Ch4 Lec Continuous RV PDF

Chapter 4 One Random Variable
Continuous Random Variables
Dr. Babar Mansoor EEE251 Probability Methods in Engineering 1 / 43

A random variable is said to be continuous if it takes a continuum of values.
For example, current in a wire, velocity and position of an airliner on radar,

lifetime of a device, temperature of a city, waiting time in a queue etc.
For a continuous RV X, the range of X includes all values in an interval of
real numbers. This could be an infinite interval such as (−∞, ∞).

Definition (Continuous RV)

An RV X with CDF FX (x) is said to be continuous if FX (x) is a continuous
function for all x ∈ R.
The CDF is a continuous function with no jumps.

No jumps is consistent with the fact that P [X = x] = 0 for all x.
CDF of a continuous random variable is differentiable almost everywhere in R.

Example (Bus Arrival Time)

Suppose that a bus arrives at a station every day between 10:00 A.M. and 10:30
A.M., at random. Let X be the arrival time; find the distribution function of X
and sketch its graph.
Sol:
The bus arrives at the station at random, between 10 and 10 12 , so if t ≤ 10,
FX (t) = P (X ≤ t) = 0. Now if t ∈ (10, 10 21 ), then
t − 10
FX (t) = P (X ≤ t) = = 2(t − 10)
10 12 − 10
If t ≥ 10 12 , then, FX (t) = P (X ≤ t) = 1. Thus,


 0 t < 10

2(t − 10) 10 ≤ t < 10 12
FX (t) =

 1 t ≥ 10 12

⎪
⎨0 t < 10
Continuous Random 2(t − 10) 10 ≤ t < 10 12
F (t) =Variables
⎪
⎩
1 t ≥ 10 12 .
graph of F is shown in Figure 4.3.

Example (Bus Arrival Time)
F(t)
1
t
10 10.5
Cummulative Distribution Function of X

Figure 4.3 Distribution function of Example 4.9.

Example (CDF of a Continuous Uniform RV)

Choose a real number uniformly at random in the interval [a, b] and call it X. By
uniformly at random, we mean all intervals in [a, b] that have the same length
have the same probability. Find the CDF of X.
Sol:
Uniformity implies that probability of an interval in [a, b] is proportional to its
length.
P (X ∈ [x1 , x2 ]) ∝ (x2 − x1 )
Since P (X ∈ [a, b]) = 1, we have
x2 − x1
P (X ∈ [x1 , x2 ]) = , where a ≤ x1 ≤ x2 ≤ b.
b−a

Example (CDF of a Continuous Uniform RV Cont.)

From the definition of CDF, FX (x) = P (X ≤ x) we get

 0 for x < a
x−a
FX (x) = for a ≤ x ≤ b
 b−a
1 for x > b
FX (x)
a b x
CDF for a continuous RV uniformly distributed over [a, b].

Graphically, this means that the entire area under the graph of the PDF must
Continuous
be equal to 1. RV - Probability Density Function (PDF)
To interpret the PDF, note that for an interval [x, x + δ] with very small
length δ, we have
For continuous random variables, CDF works but PMF does not since
P (X = x) = 0. x+δ

P [x, x + δ] =
Instead we define a Probability Density dt ≈ fX (x)
fX (t)Function · δ,
(PDF).
x
For a continuous random variable X, we define the function fX (x) as
so we can view fX (x) as the “probability mass per unit length” near x (cf.
Fig. 3.2). It is important to realize thatPeven X ≤ xa +
(x <though δ) is used to calculate
PDF
fX (x) = lim+ .
event probabilities, fX (x) is not δ→0
the probabilityδ of any particular event. In
particular, it is not restricted to be less than or equal to one.
fX (x) gives the probability density at point x.
PDF fX(x )
Figure 3.2: Interpretation of the PDF
fX (x) as “probability mass per unit length”
around x. If δ is very small, the prob-
ability that X takes value in the inter-
val [x, x + δ] is the shaded area in the
ﬁgure, which is approximately equal to
x x + fX (x) · δ.

Continuous RV - PDF
fX (x) is limit of the probability of an interval as the length of the interval

goes to 0.
We know that
P (x < X ≤ x + δ) = FX (x + δ) − FX (x).
Thus we get
FX (x + δ) − FX (x)
fX (x) = lim
δ→0 δ
dFX (x) 0
= = FX (x).
dx
if FX (x) is differentiable at x.

