chapter 5: continuous random variablesxwu/class/eleg310/chapter5.pdf · chapter 5: continuous...
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![Page 1: Chapter 5: Continuous Random Variablesxwu/class/ELEG310/Chapter5.pdf · Chapter 5: Continuous Random Variables 1 Spring, 2020 Xiugang Wu University of Delaware . 2 Outline • Continuous](https://reader030.vdocuments.site/reader030/viewer/2022040215/5edca024ad6a402d66675f65/html5/thumbnails/1.jpg)
Chapter 5: Continuous Random Variables
1
Spring, 2020
Xiugang Wu
University of Delaware
![Page 2: Chapter 5: Continuous Random Variablesxwu/class/ELEG310/Chapter5.pdf · Chapter 5: Continuous Random Variables 1 Spring, 2020 Xiugang Wu University of Delaware . 2 Outline • Continuous](https://reader030.vdocuments.site/reader030/viewer/2022040215/5edca024ad6a402d66675f65/html5/thumbnails/2.jpg)
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Outline
• Continuous Random Variables • Expectation and Variance for Continuous RV • Uniform RV • Normal (Gaussian) RV • Exponential RV • Gamma RV
![Page 3: Chapter 5: Continuous Random Variablesxwu/class/ELEG310/Chapter5.pdf · Chapter 5: Continuous Random Variables 1 Spring, 2020 Xiugang Wu University of Delaware . 2 Outline • Continuous](https://reader030.vdocuments.site/reader030/viewer/2022040215/5edca024ad6a402d66675f65/html5/thumbnails/3.jpg)
3
Outline
• Continuous Random Variables • Expectation and Variance for Continuous RV • Uniform RV • Normal (Gaussian) RV • Exponential RV • Gamma RV
![Page 4: Chapter 5: Continuous Random Variablesxwu/class/ELEG310/Chapter5.pdf · Chapter 5: Continuous Random Variables 1 Spring, 2020 Xiugang Wu University of Delaware . 2 Outline • Continuous](https://reader030.vdocuments.site/reader030/viewer/2022040215/5edca024ad6a402d66675f65/html5/thumbnails/4.jpg)
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Continuous Random Variables
X is called a continuous RV if there is a nonnegative function f(x) such that
for any set B ✓ R,P (X 2 B) =
Z
Bf(x)dx
where f(x) is called the probability density function (PDF) of X.
For example, suppose X has PDF f(x). Then we have
P (X 2 [a, b]) =
Z b
af(x)dx
P (X 2 R) =Z 1
�1f(x)dx = 1
P (X = a) =
Z a
af(x)dx = 0
![Page 5: Chapter 5: Continuous Random Variablesxwu/class/ELEG310/Chapter5.pdf · Chapter 5: Continuous Random Variables 1 Spring, 2020 Xiugang Wu University of Delaware . 2 Outline • Continuous](https://reader030.vdocuments.site/reader030/viewer/2022040215/5edca024ad6a402d66675f65/html5/thumbnails/5.jpg)
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Example
Problem: Suppose that X is a continuous RV with PDF
f(x) =
(c(4x� 2x
2) 0 < x < 2
0 otherwise
Find a) the value of c; and b) P (X > 1).
Solution: a) Since f(x) is a PDF, we have
1 =
Z 1
�1f(x)dx =
Z 2
0c(4x� 2x
2)dx = c⇥ (2x
2 � 2
3
x
3)
��20= c⇥ 8
3
and therefore c =
38 .
b) Plugging the value of c, we have
P (X > 1) =
Z 1
1f(x)dx =
Z 2
1
3
8
(4x� 2x
2)dx =
1
2
![Page 6: Chapter 5: Continuous Random Variablesxwu/class/ELEG310/Chapter5.pdf · Chapter 5: Continuous Random Variables 1 Spring, 2020 Xiugang Wu University of Delaware . 2 Outline • Continuous](https://reader030.vdocuments.site/reader030/viewer/2022040215/5edca024ad6a402d66675f65/html5/thumbnails/6.jpg)
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Cumulative Distribution Function
The cumulative distribution function, or CDF, for a continuous RV X is defined
as
F (a) = P (X a) = P (X < a) =
Z a
�1f(x)dx
The CDF and PDF are related by
f(a) = F
0(a) =
d
da
F (a)
Example: If X is a continuous RV with distribution function FX and density
function fX . Find the density function of Y = 2X.
