Probability and Random

Processes
Lecture no. (7)

Dr Sherif Rabia
Department of Engineering Mathematics and Physics,
Faculty of Engineering, Alexandria University
sherif.rabia@gmail.com
sherif.rabia@alexu.edu.eg
 Outline
2.4 Continuous random variables
Probability density function (PDF)
Cumulative distribution function (CDF)
Expectation and variance

2 Math 9 - 2015/2016 (second term)

 PMF versus PDF
PMF PDF

b
P(X = x) = PX(x)
P(a X b) fX ( x )dx
a
b
P(a X b) PX ( x) P(X = x) = 0
x a

3 Math 9 - 2015/2016 (second term)

 PDF properties
(1) fX(x) 0 for all x

(2) fX ( x )dx 1

Example 7.1
Let fX(x) = 2 x, 0 x 1.
Show that fX(x) is a valid PDF
Example 7.2
Let fX(x) = k e3x , x0
(a) Find k.
(b) Compute P(1 X < 2), P(X 3)
4 Math 9 - 2015/2016 (second term)
 More examples on PDF
Example 7.3
The voltage across a resistor is uniformally distributed over the
interval (10 0.1).
What the probability that the voltage exceeds 10.05?
Example 7.4
The duration of a telephone call (in minutes) is assumed to have
the PDF
fX(x) = k (4 x x2), 0 x 4.
(a) What is the probability that a call duration exceeds 3
minutes?
(b) If consecutive calls are independent, what is the probability
that the duration of the next 10 calls excced 3 minutes?
5 Math 9 - 2015/2016 (second term)
 Cumulative distribution function (CDF)
Definition FX(x) = P(X x) General properties
(1) Non-decreasing function
Example 7.5
(2) F() = 0
Find the CDF of the RV having
(3) F() = 1
a PDF fX(x) = 2 x, 0 x 1.

Example 7.6
Find the CDF of the RV defined x
in Example 7.2. FX ( x ) fX ( x)dx
Hence, compute

(a) P(X 2)
d
(b) P(X 5) fX ( x ) FX ( x )
dx
(c) P(1 X 2)
6 Math 9 - 2015/2016 (second term)
 Expectation
Definition General properties

(1) E[a X + b] = a E(X) + b
E( X) x fX ( x) dx

(2) Eg( X) g( x) fX ( x) dx
Example7.7

The duration T of a mobile call is a RV having a pdf

fT(t) = 0.5 e0.5t , t 0.
(a) What is the expected call duration?
(b) Plan A: Charge 0.25 EP per minute.
Plan B: Charge 0.15 EP per minute + fixed cost (0.15 EP).
Which plan has a lower average cost?
7 Math 9 - 2015/2016 (second term)
 Variance and standard deviation
Computational formula
Variance Var (X) = E(X2) (X)2
Var(X) = E(X X)2
General property
Var(a X + b) = a2 Var(X)

Standard deviation X Var ( X)

Example 7.8
Recall the assumptions of Example 7.4
What is the probability that a call is within 1 standard deviation
of the expected call duration?
8 Math 9 - 2015/2016 (second term)
 Homework
Covered sections
3.1, 3.2, 3.3

Problems
3.1.2, 3.1.3
3.2.1, 3.2.2, 3.2.3
3.3.1, 3.3.5, 3.3.7

9 Math 9 - 2015/2016 (second term)