Continuous RV - PDF
The PDF of a random variable with U nif orm(a, b) distribution is given by

1
b−a a<x<b
fX (x) =
0 x < a or x > b
FX (x) fX (x)
1
1 b−a
a b x
a b x
CDF for a continuous RV uniformly distributed over PDF for a continuous RV uniformly distributed over
[a, b]. [a, b].

Continuous RV - PDF
If fX (x1 ) > fX (x2 ), we can say the value of X is more likely to be around
x1 than x2 .
The CDF can be obtained from PDF by integration
Z x
FX (x) = fX (u)du.
−∞
We also have
Z b
P (a < X ≤ b) = FX (b) − FX (a) = fX (u)du.
a

Continuous RV - PDF
Properties of PDF
Consider a continuous random variable X with PDF fX (x). We have
1 fX (x) ≥ 0 for all x ∈ R (above the horizontal axis)
R∞
2 fX (u)du = P [−∞ < X < ∞] = 1. (area under the curve is 1)
−∞
Rb
3 P (a ≤3.1
Sec. X ≤ b)Continuous
= FX (b) − FX (a)Variables
Random = fX (u)du.
and PDFs 3
a
PDF fX(x)
Sample Space
a b x
Event {a < X < b}
Figure 3.1: Illustration of a PDF. The probability that X takes value in an

b
interval [a, b] is
Dr. Babar Mansoor
fX (x) dx, which is the shaded area in the ﬁgure.
EEE251 Probability Methods in Engineering 12 / 43
a
Continuous RV - PDF
Properties of PDF
Ra
For any single value a, we have P [X = a] = fX (u)du = 0. For this reason,
a
P [a ≤ X ≤ b] = P [a < X < b] = P [a ≤ X < b] = P [a < X ≤ b]

R
More generally, for a set A, P (X ∈ A) = fX (u)du.
Sec. 3.1 A
Continuous Random Variables and PDFs 3
PDF fX(x)
Sample Space
a b x
Event {a < X < b}
Figure 3.1: Illustration of a PDF. The probability that X takes value in an

Dr. Babar Mansoor b EEE251 Probability Methods in Engineering 13 / 43
Continuous RV - PDF
Range of Continuous RV
Range of a RV X is the set of all possible values of the RV.
For a continuous RV, we can define it as the set of all real numbers with
non-zero PDF.
SX = {x|fX (x) > 0}
SX defined here might not show all possible values of X but the difference is
unimportant.

Continuous RV - PDF
Example (Exponential RV)

The transmission time X of messages in a communication system has an
exponential distribution:
P [X > x] = e−λx x > 0.
Find the CDF and PDF of X.

Sol:
The CDF is given by FX (x) = 1 − P [X > x]

0 for x < 0
FX (x) =
1 − e−λx for x ≥ 0
As we know that the PDF fX (x) = dFdx

X (x)
, therefore,

0 for x < 0
fX (x) =
λe−λx for x ≥ 0

Continuous RV - PDF
Example
Suppose that X is a continuous RV whose probability density function is given by

C(4x − 2x2 ) for 0 < x < 2
fX (x) =
0 otherwise.
a. What is the value of C?

b. Find P [X > 1]
R∞
Sol: a. Since fX (x) is a PDF, we have fX (x)dx = 1, therefore,
−∞
Z2
C (4x − 2x2 )dx = 1
0

Continuous RV - PDF
Example (Cont.)

2x3 2
⇒ C 2x2 − =1
3 0
3
⇒ C=
8
b.
Z∞ Z2
3 1
P [X > 1] = fX (x)dx = (4x − 2x2 )dx =
8 2
1 1

Continuous RV - PDF
Example
The amount of time in hours that a computer functions before breaking down is a
continuous RV with PDF given by
λe−x/100

for x ≥ 0
fX (x) =
0 for x < 0
What is the probability that:

(a) a computer will function between 50 and 150 hours before breaking down?
(b) it will function for fewer than 100 hours?
Sol:
R∞ R∞
(a) Since fX (x)dx = 1, therefore, λe−x/100 dx = 1
−∞ 0
1
⇒ λ=
100

Continuous RV - PDF
Example
Hence, the probability that a computer will function between 50 and 150 hours before
breaking down is given by
Z150
1 −x/100
P [50 < X < 150] = e dx ≈ 0.384
100
50
(b) Similarly,
Z100
1 −x/100
P [X < 100] = e dx ≈ 0.633
100
0
In other words, approximately 63.3 percent of the time, a computer will fail before
registering 100 hours of use.

