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09: Continuous RVsLisa Yan
April 24, 2020
1
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Lisa Yan, CS109, 2020
Quick slide reference
2
3 Continuous RVs 09a_continuous_rvs
15 Uniform RV 09b_uniform
22 Exponential RV 09c_exponential
31 Exercises, CDF LIVE
55 Extra material 09e_extra
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Continuous RVs
3
09a_continuous_rvs
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Lisa Yan, CS109, 2020
Not all values are discrete
4
import numpy as npnp.random.random() ?
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Lisa Yan, CS109, 2020
0 … 44 52 60 … 90
𝑥0 … 44 52 60 … 9044 … 52 56 60
People heights
You are volunteering at the local elementary school.• To choose a t-shirt for your new buddy Jordan, you need to know their height.
1. What is the probability that yourbuddy is 54.0923857234 inches tall?
2. What is the probability that your buddy is between 52–56 inches tall?
5
Essentially 0
𝑥
𝑓𝑥
probability
density
function
smaller-
width
bars
∞-lysmall
bars
𝑃 52 < 𝑋 ≤ 56
𝑝(𝑥)
𝑝(𝑥)
𝑥48 52 56 60
𝑃 52 < 𝑋 ≤ 54+ 𝑃 54 < 𝑋 ≤ 56 𝑃 52 < 𝑋 ≤ 56
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Lisa Yan, CS109, 2020
Integrals
6
Integral = area under a curve Loving, not scary
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Lisa Yan, CS109, 2020
Continuous RV definition
A random variable 𝑋 is continuous if there is a probability density function𝑓 𝑥 ≥ 0 such that for −∞ < 𝑥 < ∞:
𝑃 𝑎 ≤ 𝑋 ≤ 𝑏 = න𝑎
𝑏
𝑓(𝑥) 𝑑𝑥
Integrating a PDF must always yield valid probabilities,and therefore the PDF must also satisfy
න−∞
∞
𝑓(𝑥) 𝑑𝑥 = 𝑃 −∞ < 𝑋 < ∞ = 1
Also written as: 𝑓𝑋(𝑥)
7
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Lisa Yan, CS109, 2020
0 … 44 52 60 … 90
Today’s main takeaway, #1
Integrate 𝑓(𝑥) to get probabilities.
8
𝑥
𝑓 𝑥 : prob/inch
4 inches
𝑃 52 ≤ 𝑋 ≤ 56 = න52
56
𝑓(𝑥) 𝑑𝑥PDF Units: probability per units of 𝑋
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Lisa Yan, CS109, 2020
Discrete random variable 𝑋
Probability mass function (PMF):
𝑝 𝑥
To get probability:
𝑃 𝑋 = 𝑥 = 𝑝 𝑥
Continuous random variable 𝑋
Probability density function (PDF):
𝑓 𝑥
To get probability:
𝑃 𝑎 ≤ 𝑋 ≤ 𝑏 = න𝑎
𝑏
𝑓 𝑥 𝑑𝑥
9
PMF vs PDF
Both are measures of how likely 𝑋 is to take on a value.
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Lisa Yan, CS109, 2020
Computing probability
10
𝑓 𝑥 = ቐ1
2𝑥 if 0 ≤ 𝑥 ≤ 2
0 otherwise
Let 𝑋 be a continuous RV with PDF:
What is 𝑃 𝑋 ≥ 1 ?
🤔
𝑃 𝑎 ≤ 𝑋 ≤ 𝑏 = න𝑎
𝑏
𝑓(𝑥) 𝑑𝑥
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Lisa Yan, CS109, 2020
Computing probability
11
𝑓 𝑥 = ቐ1
2𝑥 if 0 ≤ 𝑥 ≤ 2
0 otherwise
Let 𝑋 be a continuous RV with PDF:
What is 𝑃 𝑋 ≥ 1 ?
