I NTRODUCTION TO
P ROBABILITY AND S TATISTICS
Sayantan Banerjee
IPS Session 8
Sections G & H
IIM Indore
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C ONTINUOUS R ANDOM VARIABLES
I Random variables measured on the continuous scale.
I Sample space is given by a single interval, or disjoint union of intervals
on R.
I Formally, a random variable with continuous cdf is called a continuous
random variable.
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C ONTINUOUS RV
Suppose X : Ω → S be a continuous RV. The cdf of X is given by
F(x) = P(X ≤ x).
Also, due to continuity of F(·),
F(x−) = F(x) = F(x+) ∀x ∈ S.
Thus, ∀x ∈ S, the amount of jump in x is
F(x) − F(x−) = 0,
which gives,
P(X ≤ x) − P(X < x) = 0,
so that
P(X = x) = 0.
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P ROBABILITY DENSITY FUNCTION ( PDF )
Since F is a continuous function, one may think of a function f such that
Z x
F(x) = f (t) dt.
−∞
The function f is called the probability density function (pdf) of the RV X.
Properties of pdf:
1.
f (x) ≥ 0, ∀x ∈ R.
2. Z ∞
f (x) dx = 1.
−∞
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C ONTINUOUS RV
I f (x) is not a probability. It may exceed unity. For example, let
(
2, 0 < x < 1/2,
f (x) =
0, o.w.
R∞
Here, f (x) ≥ 0 ∀x ∈ R, and −∞ f (t) dt = 1.
I Z b
P(a < X < b) = F(b) − F(a) = f (t) dt.
a
This is basically the area under the curve f (x) between a and b.
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C ONTINUOUS RV: E XAMPLES
Suppose the income (in tens of thousands of INR) of people in a community
can be approximated by a continuous distribution with density
(
2x−2 , x ≥ 2,
f (x) =
0, x < 2.
The cdf is given by F(x) = 1 − 2x−1 for x > 2.
1. Find the probability that a randomly chosen person has an income
between 30000 and 50000 INR.
2. Find the probability that a randomly chosen person has an income of at
least 60000 INR.
3. Find the probability that a randomly chosen person has an income of at
most 40000 INR.
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C ONTINUOUS RV: E XPECTATION AND VARIANCE
The expectation of a continuous RV X with pdf f (x) is given by
Z ∞
E(X) = xf (x) dx.
−∞
We say that he above expectation exits if
Z ∞
|x|f (x) dx < ∞.
−∞
We generally denote E(X) by µ.
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C ONTINUOUS RV: E XPECTATION AND VARIANCE
Variance of a continuous RV X with pdf f (x) is given by
Z ∞
V(X) = (x − µ)2 f (x) dx.
−∞
Also,
V(X) = E(X2 ) − µ2 .
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P ROBLEMS
A Professor never finishes his lecture before the end of the hour and always
finishes his lecture within 2 min after the hour. Let X be the time (in mins.)
that elapses between the end of the hour and the end of the lecture. Suppose
the pdf of X is
f (x) = kx2 , 0 < x < 2.
The cdf is given by F(x) = kx3 /3, 0 < x < 2.
1. Find k.
2. What is the probability that the lecture ends within 1 min of the end of
the hour? Lecture continues beyond the hour for between 60 and 90
seconds? at least 90 seconds beyond the hour?
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P ROBLEMS
[‘Broken-stick’ model for resource allocation]. Two firms in a region are
competing for control of a limited amount of a certain resources. Let X be
the proportion of the resource controlled by Firm 1 and suppose that X has
the pdf
f (x) = 1, 0 ≤ x ≤ 1.
Find the expected amount controlled by the firm having majority control.
[Hint: What is the amount controlled by the firm controling the majority of
the resource?]
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P ROBLEMS
Let X be the time between two successive arrivals at the delivery counter of
a fast-food chain. Suppose X has the pdf
f (x) = e−x , x > 0.
The cdf is F(x) = 1 − e−x , x > 0.
1. Find P(X ≤ 4).
2. Find P(2 ≤ X ≤ 5).
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