Continuous RV - PDF
Homework
Assume that X is a continuous random variable with the following PDF:

A(2x − x2 ) for 0 < x < 2
fX (x) =
0 otherwise
(a) Find the value of A.

(b) Find P [X > 1].
ANS (a) A = 3/4, (b) P [X > 1] = 1/2

Continuous RV - PDF
Example
Consider the function

c for a ≤ x ≤ b
fX (x) =
0 otherwise
(a) For what value of c is fX (x) a legitimate PDF?

(b) Find the CDF of the random variable X with the above PDF.
Solution:
R∞
(a) For fX (x) to be a legitimate PDF, we must have that fX (x)dx = 1 i.e.
−∞
Zb b
1
cdx = 1 ⇒ cx = 1 ⇒ c =
a b−a
a
(b) The CDF FX (x) is


Zx  0 for x < a
x−a
FX (x) = fX (u)du = b−a for a ≤ x < b

−∞ 1 for x > b
Continuous RV - PDF
Homework
Consider the function

2x for 0 ≤ x ≤ b
fX (x) =
0 otherwise
(a) For what value of b is fX (x) a legitimate PDF?

(b) Find the CDF of the random variable X with the above PDF.
ANS (a) b = 1, 
 0 for x < 0
(b) FX (x) = x2 for 0 ≤ x < 1

1 for x > 1

Conditional CDFs and PDFs
Suppose that event C is given and that P [C] > 0. The conditional CDF of
X given C is defined by:
P [{X ≤ x} ∩ C]
FX (x|C) = if P [C] > 0
P [C]
The conditional PDF of X given C is defined by:

d
fX (x|C) = FX (x|C)
dx

Example
The lifetime X of a machine has a continuous CDF FX (x). Find the conditional CDF
and PDF given the event C = {X > t} (i.e., “machine is still working at time t”).
Sol: P [{X ≤ x} ∩ {X > t}]
FX (x|X > t) = P [X ≤ x|X > t] =
P [{X > t}]
But, {X ≤ x} ∩ {X > t} = ∅ for x < t and {X ≤ x} ∩ {X > t} = {t < X ≤ x} for
x ≥ t. Therefore,
(
0 for x ≤ t
FX (x|X > t) = FX (x)−FX (t)
1−FX (t)
for x > t
The conditional PDF is found by differentiating with respect to x:
fX (x)
fX (x|X > t) = for x ≥ t
1 − FX (t)

Suppose that we have a partition of the sample space S into the union of
disjoint events B1 , B2 , · · · , Bn . Let FX (x|Bi ) is the conditional CDF of X
given event Bi .
The theorem on total probability allows us to find the CDF of X in terms of
the conditional CDFs:
n
X n
X
FX (x) = P [X ≤ x] = P [X ≤ x|Bi ]P [Bi ] = FX (x|Bi )P [Bi ]
i=1 i=1
The PDF is obtained by differentiation:

X n
d
fX (x) = FX (x) = fX (x|Bi )P [Bi ]
dx i=1

d
fX1x2 = FX1x2 = a fX1x ƒ Bi2P3Bi4. (4.26)
Conditional CDFs dx
and PDFs i = 1
Example (Binary Transmission)
Example 4.11
A binary transmission system sends a “0” bit by transmitting a -v voltage signal, and a “1” bit by
transmitting a + v. The received signal is corrupted by Gaussian noise and given by:
Y = X + N
where X is the transmitted signal, and N is a noise voltage with pdf fN1x2. Assume that
Chapter 4= p =One
P3“1”4 1 -Random
P3“0”4. Find the pdf of Y.
Variable
Sol: Let B0 be the event “0” is transmitted and B1 be the event “1” is transmitted, then B0 , B1
form a partition, and
FY1x2 = FY1x ƒ B023B04 + FY1x ƒ B123B14
= P3Y … x ƒ X = -v411 - p2 + P3Y … x ƒ X = v4p.
Since Y = X + N, the event 5Y 6 x ƒ X = v6 is equivalent to 5v + N 6 x6 and 5N 6 x - v6,

