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Chapter 4

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Continuous Random

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Variables and Probability
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Distributions
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Section 4.1

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Probability Density

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Functions
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Continuous rv’s

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A random variable X is continuous if
 Possible values comprise either a single interval on the

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number line (for some A < B, any number x between A
and B is a possible value) or a union of disjoint

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intervals

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 P(X = c) = 0 for any number c that is a possible value of
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X.
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Definition of pdf

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 Let X be a continuous rv.
 Then a probability distribution or probability density

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function (pdf) of X is a function f (x) such that for any
two numbers a and b with a ≤ b,

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𝑏
𝑃 𝑎 ≤ 𝑋 ≤ 𝑏 = න 𝑓 𝑥 𝑑𝑥
ng 𝑎
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Definition of pdf (cont.)

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 That is, the probability that X takes on a value in the
interval [a, b] is the area above this interval and under

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the graph of the density function.

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 The graph of f (x) is often referred to as the density

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curve.

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Properties/requirements of pdf

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For f(x) to be a legitimate pdf, it must satisfy the following
two conditions:

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 f(x) ≥ 0 for all x

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 ng
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P(X=c)=0 for a Continuous rv

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 When X is a discrete random variable, each possible
value is assigned positive probability.

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 This is not true of a continuous random variable (that
is, the second condition of the definition is satisfied)

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because the area under a density curve that lies above

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any single value is zero:
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 𝑃 𝑎≤𝑋≤𝑏 =𝑃 𝑎<𝑋<𝑏 =𝑃 𝑎<𝑋≤𝑏 =

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𝑃(𝑎 ≤ 𝑋 < 𝑏)
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Example: Incompletely Specified pdf

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Suppose that the pdf of a certain random variable X has
the following form:

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cx, 0  x  4,

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f ( x)  

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 0, otherwise,

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where c is a given constant. Determine the value of c.
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Solution:
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Therefore, c= 1/8;
Example.
Calculating Probabilities from a pdf

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Suppose that the pdf of X is

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 x / 8, 0  x  4,

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f ( x)  

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 0, otherwise,

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Determine the values of 𝑃(1 ≤ 𝑋 ≤ 2) and 𝑃(𝑋 > 2).
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2 3
Solutions: P(1  X  2)   1
xdx 
1 8
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4 3
P( X  2)   1
xdx 
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2 8 4
Example

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 Suppose that the pdf of a certain random variable X
has the following form:

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Example (cont.)

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Example (cont.)

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 Because whenever 0 ≤ 𝑎 ≤ 𝑏 ≤ 360 in this example,
P(a ≤ X ≤ b) depends only on the width b − a of the
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interval, X is said to have a uniform distribution.
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Uniform Distribution

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 A continuous rv X is said to have a uniform
distribution on the interval [A, B] if the pdf of X is

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Homework 4.1(1)

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Homework 4.1(2)

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Section 4.2

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Cumulative Distribution

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Functions and Expected
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Values
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Definition of cdf
 The cumulative distribution function F(x) for a

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continuous rv X is defined for every number x by

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 For each x, F(x) is the area under the density curve to

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the left of x.

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Using F(x) to Compute Probabilities

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Let X be a continuous rv with pdf f (x) and cdf F(x). Then
for any number a,

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𝑃 𝑋 > 𝑎 = 𝑃 𝑋 ≥ 𝑎 = 1 − 𝐹(𝑎)

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and for any two numbers a and b with a < b,

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𝑃 𝑎≤𝑋≤𝑏 =𝑃 𝑎<𝑋<𝑏

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=𝑃 𝑎<𝑋≤𝑏 =𝑃 𝑎≤𝑋<𝑏
= 𝐹 𝑏 − 𝐹(𝑎)
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Example

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 Suppose the cdf of the magnitude X of a dynamic load
on a bridge (in newtons) is given by

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 Then the probability that the load is between 1 and
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1.5 is
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Example (cont.)

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 The probability that the load exceeds 1 is

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 In-class exercise: The probability that the load is
between 1 and 2 is
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0.688.
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Obtaining f (x) from F(x)

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 If X is a continuous rv with pdf f(x) and cdf F(x), then
at every x at which the derivative F’(x) exists,

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F’(x) = f(x).

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Example: Calculating a pdf from a cdf

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Let the cdf of a random variable be

g
 0, x  2

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 1 3  x3 
F ( x)     4 x  ,  2  x  2

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 2 32  3
 x2
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Find the pdf.
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Solution:
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3
 (4  x 2 ),  2  x  2
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f ( x)  F ' ( x)   32
 0, otherwise
Expected Values

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 The expected or mean value of a continuous rv X with
pdf f (x) is

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an
qi
 If X is a continuous rv with pdf f(x) and h(X) is any
function of X, then
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Example

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The pdf of weekly gravel sales X was

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So Ho
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In-class Exercise

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Compute the expected value of a uniform distribution
with pdf

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 1

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 a  x  b,
f ( x)   b  a

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0 otherwise.