Solution: By the definition of CDF, we have
FY (a) = P (Y a) = P (2X a) = P
⇣X a
2
⌘= FX
⇣a
2
⌘
Therefore, the density of Y is given by
fY (a) =d
da
FY (a) =d
da
FX
⇣a
2
⌘=
1
2
fX
⇣a
2
⌘
![Page 7: Chapter 5: Continuous Random Variablesxwu/class/ELEG310/Chapter5.pdf · Chapter 5: Continuous Random Variables 1 Spring, 2020 Xiugang Wu University of Delaware . 2 Outline • Continuous](https://reader030.vdocuments.site/reader030/viewer/2022040215/5edca024ad6a402d66675f65/html5/thumbnails/7.jpg)
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Outline
• Continuous Random Variables • Expectation and Variance for Continuous RV • Uniform RV • Normal (Gaussian) RV • Exponential RV • Gamma RV
![Page 8: Chapter 5: Continuous Random Variablesxwu/class/ELEG310/Chapter5.pdf · Chapter 5: Continuous Random Variables 1 Spring, 2020 Xiugang Wu University of Delaware . 2 Outline • Continuous](https://reader030.vdocuments.site/reader030/viewer/2022040215/5edca024ad6a402d66675f65/html5/thumbnails/8.jpg)
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Expectation
Expectation for a continuous RV X:
E[X] =
Z 1
�1x · f(x)dx
Example: For X with PDF given by
f(x) =
(2x 0 x 1
0 otherwise
the expectation E[X] is
E[X] =
Z 1
�1xf(x)dx =
Z 1
0x⇥ 2xdx =
2
3
![Page 9: Chapter 5: Continuous Random Variablesxwu/class/ELEG310/Chapter5.pdf · Chapter 5: Continuous Random Variables 1 Spring, 2020 Xiugang Wu University of Delaware . 2 Outline • Continuous](https://reader030.vdocuments.site/reader030/viewer/2022040215/5edca024ad6a402d66675f65/html5/thumbnails/9.jpg)
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Expectation
Expectation for function of a continuous RV X:
E[g(X)] =
Z 1
�1g(x) · f(x)dx
and E[aX + b] = aE[X] + b.
Example: For X with PDF given by
f(x) =
(1 0 x 1
0 otherwise
the expectation E[e
X
] is
E[X] =
Z 1
�1e
x
f(x)dx =
Z 1
0e
x
dx = e� 1
![Page 10: Chapter 5: Continuous Random Variablesxwu/class/ELEG310/Chapter5.pdf · Chapter 5: Continuous Random Variables 1 Spring, 2020 Xiugang Wu University of Delaware . 2 Outline • Continuous](https://reader030.vdocuments.site/reader030/viewer/2022040215/5edca024ad6a402d66675f65/html5/thumbnails/10.jpg)
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Variance
Var(X) = E[(X � µ)
2] = E[X
2]� µ
2, µ = E[X]
and
Var(aX + b) = a
2Var(X)
Example: For X with PDF given by
f(x) =
(2x 0 x 1
0 otherwise
the second moment E[X
2] is
E[X
2] =
Z 1
�1x
2f(x)dx =
Z 1
0x
2 ⇥ 2xdx =
1
2
and Var(X) = E[X
2]� µ
2=
12 �
�23
�2=
118
![Page 11: Chapter 5: Continuous Random Variablesxwu/class/ELEG310/Chapter5.pdf · Chapter 5: Continuous Random Variables 1 Spring, 2020 Xiugang Wu University of Delaware . 2 Outline • Continuous](https://reader030.vdocuments.site/reader030/viewer/2022040215/5edca024ad6a402d66675f65/html5/thumbnails/11.jpg)
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Outline
• Continuous Random Variables • Expectation and Variance for Continuous RV • Uniform RV • Normal (Gaussian) RV • Exponential RV • Gamma RV
![Page 12: Chapter 5: Continuous Random Variablesxwu/class/ELEG310/Chapter5.pdf · Chapter 5: Continuous Random Variables 1 Spring, 2020 Xiugang Wu University of Delaware . 2 Outline • Continuous](https://reader030.vdocuments.site/reader030/viewer/2022040215/5edca024ad6a402d66675f65/html5/thumbnails/12.jpg)
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Uniform RV A RV X ⇠ Unif(↵,�) is said to be uniformly distributed over (↵,�) if its PDF
is
f(x) =
(1
��↵ ↵ x �
0 otherwise
Its CDF is given by
F (a) =
Z a
�1f(x)dx =
8><
>:
0 a ↵
a�↵��↵ ↵ a �
1 a � �
The expectation E[X] is
E[X] =
Z 1
�1xf(x)dx =
Z �
↵x⇥ 1
� � ↵
dx =
� + ↵
2
The second moment E[X
2] is
E[X
2] =
Z 1
�1x
2f(x)dx =
Z �
↵x
2 ⇥ 1
� � ↵
dx =
�
3 � ↵
3
3(� � ↵)
=
�
2+ ↵
2+ �↵
3
So we have Var(X) = E[X
2]� µ
2=
(��↵)2
12
![Page 13: Chapter 5: Continuous Random Variablesxwu/class/ELEG310/Chapter5.pdf · Chapter 5: Continuous Random Variables 1 Spring, 2020 Xiugang Wu University of Delaware . 2 Outline • Continuous](https://reader030.vdocuments.site/reader030/viewer/2022040215/5edca024ad6a402d66675f65/html5/thumbnails/13.jpg)
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Uniform RV
![Page 14: Chapter 5: Continuous Random Variablesxwu/class/ELEG310/Chapter5.pdf · Chapter 5: Continuous Random Variables 1 Spring, 2020 Xiugang Wu University of Delaware . 2 Outline • Continuous](https://reader030.vdocuments.site/reader030/viewer/2022040215/5edca024ad6a402d66675f65/html5/thumbnails/14.jpg)
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Outline
