Outline

Continuous random variables

Uniform Distribution
Cumulative distribution function
Percentiles
Exercises

Chapter 4 - Lecture 1
Probability Density Functions and Cumulative
Distribution Functions

Andreas Artemiou

October 21st, 2009

Andreas Artemiou Chapter 4 - Lecture 1 Probability Density Functions and Cumul

 Outline
Continuous random variables
Uniform Distribution
Cumulative distribution function
Percentiles
Exercises

Continuous random variables

Review
Probability distribution function
Example
Uniform Distribution
Definition
Example
Cumulative distribution function
Definition
Example
Useful results
Relationship between the pdf and the cdf
Percentiles
Definition
Example
Exercises
Andreas Artemiou Chapter 4 - Lecture 1 Probability Density Functions and Cumul
 Outline
Continuous random variables
Review
Uniform Distribution
Probability distribution function
Cumulative distribution function
Example
Percentiles
Exercises

Review

I In Chapter 3 we have seen that a continuous random variable

is one that can take any possible value in a given interval.
I Examples
I People weight
I People height
I Distance between two cities

Andreas Artemiou Chapter 4 - Lecture 1 Probability Density Functions and Cumul

 Outline
Continuous random variables
Review
Uniform Distribution
Probability distribution function
Cumulative distribution function
Example
Percentiles
Exercises

Probability distribution functon

I Now if X is continuous random variable the probability

distribution or probability density function (pdf) of X is a
function f (x) such that
Z b
P(a ≤ X ≤ b) = f (x)dx
a

Andreas Artemiou Chapter 4 - Lecture 1 Probability Density Functions and Cumul

 Outline
Continuous random variables
Review
Uniform Distribution
Probability distribution function
Cumulative distribution function
Example
Percentiles
Exercises

Legitimate pdf

I A function is a legitimate pdf if it satisfies the following two

conditions
I fZ(x) ≥ 0∀X
∞
I f (x)dx = 1
−∞

Andreas Artemiou Chapter 4 - Lecture 1 Probability Density Functions and Cumul

 Outline
Continuous random variables
Review
Uniform Distribution
Probability distribution function
Cumulative distribution function
Example
Percentiles
Exercises

Important property

I Note that in the continuous case P(X = c) = 0 for every

possible value of c. (why?)

I This has a very useful consequence in the continuous case:

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

Andreas Artemiou Chapter 4 - Lecture 1 Probability Density Functions and Cumul

 Outline
Continuous random variables
Review
Uniform Distribution
Probability distribution function
Cumulative distribution function
Example
Percentiles
Exercises

Example 4.5 page 158

Andreas Artemiou Chapter 4 - Lecture 1 Probability Density Functions and Cumul

 Outline
Continuous random variables
Uniform Distribution Definition
Cumulative distribution function Example
Percentiles
Exercises

Uniform Distribution

I A continuous random variable X is said to have a uniform

distribution on the interval [A, B] if the pdf of X is the
following: 
 1 ,A ≤ X ≤ B
f (x) = B − A
0 , otherwise

Andreas Artemiou Chapter 4 - Lecture 1 Probability Density Functions and Cumul

 Outline
Continuous random variables
Uniform Distribution Definition
Cumulative distribution function Example
Percentiles
Exercises

Example

I If in a Friday quiz we denote with X the time that the first

student will finish and X follows a uniform distribution in the
interval 5 to 15 minutes.
I Find the probability distribution
I Find the P(X < 4), P(X < 12) and P(X > 7).

Andreas Artemiou Chapter 4 - Lecture 1 Probability Density Functions and Cumul

 Outline
Continuous random variables Definition
Uniform Distribution Example
Cumulative distribution function Useful results
Percentiles Relationship between the pdf and the cdf
Exercises

Cumulative distribution function

I The cumulative distribution function (cdf) for a

continuous random variable X is the following:
Z x
F (x) = P(X ≤ x) = f (y )dy
−∞

Andreas Artemiou Chapter 4 - Lecture 1 Probability Density Functions and Cumul

 Outline
Continuous random variables Definition
Uniform Distribution Example
Cumulative distribution function Useful results
Percentiles Relationship between the pdf and the cdf
Exercises

Example

I If in a Friday quiz we denote with X the time that the first

student will finish and X follows a uniform distribution in the
interval 5 to 15 minutes.
I Find the cumulative distribution function of X .

Andreas Artemiou Chapter 4 - Lecture 1 Probability Density Functions and Cumul

 Outline
Continuous random variables Definition
Uniform Distribution Example
Cumulative distribution function Useful results
Percentiles Relationship between the pdf and the cdf
Exercises

Example

I In the continuous case is very useful to use the cdf to find

probabilities using the formulas:

P(X > a) = 1 − F (a)

P(a ≤ X ≤ b) = F (b) − F (a)

Andreas Artemiou Chapter 4 - Lecture 1 Probability Density Functions and Cumul

 Outline
Continuous random variables Definition
Uniform Distribution Example
Cumulative distribution function Useful results
Percentiles Relationship between the pdf and the cdf
Exercises

Example

I If in a Friday quiz we denote with X the time that the first

student will finish and X follows a uniform distribution in the
interval 5 to 15 minutes.
I Find P(X > 7) and P(6 < X < 11).

Andreas Artemiou Chapter 4 - Lecture 1 Probability Density Functions and Cumul

 Outline
Continuous random variables Definition
Uniform Distribution Example
Cumulative distribution function Useful results
Percentiles Relationship between the pdf and the cdf
Exercises

Obtaining f (x) from F (x)

I If X is a continuous random variable with pdf f (x) and cdf

F (x), then at every x at which the derivative of F (x),
denoted with F 0 (x), exists we have that F 0 (x) = f (x).
I Prove this for the quiz example in the previous slide.

Andreas Artemiou Chapter 4 - Lecture 1 Probability Density Functions and Cumul

 Outline
Continuous random variables
Uniform Distribution Definition
Cumulative distribution function Example
Percentiles
Exercises

Percentiles

I If p is a number between 0 and 1. Then the (100p)th

percentile of the distribution of a continuous random variable
X is denoted by η(p) and it satisfies the following:
Z η(p)
p = F ((η(p))) = f (y )dy
−∞

Andreas Artemiou Chapter 4 - Lecture 1 Probability Density Functions and Cumul

 Outline
Continuous random variables
Uniform Distribution Definition
Cumulative distribution function Example
Percentiles
Exercises

Example 4.9 page 164

Andreas Artemiou Chapter 4 - Lecture 1 Probability Density Functions and Cumul

 Outline
Continuous random variables
Uniform Distribution Definition
Cumulative distribution function Example
Percentiles
Exercises

Median

I By definition the median is the middle observation. When we

have a continuous random variable the median is the same as
the 50th percentile. So half the area under the curve is below
the median (on the left) and half above the median (on the
right).

Andreas Artemiou Chapter 4 - Lecture 1 Probability Density Functions and Cumul

 Outline
Continuous random variables
Uniform Distribution
Cumulative distribution function
Percentiles
Exercises

Exercises

I Section 4.1 page 165

I Exercises 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 17

Andreas Artemiou Chapter 4 - Lecture 1 Probability Density Functions and Cumul