and the event 5Y 6 x ƒ X = -v6 is equivalent to 5N 6 x + v6. Therefore the conditional
cdf’s are:
FY1x ƒ B02 = P3N … x + v4 = FN1x + v2
and
FY1x ƒ B12 = P3N … x - v4 = FN1x - v2.
The cdf is:
cdf’s are:
FY1x ƒ B02 = P3N … x + v4 = FN1x + v2
and
Example (Binary Transmission
FY1x ƒ B1Cont.)
2 = P3N … x - v4 = FN1x - v2.
The cdf is:
FY1x2 = FN1x + v211 - p2 + FN1x - v2p.
The pdf of N is then:

d
fY1x2 = FY1x2
dx
d d
= FN1x + v211 - p2 + FN1x - v2p
dx dx
= fN1x + v211 - p2 + fN1x - v2p.
The Gaussian random variable has pdf:

1
e -x /2s - q 6 x 6 q.
2 2
fN1x2 =
22ps 2
The conditional pdfs are:

1
e -1x + v2 /2s
2 2
fY1x ƒ B02 = fN1x + v2 =
22ps 2
Section 4.3 The Expected Value o

Example (Binary Transmission Cont.)
and
1
e -1x - v2 /2s .
2 2
fY1x ƒ B12 = fN1x - v2 =
22ps2
The pdf of the received signal Y is then:
1 1
e -1x + v2 /2s 11 - p2 + e -1x - v2 /2s p.
2 2 2 2
fY1x2 =
22ps 2
22ps 2
Figure 4.5 shows the two conditional pdfs. We can see that the transmitted signal X shif
ter of mass of the Gaussian pdf.
3 THE EXPECTED VALUE OF X

WeDr.discussed
Babar Mansoor
the expected value for discrete random variables in Section283.3,
EEE251 Probability Methods in Engineering / 43
a
Example (Binary Transmission Cont.)
fN(x ⫹ v) fN(x ⫺ v)
x
⫺v 0 v
FIGURE 4.5
The conditional pdfs given the input signal
We can see that the transmitted signal X shifts the center of mass of the Gaussian
PDF.
Expected Value of Continuous RVs
Expected Value
The expected value or mean of a continuous RV X is defined by
Z ∞
E[X] = xfX (x)dx
−∞
Example (Expected Value)

Let X be a continuous RV with PDF

2x 0≤x≤1
fX (x) =
0 otherwise
Find the expected value of X.

Sol:
R∞ R1
E[X] = xfX (x)dx = x(2x)dx
−∞ 0
R1
= 2x2 dx = 2
3
0

Expected Value of Continuous RVs
Example (Expected Value of Continuous Uniform RV)

Let X ∼ U nif orm(a, b). Find E[X].
Sol:
The PDF of X is given by 1
a<x<b
fX (x) = b−a
0 x < a or x > b
Therefore, Z∞
E[X] = xfX (x)dx
−∞
Zb
1
= x( )dx
b−a
a
b
1 1 2
= x dx
b−a 2 a
a+b
=
2

Expected Value of a Function of a Continuous RV
Expected Value of Y = g(X)

Z∞
E[g(X)] = g(x)fX (x)dx
−∞
As we have seen before, expectation is a linear operation, thus we always have
E[aX + b] = aE[X] + b, for all a, b ∈ R, and
E[X1 + X2 + ... + Xn ] = E[X1 ] + E[X2 ] + ... + E[Xn ]

Two infinitesimal equivalent events.
Expected Value of a Function of a Continuous RV
Example (Expected
Example 4.15 ExpectedValues
Values ofofa Sinusoid
a Sinusoid with Random
with Random Phase Phase)
Let Y = a cos1vt + ®2 where a, v, and t are constants, and ® is a uniform random variable
in the interval 10, 2p2. The random variable Y results from sampling the amplitude of a sinu-
soid with random phase ®. Find the expected value of Y and expected value of the power of
Y, Y2.
E3Y4 = E3a cos1vt + ®24
2p 2p
du
= a cos1vt + u2 = -a sin1vt + u2 `
L0 2p 0
= -a sin1vt + 2p2 + a sin1vt2 = 0.
The average power is
a2 a2
E3Y24 = E3a2 cos21vt + ®24 = E B + cos12vt + 2®2 R
2 2
2p
a2 a2 du a2
= + cos12vt + u2 = .
2 2 L0 2p 2
Note that these answers are in agreement with the time averages of sinusoids: the time average
(“dc” value) of the sinusoid is zero; the time-average power is a2/2.
Variance of a Continuous RV
Remember that the variance of any RV is defined as

Var(X) = E (X − E[X])2 = E[X 2 ] − (E[X])2
For a continuous RV
Z∞

Var(X) = E (X − E[X])2 = (x − E[X])2 fX (x)dx
−∞
Z∞
2 2
= E[X ] − (E[X]) = x2 fX (x)dx − (E[X])2
−∞
Also remember that a, b ∈ R

Example
Let X be a continuous random variable with PDF
3
x4
x≥1
fX (x) =
0 otherwise
Find the mean and variance of X.