• Continuous Random Variables • Expectation and Variance for Continuous RV • Uniform RV • Normal (Gaussian) RV • Exponential RV • Gamma RV
![Page 15: Chapter 5: Continuous Random Variablesxwu/class/ELEG310/Chapter5.pdf · Chapter 5: Continuous Random Variables 1 Spring, 2020 Xiugang Wu University of Delaware . 2 Outline • Continuous](https://reader030.vdocuments.site/reader030/viewer/2022040215/5edca024ad6a402d66675f65/html5/thumbnails/15.jpg)
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Normal RV: PDF
![Page 16: Chapter 5: Continuous Random Variablesxwu/class/ELEG310/Chapter5.pdf · Chapter 5: Continuous Random Variables 1 Spring, 2020 Xiugang Wu University of Delaware . 2 Outline • Continuous](https://reader030.vdocuments.site/reader030/viewer/2022040215/5edca024ad6a402d66675f65/html5/thumbnails/16.jpg)
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Normal RV: PDF
![Page 17: Chapter 5: Continuous Random Variablesxwu/class/ELEG310/Chapter5.pdf · Chapter 5: Continuous Random Variables 1 Spring, 2020 Xiugang Wu University of Delaware . 2 Outline • Continuous](https://reader030.vdocuments.site/reader030/viewer/2022040215/5edca024ad6a402d66675f65/html5/thumbnails/17.jpg)
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Normal RV: Expectation and Variance
![Page 18: Chapter 5: Continuous Random Variablesxwu/class/ELEG310/Chapter5.pdf · Chapter 5: Continuous Random Variables 1 Spring, 2020 Xiugang Wu University of Delaware . 2 Outline • Continuous](https://reader030.vdocuments.site/reader030/viewer/2022040215/5edca024ad6a402d66675f65/html5/thumbnails/18.jpg)
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Normal RV: Expectation and Variance
![Page 19: Chapter 5: Continuous Random Variablesxwu/class/ELEG310/Chapter5.pdf · Chapter 5: Continuous Random Variables 1 Spring, 2020 Xiugang Wu University of Delaware . 2 Outline • Continuous](https://reader030.vdocuments.site/reader030/viewer/2022040215/5edca024ad6a402d66675f65/html5/thumbnails/19.jpg)
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Normal RV: CDF
![Page 20: Chapter 5: Continuous Random Variablesxwu/class/ELEG310/Chapter5.pdf · Chapter 5: Continuous Random Variables 1 Spring, 2020 Xiugang Wu University of Delaware . 2 Outline • Continuous](https://reader030.vdocuments.site/reader030/viewer/2022040215/5edca024ad6a402d66675f65/html5/thumbnails/20.jpg)
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Normal RV: CDF
![Page 21: Chapter 5: Continuous Random Variablesxwu/class/ELEG310/Chapter5.pdf · Chapter 5: Continuous Random Variables 1 Spring, 2020 Xiugang Wu University of Delaware . 2 Outline • Continuous](https://reader030.vdocuments.site/reader030/viewer/2022040215/5edca024ad6a402d66675f65/html5/thumbnails/21.jpg)
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Example
![Page 22: Chapter 5: Continuous Random Variablesxwu/class/ELEG310/Chapter5.pdf · Chapter 5: Continuous Random Variables 1 Spring, 2020 Xiugang Wu University of Delaware . 2 Outline • Continuous](https://reader030.vdocuments.site/reader030/viewer/2022040215/5edca024ad6a402d66675f65/html5/thumbnails/22.jpg)
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Outline
• Continuous Random Variables • Expectation and Variance for Continuous RV • Uniform RV • Normal (Gaussian) RV • Exponential RV • Gamma RV
![Page 23: Chapter 5: Continuous Random Variablesxwu/class/ELEG310/Chapter5.pdf · Chapter 5: Continuous Random Variables 1 Spring, 2020 Xiugang Wu University of Delaware . 2 Outline • Continuous](https://reader030.vdocuments.site/reader030/viewer/2022040215/5edca024ad6a402d66675f65/html5/thumbnails/23.jpg)
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Exponential RV
![Page 24: Chapter 5: Continuous Random Variablesxwu/class/ELEG310/Chapter5.pdf · Chapter 5: Continuous Random Variables 1 Spring, 2020 Xiugang Wu University of Delaware . 2 Outline • Continuous](https://reader030.vdocuments.site/reader030/viewer/2022040215/5edca024ad6a402d66675f65/html5/thumbnails/24.jpg)
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Outline
• Continuous Random Variables • Expectation and Variance for Continuous RV • Uniform RV • Normal (Gaussian) RV • Exponential RV • Gamma RV
![Page 25: Chapter 5: Continuous Random Variablesxwu/class/ELEG310/Chapter5.pdf · Chapter 5: Continuous Random Variables 1 Spring, 2020 Xiugang Wu University of Delaware . 2 Outline • Continuous](https://reader030.vdocuments.site/reader030/viewer/2022040215/5edca024ad6a402d66675f65/html5/thumbnails/25.jpg)
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Gamma RV