Chapter 4

Continuous Random Variables

and Probability Distributions

4.1 Probability Density Functions

Recall from Chapter 3 that a random variable X is
continuous if
possible values comprise either a single interval
on the number line (for some A < B, any number x
between A and B is a possible value) or a union of
disjoint intervals.
and P(X = c) = 0 for any number c that is a possible
value of X. Which, as a results, means that

P(a X b) = P(a X < b) = P(a < X b) =

= P(a < X < b)
Probability Distributions for Continuous
Variables
Let X be a continuous rv. Then a probability
distribution or probability density function (pdf)
of X is a function f (x) such that for any two numbers
a and b with a b,

P(a x b) =
The graph of f(x) is often referred to as the density
curve.

For a function, f(x), to be considered a probability

density function, the following two conditions must
be satisfied:
1. f(x) 0.
2.

=1

Exercise 1:
A random variable, X, has the following pdf:
f(x) =

A. What is the value of k?

B. Find P(X=1).
C. Find P(2 X 3).
D. Find P(2 < X 3).
6

The Uniform Distribution:

If A and B are numbers on the real line, the
probability describing the uniform distribution is

f(x)=

If X a uniform random variable, it is denoted

X~U[a,b] with
E(X) = X =

, X2 =

Exercise 2:
Suppose that the random variable X follows a
uniform distribution with limits a = 0, b = 5.
A. Write the formula for the probability density
function and sketch it.
B.Find the probability that X = 2.
C.Find P(1 X 4).

Exercise 3:
The wait time for a specific bus, in minutes, is
uniformly distributed between 0 and 15 minutes.
A. What the probability that the wait time is more
than 10 mintes?
B.What is the probability time that the wait time is
between 5 and 10 minutes?
C.If that person arrives at the bus stop and is told that
he/she missed the bus by 5 minutes, what is the
probablity he/she waits more than 10 minutes?
10

4.2 Cumulative Distribution Functions and

Expected Values
The cumulative distribution function (cdf) F(x) for a
discrete rv X gives, for any specified number x, the
probability P(X x) .
The cdf of a continuous rv gives the same
probabilities P(X x) and is obtained by integrating
the pdf f(y) between the limits and x.
11

Definition
The cumulative distribution function F(x) for a
continuous rv X is defined for every number x by
F(x) = P(X x) =
For each x, F(x) is the area under the density curve to
the left of x. This is illustrated in the following figure,
where F(x) increases smoothly as x increases.
12

Exercise 4:
Find the cumulative distribution function
X~U[a,b].
13

for

Using F(x) to compute Probabilities

If X is a continuous rv with pdf f(x) and cdf F(x), then
for any number a,
P(X > a) = 1 F(a)
and for any two numbers a and b with b > a
P(a x b) = F(b) F(a)

14

Exercise 5:
Suppose the pdf of the magnitude X of a dynamic
load on a bridge (in newtons) is
f(x) =
A. Find F(x).
B. Find P(1 x 1.5) and P(X > 2).
15

Obtaining f(x) from F(x)

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, F
(x) = f (x).

Exercise 6:
Consider the cdf obtain in Exercise 4, find the pdf.

16

Percentiles of a Continuous Distribution

Let p be a number between 0 and 1. The (100p)th
percentile of the distribution of a continuous rv X,
denoted by (p), is defined by
p = F((p)) =

Hence, (p) is that value on the measurement axis

such that 100p% of the area under the graph of f(x)
lies to the left of (p) and 100(1 p)% lies to the
right.
17

Exercise 7:
The distribution of the amount of gravel (in tons) sold
by a particular construction supply company in a
given week is a continuous rv X with pdf

f(x) =

Find the 50th.

18

The median of a continuous distribution, denoted by

, is the 50th percentile, so satisfies 0.5=F( ). That
is, half the area under the density curve is to the left
of and half is to the right of .

Medians of symmetric distributions

19

Expected Values
The expected or mean value of a continuous rv X
with pdf f (x) is
X = E(X) =
Exercise 8:
Find the expected value for the random variable in
Exercise 7.
20

Proposition
If X is a continuous rv with pdf f(x) and h(X) is any
function of X, then
E[h(X)] = h(X) =

Definition
The variance of a continuous random variable X with
pdf f(x) and mean value is
21

2
X =

V(X) =

= E[(X ) ]
2

= E(X2) [E(X)]2
The standard deviation (SD) of X is X =
Exercise 9:
Find the variance for the random variable in Exercise
7.

22

Note:
All the properties of the expected value and variance
of discrete random variables apply to the expected
value and variance of continuous random variables.

23