Sol:
Z∞ Z ∞
3 2
E[X] = xfX (x)dx = dx =
1 x3 3
−∞
Next, we find E[X 2 ]

Z ∞ Z ∞
3
E[X 2 ] = x2 fX (x)dx = dx = 3
−∞ 1 x2
Therefore,
4 3
Var[X] = E[X 2 ] − (E[X])2 = 3 − = .
9 4

Functions of Continuous Random Variables
If X is a continuous random variable, then Y = g(X) is also a random

variable.
We start by finding the CDF of Y .
If the CDF is continuous, then we can differentiate to find the PDF of Y .

Example: A Linear Function

Let the random variable Y be defined by
Y = aX + b,
where a is a nonzero constant. Suppose that X has CDF FX (x) and a PDF
fX (x), then find the PDF fY (y).
Sol:
The event {Y ≤ y} occurs when A = {aX + b ≤ y} occurs. If a > 0, then
A = {X ≤ y−b a }. Therefore,

y−b y−b
FY (y) = P X ≤ = FX a>0
a a
On the other hand, if a < 0, then A = {X ≥ y−b

a }

y−b y−b
FY (y) = P X ≥ = 1 − FX a<0
a a

We obtain the pdf of Y by differentiating with respect to y.

dF dF du
= ,
dy du dy
where u is the argument of F . In this case u = (y − b)/a, then

1 y−b
fY (y) = fX a>0
a a

1 y−b
fY (y) = − fX a<0
a a
The above two results can be written compactly as

1 y−b
fY (y) = fX a>0
|a| a

Example:
Let X be a U nif orm(0, 1) RV, and let Y = eX .
Find the CDF and PDF of Y .
Find E[Y ].
Sol: First, note that we already know the CDF and PDF of X. In particular,

 0 for x < 0
FX (x) = x for 0≤x≤1

1 for x > 1
It is a good idea to think about the range of Y before finding the distribution.
Since ex is an increasing function of x and SX = [0, 1], therefore,
SY = [1, e]. So we immediately know that
FY (y) = P (Y ≤ y) = 0, for y < 1,
FY (y) = P (Y ≤ y) = 1, for y ≥ e.

Example Cont.
To find FY (y) for y ∈ [1, e], we can write
FY (y) = P (Y ≤ y)
= P (eX ≤ y)
= P (X ≤ ln y) since ex is an increasing function
= FX (ln y)
= ln y since 0 ≤ ln y ≤ 1
Therefore, 
 0 for y < 1
FY (y) = ln y for 1 ≤ y < e

1 for y ≥ e

Example Cont.
The above CDF is a continuous function, so we can obtain the PDF of Y by
taking its derivative. We have
1
0 y for 1 ≤ y ≤ e
fY (y) = FY (y) =
0 otherwise
The E[Y ] is given as,
Z∞ Z1
X x
E[Y ] = E[g(X)] = E[e ] = e fX (x)dx = ex dx = e − 1
−∞ 0
The E[Y ] can also be found as,

Z∞ Ze
1
E[Y ] = yfY (y)dy = y dy = e − 1
y
−∞ 1

Example:
Let X ∼ U nif orm(−1, 1), and Y = X 2 .
Find the CDF and PDF of Y .
Find E[Y ].
Sol: First, we note that SY = [0, 1]. As usual, we start with the CDF. For
y ∈ [0, 1], we have
FY (y) = P [Y ≤ y]
= P (X 2 ≤ y)
√ √
= P (− y ≤ X ≤ y)
√ √
y − (− y)
= since X ∼ U nif orm(−1, 1)
1 − (−1)
√
= y

Example Cont.
Therefore, 
 0 for y < 0
√
FY (y) = y for 0 ≤ y ≤ 1

1 for y > 1
Note that the CDF is a continuous function of Y , so Y is a continuous random
variable. Thus, we can find the PDF of Y by differentiating FY (y),
1
0
√
2 y for 0 ≤ y ≤ 1
fY (y) = FY (y) =
0 otherwise

Ch4 Lec Continuous RV PDF

Uploaded by

Copyright:

Available Formats

Ch4 Lec Continuous RV PDF

Uploaded by

Document Information

Original Title

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

Ch4 Lec Continuous RV PDF

Uploaded by

Copyright:

Available Formats

Chapter 4 One Random Variable

Continuous Random Variables

Dr. Babar Mansoor EEE251 Probability Methods in Engineering 1 / 43

A random variable is said to be continuous if it takes a continuum of values.