Solution: ng
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
ab
b
x
E ( X )   xf ( x)dx   dx 
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ba 2
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 a
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Example

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Let V be a continuous random variable with pdf
1

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 0  v  a,

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f (v )   a

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0 otherwise.

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Compute the expected value of 𝑊 = 𝑘𝑉 2 .
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Solution:
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 a
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1 1 2
E (W )   kv f (v)dv   kv dv  ka .
2 2

a 3
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 0
In-class Exercise

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Let X be a continuous random variable with pdf

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e  x x  0,

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f ( x)  
0 x  0.

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Compute the expected value of 𝑌 = 𝑒 −2𝑋 .
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Solution:
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 
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1
E (Y )   e 2 x
f ( x)dx   e 2 x  x
e dx  .
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 0
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Variance of a Continuous rv

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 The variance of a continuous random variable X with
pdf f(x) and mean value 𝜇 is

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 The standard deviation (SD) of X is
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A Shortcut Formula for V(X)

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V(X)=E(X2)-[E(X)]2

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Proof：V(X)=E[X-E(X)]2

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=E{X2-2XE(X)+[E(X)]2}

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=E(X2)-2[E(X)]2+[E(X)]2

=E(X2)-[E(X)]2
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We always use this formula to compute the variance !

Example

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The pdf of weekly gravel sales X was

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We have computed Ho
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Example (cont.)

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In-class Exercise

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Compute the variance of a uniform distribution with pdf

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 1
 a  x  b,
f ( x)   b  a

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0 otherwise.

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
ab
b
x

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Solution: We computed E ( X )   xf ( x)dx   dx  .
 a
ba 2

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So V ( X )  E ( X 2 )  E ( X ) 2
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x
b
1 ab
dx  
b  a
2 2

 
2
.
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ba  2  12
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b  a
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ab
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Conclusion: E( X )  , V (X ) 
2 12
Homework 4.2(1)

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The cdf of an rv X is

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Use this to compute the following:

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a. The probability density function f(x)
b. P(X ≤ 1)
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c. P(0.5 ≤ X ≤ 1)
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d. P(X > 0.5)

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e. E(X)
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f. V(X) and 𝜎𝑋
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Section 4.3

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The Normal Distribution

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Motivation

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 The normal distribution is the most important one in
all of probability and statistics.

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 Before defining it, let’s see why it is so important with
a simple but informative example…

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 Suppose you have n dice. You roll them and count the
total number of dots you see. Call this random
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variable X. What does it look like?

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Motivation (cont.)

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 These probability mass functions look more and more
like a bell-shaped curve…

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 Remarkably the sum of many independent random
variables almost always looks similar to a bell curve !!!

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No matter what these random variables look like
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themselves…
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 This bell curve is known as the normal distribution.

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Definition and Properties

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 A continuous rv X is said to have a normal distribution

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with parameters 𝜇 and 𝜎 (or 𝜇 and 𝜎 2 ), where −∞ <
𝜇 < ∞ and 0 < 𝜎, if the pdf of X is

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( x )2
1 

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f ( x;  ,  )  e ,   x  
2 2

2 

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 The statement that X is normally distributed with

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parameters 𝜇 and 𝜎 2 is often abbreviated 𝑋~𝑁(𝜇, 𝜎 2 ).
 Clearly 𝑓(𝑥; 𝜇, 𝜎) ≥ 0 but a somewhat complicated
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calculus argument must be used to verify that
∞
‫׬‬−∞ 𝑓 𝑥; 𝜇, 𝜎 𝑑𝑥 = 1.
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 It will be proved later that 𝐸 𝑋 = 𝜇 and 𝑉 𝑋 = 𝜎 2 ,

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so the parameters are the mean and variance of X.

Shapes of the Normal Distributions

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 The density curve is symmetric about 𝜇 and bell-

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shaped, so the center of the bell (point of symmetry)
is the mean of the distribution.

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P  μ  h  X  μ

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 P  μ  X  μ  h

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Shapes with different μ’s

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f(x)

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 =5

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 =5

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Shapes with different σ’s

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f(x)
 0.5
0.798

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 1

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0.399  1.5
0.266 ng
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Why Standard Normal Distribution?

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 To compute 𝑃(𝑎 ≤ 𝑋 ≤ 𝑏) when X is a normal rv with
parameters 𝜇 and 𝜎, we must determine

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 Unfortunately, none of the standard integration
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techniques can be used to evaluate this expression.
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 Instead, for 𝜇 = 0 and 𝜎 = 1, the expression has been
calculated using numerical techniques and tabulated
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for certain values of a and b.

