Z] = 0 Proof:
 
X −µ 1 1
E[Z] = E = E[X − µ] = (E[X] − E[µ]) = 0.
σ σ σ
V ar[Z] = 1 Proof:
 
X −µ 1 1
V ar[Z] = V ar = 2 V ar[X − µ] = 2 V ar[X] = 1.
σ σ σ

1.7 P151 1.3.13 Transformation of Random Variables

ϕ should be monotonic here. If not, break ϕ into several monotonic intervals.

1.8 P170-174 Normal Distribution Approximates Binomial Distribution

Formula on P170. Note the half unit correction. If the left hand side becomes P [X < y]
without the equal sign, what will happen to the right hand side?
“+1/2” will become “-1/2”. Think about it carefully.

µ = np, σ 2 = npq.

Condition: valid for any p if n is large enough.

(Poisson approximation requires that p is small!)
This approximation is good if p is close to 1/2 and n > 10. Otherwise, we require that np > 5
if p ≤ 1/2 and n(1 − p) > 5 if p > 1/2.

2
1.9 P182 Weibull Distribution

1.10 P183 Uniform Distribution

1.11 P186 Reliability of Series and Parallel Systems

2 Exercises

Ex.1

Let X ∼ N (0, 1) and Y = X 2 . Find fY (y).

Solution:
We find CDF first since CDF is the integration form of PDF and finding CDF can be quite
intuitive.
For any y ≤ 0, P [y ≤ 0] = 0. For y > 0, we have
√ √
y y
√ √
Z Z
1 2 2 2 /2
P [Y ≤ y] = P [− y ≤ X ≤ y] = √ e−x /2 dx = √ e−x dx.
√ 2π 2π
− y 0

Let t = x2 . Then dt = 2xdx = 2t1/2 dx.

Z y
1
FY (y) = P [Y ≤ y] = √ t−1/2 e−t/2 dt,
0 2π

where y > 0. Therefore, fY (y) = √1 y −1/2 e−y/2 if y > 0 and fY (y) = 0 if y ≤ 0.

2π
Another way is to divide the domain X of ϕ into two intervals: [−∞, 0] and [0, ∞]. On each
interval, ϕ is strictly monotonic. This is left for you!

Ex.2

Let X follow the exponential distribution with parameter λ and v0 > 0. Let

 X, X < v0 ,
Y =
v , X ≥ v .
0 0

Find E[Y ].
Solution:
Note first that 
λe−λx , x > 0,
fX (x) =
 0, x ≤ 0.

3
 Z ∞
E[Y ] = Y (x)fX (x)dx
Z−∞
∞
= Y (x)λe−λx dx
Z0 v0 Z ∞
−λx
= xλe dx + v0 λe−λx dx
0 v0
1
= (1 − e−λv0 ).
λ

The physical background for this exercise is that X denotes the voltage in a circuit, Y
denotes the measured voltage of a voltmeter, and v0 is the maximum value of the range of
the voltmeter. Then E[Y ] becomes the average measured value of the voltage.

Ex.3 Two Envelopes Problem

You are given two indistinguishable envelopes, each containing money, one contains twice
as much as the other. You may pick one envelope and keep the money it contains. Having
chosen an envelope at will, but before inspecting it, you are given the chance to switch
envelopes. Should you switch?
From Wikipedia https://en.m.wikipedia.org/wiki/Two envelopes problem