For example, current in a wire, velocity and position of an airliner on radar,

Dr. Babar Mansoor EEE251 Probability Methods in Engineering 2 / 43

Definition (Continuous RV)

The CDF is a continuous function with no jumps.

CDF of a continuous random variable is differentiable almost everywhere in R.

Dr. Babar Mansoor EEE251 Probability Methods in Engineering 3 / 43

Example (Bus Arrival Time)

If t ≥ 10 12 , then, FX (t) = P (X ≤ t) = 1. Thus,

Dr. Babar Mansoor EEE251 Probability Methods in Engineering 4 / 43

graph of F is shown in Figure 4.3.

Cummulative Distribution Function of X

Dr. Babar Mansoor EEE251 Probability Methods in Engineering 5 / 43

Example (CDF of a Continuous Uniform RV)

Dr. Babar Mansoor EEE251 Probability Methods in Engineering 6 / 43

Example (CDF of a Continuous Uniform RV Cont.)

Dr. Babar Mansoor EEE251 Probability Methods in Engineering 7 / 43

Dr. Babar Mansoor EEE251 Probability Methods in Engineering 8 / 43

fX (x) is limit of the probability of an interval as the length of the interval

Dr. Babar Mansoor EEE251 Probability Methods in Engineering 9 / 43

The PDF of a random variable with U nif orm(a, b) distribution is given by

Dr. Babar Mansoor EEE251 Probability Methods in Engineering 10 / 43

Dr. Babar Mansoor EEE251 Probability Methods in Engineering 11 / 43

Figure 3.1: Illustration of a PDF. The probability that X takes value in an

P [a ≤ X ≤ b] = P [a < X < b] = P [a ≤ X < b] = P [a < X ≤ b]

Figure 3.1: Illustration of a PDF. The probability that X takes value in an

Dr. Babar Mansoor EEE251 Probability Methods in Engineering 14 / 43

Example (Exponential RV)

P [X > x] = e−λx x > 0.

Find the CDF and PDF of X.

As we know that the PDF fX (x) = dFdx

Dr. Babar Mansoor EEE251 Probability Methods in Engineering 15 / 43

a. What is the value of C?

Dr. Babar Mansoor EEE251 Probability Methods in Engineering 16 / 43

Dr. Babar Mansoor EEE251 Probability Methods in Engineering 17 / 43

What is the probability that:

Dr. Babar Mansoor EEE251 Probability Methods in Engineering 18 / 43

Dr. Babar Mansoor EEE251 Probability Methods in Engineering 19 / 43

(a) Find the value of A.

ANS (a) A = 3/4, (b) P [X > 1] = 1/2

Dr. Babar Mansoor EEE251 Probability Methods in Engineering 20 / 43

(a) For what value of c is fX (x) a legitimate PDF?

(b) The CDF FX (x) is

(a) For what value of b is fX (x) a legitimate PDF?

Dr. Babar Mansoor EEE251 Probability Methods in Engineering 22 / 43

The conditional PDF of X given C is defined by:

Dr. Babar Mansoor EEE251 Probability Methods in Engineering 23 / 43

The conditional PDF is found by differentiating with respect to x:

Dr. Babar Mansoor EEE251 Probability Methods in Engineering 24 / 43

The PDF is obtained by differentiation:

Dr. Babar Mansoor EEE251 Probability Methods in Engineering 25 / 43

FY1x2 = FY1x ƒ B023B04 + FY1x ƒ B123B14

= P3Y … x ƒ X = -v411 - p2 + P3Y … x ƒ X = v4p.

Since Y = X + N, the event 5Y 6 x ƒ X = v6 is equivalent to 5v + N 6 x6 and 5N 6 x - v6,

The pdf of N is then:

The Gaussian random variable has pdf: