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f (x ) 0 for all
f ( x ) dx 1
x.
under
the curve y=f(x) is 1.
The probability density function is a
theoretical model for the frequency
distribution of a population of measurements.
Finding Probability
If X is a continuous random variable,
P a X b
f ( x)dx .
a
x
a
b
Note:
1. P a x b P a x b P a x b
P a x b
2. f(a) P(X=a)
3. Probability statements regarding a
continuous random variable are meaningful
only if the integral defining the probability
exists.
Eg. 1
Determine whether the function below is a
probability density function.
6
a)
b)
if 1 x 6
f ( x ) 5x
0 otherwise
2 y 1 0 y 2
f ( y)
0 otherwise
Eg. 2
A continuous random variable X has p.d.f.
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QMT211
kx2 x 0 x 2
f ( x)
0 otherwise
Find
0 F x 1
1.
a) the value of k
b) P1 X 1.5
c) P1 X 2.5
0.005 20 x for 0 x 20
f ( x)
otherwise
0
F ' ( x)
4.
and b with
dF x
f x
dx
Eg. 4
Let Y have the probability density function
below:
F ( x ) P ( X x ) f (t )dt .
P a x b F b F a
3.
as
0 .2 1 y 0
f y 0.2 cy 0 y 1
0
elsewhere
a)
b)
c)
d)
e)
Eg. 5
The life span in hours of an electrical
component is a random variable with
cumulative distribution function
F(x) 1 e 50 , x 0
0
elsewhere
a)
F(X0)
b)
X0
Find c .
Find F y .
Graph f y and F y .
Use F y to find P 0 Y 0.5 .
Find P Y 0.5 Y 0.1 .
Determine the
probability density
function
Determine the probability that the life
span of such a component will exceed 70
hours.
Eg. 6
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QMT211
A petrol station operates two pumps, each of
which can pump up to 40000 litres of petrol in
a month. The total amount of petrol pumped
at the station in a month is a random variable
X (measured in tens of thousands of petrol)
with probability density function given by
1
0x4
16 x
1 1
f x x 4 x 8
2 16
0
elsewhere
Value
for
Continuous
random
xf ( x)dx
a) Graph f x .
b) Find the probability that the station
pumps between 30000 and 48000 litres in
a month.
c) Find the distribution function, F x and
graph the function.
d) Use the distribution function to find the
probability that the station pumps
between 30000 and 48000 litres in a
month.
e) Given that the station has pumped over
40000 litres for a particular month, find
the probability that the station pumped
over 60000 litres during the month.
Eg. 7
A continuous random variable
distribution function
0
1 x
8
1 3x
F x
8
5 x
8
Expected
Variables
X has the
x 1
1 x 0
0 x 2
2 x3
x 3
Find
a) the probability density function
b) P 3 2 X 5
g ( x) f ( x) dx
Variance
The variance measures the variability by
measuring the difference between the
variable and its mean.
V X 2 E( X ) 2 E X 2 2
where E X
f ( x )dx
Standard Deviation
Stdev X ,
VX
Eg. 8
Certain coded measurements of the pitch
diameter of threads of a fitting have the pdf
4
2 if 0 x 1
f (x) (1 x )
0
otherwise
|x|
if 2 x 4
f ( x) 10
0
otherwise
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QMT211
Eg. 10
Distribution function of a continuous random
variable X is
x0
2
ax
F x
0 x2
bx 2 2x - 2
where
a)
b)
c)
2 x3
x3
E(cg(X))=cE(g(X))
3.
4.
V(g(X)=E[g(X)- g ( X ) ]2
b) Determine
i) the mean of X
ii) the variance of
iii) E 2 X 5
iv) V 2 X 1
f ( x) dx 0.5
Eg. 13
The pdf of a random variable Y is
6
2 if 2 y 3
f ( y) y
0 otherwise
Find the median of Y.
=E[g(X)]2 - (E[g(X)])2
Eg. 11
Using the above theorem and definition of
V(X) to prove that
a) V (X) = E (X2) [E(X)]2
b) E (aX + b) = a E(X) + b
c) V (aX+b) = a2 V(X)
Eg. 12
The probability density function of a random
variable X is given by
1
4
x
0
3
2
1
4
f x x
x 1
3
2
elsewhere
0
Eg. 14
A continuous random variable Y has the
distribution function
3 y2
17
F y
3
1 2y
17
y0
0 y 1
1 y 2
y2
Find
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QMT211
a) m, the median of Y correct to 2 decimal
places
b) P | Y m | 0.75 correct to 2 decimal
places.
Moment
Generating
Function
for
a
Continuous Random Variable
The probability distribution of a continuous
random variable may be described in terms of
a moment generating function rather than in
terms of a pdf or distribution function.
If X is a continuous random variable, the mgf
of X is given by
Mx(t)= E(etX)=
t x
f ( x ) dx
M(0)=E(X2)=2+2
Eg. 15
The moment generating function of random
variable X is given as
M X (t )
1 2t 1 1 t
e e
3
6 2
Find E(X).
Eg. 16
Let X be a random variable with density
function f given by
f ( x) 2e 2 x for
x0
dM
at t 0
dt
E(X2)= M(0) =
d 2M
at t 0
dt 2
M( t ) e t x f ( x )dx
( tx ) 2
( tx ) 3
...]f ( x )dx
2!
3!
t2
2
f ( x )dx t xf ( x )dx
x f ( x )dx ...
2!
t2
1 tE( X)
E( X 2 ) ...
2!
[1 tx
It follows
M(0)=1
M(0)=E(X)=
Page 5