Probability and Statistics (MATH F113)

Pradeep Boggarapu

Department of Mathematics
BITS PILANI K K Birla Goa Campus, Goa

February 4, 2025

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 1 / 20

 Continuous Random Variables

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 2 / 20

Outline

1 Expectation, Variance and Moment Generating

Functions.
2 Standard examples for continuous random variables
3 Uniform continuous random variable

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 3 / 20

Expectation and variance of continuous random variable
Definition 0.1.
Let X be a continuous random variable with density
function f (x).
1 The expectation or expected value or mean of X is
defined by
! →
µ = E [X ] = x f (x) dx.
↑→

2 The variance of X is defined by

! →
Var (X ) = E [(X ↑ µ)2 ] = (x ↑ µ)2 f (x) dx.
↑→

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 4 / 20

Expectation of a random variable

Let X be a continuous random variable with density

function f (x) and H(X ) be a real-valued function of
X , then H(X ) is a random variable and its
expectation is given by
! →
E [H(X )] = H(x) f (x) dx
↑→
"→
provided E [H(X )] = ↑→ |H(x)| f (x) dx is finite.
The definitions of standard deviation, moments and
moment generating functions remains same for
continuous random variables. N Ver ! *H
Elety) =
=

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 5 / 20

Rules for expectations
kth memet E
Theorem 0.2.
Let X and Y be two continuous random varibles and c be
any real number.
1 E [c] = c -
-
2 E [cX ] = cE [X ]
~
3 E [X + Y ] = E [X ] + E [Y ].

Corollary 0.3.

Var [X ] = E [X 2 ] ↑ (E [X ])2 .

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 6 / 20

Problem

Example 1.
Find E [X ] and Var (X ) when the density function of X is
#
2x if 0 ↓ x ↓ 1
f (x) =
0 otherwise.

Finda
I find
-
2

E( o
=
= =
wit =
1.

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 7 / 20

E
= Stude Sad =
=

VM = E(4-E" =
Y -

( =
= -

& =2
Fig .
Problem

Example 2.
The density function of X is given by
!
1 if 0 → x → 1
f (x) = -

0
-
otherwise,

Then find the expectation of e X .

Ex = emd =

je
= ! =
( -)
Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 8 / 20
Rules for variance

Theorem 0.4.
Let X and Y be two continuous random variables and c
be any real number.
1 Var [c] = 0
2 Var [cX ] = c 2 Var [X ] 7

3 Var [X + Y ] = Var [X ] + Var [Y ], provided X and Y

are independent random variables.

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 9 / 20

Moments and moment generating function (mgf)

Definition 0.5 (Moments and mgf).

Let X be a continuous random variable with density
function f (x).
1 The kth moment of X is defined as E [X k ].
2 The moment generating function for X is denoted by
mX (t) and is defined by

mX (t) = E [e tX ]

provided this expectation is finite for all real numbers

t in some open interval (↑h, h).

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 10 / 20

Moments and moment generating function (mgf)

Theorem 0.6.
If mX (t) is the moment generating function for a random
variable X , then the kth moment of X is given by
k d k mX (t) ""
E [X ] = " .
dt k t=0

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 11 / 20

Problem: Uniform Distribution

Ib
aNath
Example 3. T

If the density function of X is given by

!
C -E if a → x → b
f (x) =
0 otherwise,
where a < b are reals, then find the value of C , cdf,
expectation and moment generating function of X .

=)Ex =
)
c= =

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 12 / 20

E
= Std =
Yad
a

=
Ja
Ex =
Bord = ab
=
Fas (B-d) =

V(X) = ENY-E( =anabb (

=b
-
F(u) = E((x) =ad =

Situ
My(t) = Elety) =
Problems

Example 4.
Let X be a nonnegative continuous random variable, then
! → &

E [X ] = P[X > y ]dy .

0

Ec =
Sofiad
Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 13 / 20
 japxy] dy = -P]
consider

dy ( :.Ps
5d)
=

On
as

a
= (d) du

us X30
Standard examples of continuous random variables

Uniform distribution

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 14 / 20

Uniform distribution
Definition 0.7.
We say that X is a uniform random variable on the interval
(a, b) if the probability density function of X is given by
1
f (x) = , a < x < b.
b→a
or Ma
Note that the cdf of X is given by
 -

 0 if x ↑ a

x→a
F (x) = b→a if a < x < b



1 if x ↓ b.
Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 15 / 20
Uniform distribution Cont.

Theorem 0.8.
Let X be uniformly destributed over an interval (a, b)
then
a+b -
1 The mean is given by µ = .
2
2
2
Var (X ) = ω =
(b → a)2
12 Ei b→a
and ω = ↔ .-
2 3
Mya 1 =

3 The mgf of X is given by

 tb ta
 e →e ~ if t ↗= 0
t(b→a)
mX (t) =
1
O if t = 0.

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 16 / 20

Problems

Example 5.
If X is uniformly distributed over (0, 10), calculate (a)
P(X-- < 3), (b) P(X > 6), and (c) P(3 < X < 8).-

Example 6.
Buses arrive at a specified stop at 15-minute intervals
starting at 7 A.M. That is, they arrive at 7, 7:15, 7:30,
7:45, and so on. If a passenger arrives at the stop at a
time that is uniformly distributed between 7 and 7:30, find
the probability that he waits
(a) less than 5 minutes for a bus;
(b) more than 10 minutes for a bus.
Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 17 / 20
 at the bug stop
Let X denote the time that the passenger arrives
.
X- V(7 , 7: 30

# as

7 : 10 to 7 ! 15

7 : 25 to 7: 30

9) P Che wait less than five minutes)

* 7:
= P(7 : 10
-
X 17 : 15) + P17 : 25(X
30)

=
③ Y3
Problems
Example 7.
Consider a random chord of a circle and assume that the
length of the chord is uniformly distributed over (0, d)
where d is the diameter of the circle. What is the
probability that the length of the chord will be greater
than the side of the equilateral triangle inscribed in that
circle ?
Example 8.
A stick of length 1 unit is split at a point U that is
uniformly distributed over (0, 1). Determine the expected
length of the piece that contains a fixed point
p, 0 → p → 1.
Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 18 / 20
 # - V = length of he
Piece

↓
·
-

1- u

the required Piece.

Let 2(1) be the length of

I Ethere
P U~ U(0 , 1)

[Y
I it he
2(x =
by
f(u) = 10, 17

=Lin
E(L(r) flu d

jecultivid Ship du
=>
=

Sudu
P
=
S-f-vidu +
Problems
= -+

-
·

Example 9.
If X → U(0, 1) and a < b, then find the distribution of
Y = a + (b ↑ a)X .

S it
So
-
I

Ey (y) =

~
PEY1y] Pla + B-ax-Y]
Fy(y)
=
=

=
P[b-aX = Y-a]
Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 19 / 20
= I
if y-9
Ja
Y
-

y
-

Ba
9
-

-
a

971
< 0

-(01)

Thank you for your attention

it y
-

Se ↓
y = (a ,

Yzb
b)

Sa I
if y

S Fig)
[a

Beca Yw()
=

it y >b

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics February 4, 2025 20 / 20