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 This table can also be used to compute probabilities

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for any other values of 𝜇 and 𝜎 under consideration.

Definition
 The normal distribution with parameter values 𝜇 = 0

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and 𝜎 = 1 is called the standard normal distribution.
 A random variable having a standard normal

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distribution is called a standard normal random

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variable and will be denoted by Z.

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 The pdf of Z is

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 The graph of 𝑓(𝑧; 0,1) is called the standard normal
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(or z) curve.
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𝑧
 The cdf of Z is 𝑃 𝑍 ≤ 𝑧 = ‫׬‬−∞ 𝑓(𝑦; 0,1) 𝑑𝑦, which
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we will denote by Φ(𝑧).

Shapes and properties

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 (x ) (x )

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1 0  ;
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2 x  R ,  x   1   x  ;
Standard Normal Table
 The standard normal distribution does not frequently

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serve as a model for a naturally arising population.
 Instead, it is a reference distribution from which

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information about other normal distributions can be

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obtained.

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 Appendix Table A.3 (page 672) gives Φ 𝑧 = 𝑃(𝑍 ≤ 𝑧),
the area under the standard normal density curve to
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the left of z, for z = -3.49, -3.48, . . . , 3.48, 3.49.
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Example

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 Let’s determine the following standard normal
probabilities.

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 𝑃(𝑍 ≤ 1.25)
 Solution: 𝑃 𝑍 ≤ 1.25 = Φ 1.25 = 0.8944

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 𝑃(𝑍 > 1.25)
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 Solution: 𝑃 𝑍 > 1.25 = 1 − Φ 1.25 = 0.1056
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Example (cont.)

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 𝑃(−0.38 ≤ 𝑍 ≤ 1.25)

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 Solution: 𝑃 −0.38 ≤ 𝑍 ≤ 1.25 = Φ 1.25 −
Φ −0.38 = 0.8944 − 0.3520 = 0.5424

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 Exercise: 𝑃(𝑍 ≤ −1.25)
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 Solution: 𝑃 𝑍 ≤ −1.25 = Φ −1.25 = 1 −

Φ 1.25 = 1 − 0.8944 = 0.1056
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Relationship between a standard and
nonstandard normal rv

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 Proof
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Example

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P(X<10)=? P(2<X<10)=? P(X<0)=?

The Empirical Rule

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If the population distribution of a variable is
(approximately) normal, then

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1. Roughly 68% of the values are within 1 SD of the
mean.

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2. Roughly 95% of the values are within 2 SDs of the
mean.
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3. Roughly 99.7% of the values are within 3 SDs of the
mean.
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In statistics, the empirical rule is also known as the 68–

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95–99.7 rule or three-sigma rule.

Graph of the Empirical Rule

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g
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3 2   2 3
68.26%
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95.44%
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99.74%
Example: Verify the Empirical Rule

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P(| X   |  )  (1)  (1)  0.6826

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P(| X   | 2 )  (2)  (2)  0.9544

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P(| X   | 3 )  (3)  (3)  0.9974

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Expected Value and Variance of Standard
Normal Distribution

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x2
1 
If 𝑋~𝑁 0,1 , then  ( x)  e 2
   x  
2

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  x2
1 
E ( X )   x ( x)dx   xe 2
dx  0
2

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 

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  x2
1 
E ( X )   x  ( x)dx 
2 2
x e
2 2
dx  1
2
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 

V ( X )  E ( X 2 )  ( E ( X )) 2  1  0  1
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Conclusion:
E ( X )  0, V ( X )  1
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Expected Value and Variance of Normal
Distribution

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𝑋−𝜇
If 𝑋~𝑁 𝜇, 𝜎 2 , then 𝑍 = ~𝑁(0,1). We have just
𝜎
proved that

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E ( Z )  0, V ( Z )  1

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Since X  Z   ,

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E ( X )  E (Z   )  E ( Z )    
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V ( X )  V (Z   )   2V ( Z )  0   2
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Conclusion: E ( X )   ,V ( X )   2
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Homework 4.3(1)

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Let 𝑋~𝑁(2, 𝜎 2 ),
a) Compute 𝑃(𝑋 > 2).

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b) If 𝑃 0 < 𝑋 < 2 = 0.4, compute 𝑃 𝑋 > 4 .
c) If 𝜎 = 4, using the table of Standard Normal CDF at

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the end of the textbook and compute the following

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probabilities:
𝑃 𝑋≤6
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𝑃 𝑋 > −3
𝑃(−5 ≤ 𝑋 < 1)
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𝑃(|𝑋| < 2)
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Note: the table can also be found in the webpage

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https://en.wikipedia.org/wiki/Standard_normal_table