41 lines
1.1 KiB
Markdown
41 lines
1.1 KiB
Markdown
# Continuous and Mixed Random Variables
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**Source:** probabilitycourse.com → Hossein Pishro-Nik
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**Date:** Monday January 26th
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---
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## What is a continuous random variable?
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> A random variable $X$ is **continuous** if its cumulative distribution function $F_X(x)$ is continuous for $x \in \mathbb{R}$.
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## Probability Density Functions
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Continuous variables lend themselves to **Probability Density Functions** (PDFs). A PDF is defined as:
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$$f_X(x) = \frac{dF_X(x)}{dx}$$
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## Example: Uniform Distribution
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**Consider** a uniform distribution of $x$ between $[a,b]$:
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**CDF:**
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$$F_X = \begin{cases} 0, & x < a \\ \frac{x-a}{b-a}, & a \leq x \leq b \\ 1, & x > b \end{cases}$$
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**PDF:**
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$$f_X = \begin{cases} 0, & x < a \\ \frac{1}{b-a}, & a \leq x \leq b \\ 0, & x > b \end{cases}$$
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*Note: $F_X$ is a continuous S-curve from 0 to 1 between $a$ and $b$; $f_X$ is a rectangular function with height $\frac{1}{b-a}$ between $a$ and $b$.*
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---
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## Probability from PDF
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Now that we've got some machinery, we can define:
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$$P(x \in [a,b]) = \int_a^b f_X(x) \, dx$$
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