Strategy 1: Integrate Strategy 2: Know triangles
𝑃 1 ≤ 𝑋 < ∞ = න1
∞
𝑓 𝑥 𝑑𝑥 = න1
2 1
2𝑥𝑑𝑥
=1
2
1
2𝑥2 ቚ
1
2=1
22 −
1
2=3
4
1 −1
2
1
2=3
4
Wait…is this even legal?
𝑃 0 ≤ 𝑋 < 1 = 01𝑓 𝑥 𝑑𝑥 ? ?
𝑃 𝑎 ≤ 𝑋 ≤ 𝑏 = න𝑎
𝑏
𝑓(𝑥) 𝑑𝑥
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Lisa Yan, CS109, 2020
Today’s main takeaway, #2
For a continuous random variable 𝑋 with PDF 𝑓 𝑥 ,
𝑃 𝑋 = 𝑐 = 𝑐𝑐𝑓 𝑥 𝑑𝑥 = 0.
12
0 … 44 52 60 … 90
𝑥
Contrast with PMF in discrete case: 𝑃 𝑋 = 𝑐 = 𝑝 𝑐
𝑓 𝑥 : prob/inch
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Lisa Yan, CS109, 2020
𝑥3𝑥2
PDF Properties
13
𝑃 𝑎 ≤ 𝑋 ≤ 𝑏 = න𝑎
𝑏
𝑓(𝑥) 𝑑𝑥
For a continuous RV 𝑋 with PDF 𝑓,
𝑥
𝑓 𝑥
support: set of 𝑥where 𝑓 𝑥 > 0
𝑥1
True/False:
1. 𝑃 𝑋 = 𝑐 = 0
2. 𝑃 𝑎 ≤ 𝑋 ≤ 𝑏 = 𝑃 𝑎 < 𝑋 < 𝑏 = 𝑃 𝑎 ≤ 𝑋 < 𝑏 = 𝑃 𝑎 < 𝑋 ≤ 𝑏
3. 𝑓(𝑥) is a probability
4. In the graphed PDF above,𝑃 𝑥1 ≤ 𝑋 ≤ 𝑥2 > 𝑃 𝑥2 ≤ 𝑋 ≤ 𝑥3 🤔
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Lisa Yan, CS109, 2020
𝑥3𝑥2
PDF Properties
14
𝑃 𝑎 ≤ 𝑋 ≤ 𝑏 = න𝑎
𝑏
𝑓(𝑥) 𝑑𝑥
For a continuous RV 𝑋 with PDF 𝑓,
❌
Interval width 𝑑𝑥 → 0
𝑥
𝑓 𝑥
support: set of 𝑥where 𝑓 𝑥 > 0
𝑥1
Compare area under the curve 𝑓
True/False:
1. 𝑃 𝑋 = 𝑐 = 0
2. 𝑃 𝑎 ≤ 𝑋 ≤ 𝑏 = 𝑃 𝑎 < 𝑋 < 𝑏 = 𝑃 𝑎 ≤ 𝑋 < 𝑏 = 𝑃 𝑎 < 𝑋 ≤ 𝑏
3. 𝑓(𝑥) is a probability
4. In the graphed PDF above,𝑃 𝑥1 ≤ 𝑋 ≤ 𝑥2 > 𝑃 𝑥2 ≤ 𝑋 ≤ 𝑥3
⭐️
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Uniform RV
15
09b_uniform
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Lisa Yan, CS109, 2020
def An Uniform random variable 𝑋 is defined as follows:
Uniform Random Variable
16
𝑓 𝑥 = ቐ
1
𝛽 − 𝛼if 𝛼 ≤ 𝑥 ≤ 𝛽
0 otherwise𝑋~Uni(𝛼, 𝛽)
Support: 𝛼, 𝛽(sometimes defined
over 𝛼, 𝛽 ) Variance
Expectation
𝐸 𝑋 =𝛼 + 𝛽
2
Var 𝑋 =𝛽 − 𝛼 2
12
𝛼 𝛽𝑥
𝑓 𝑥
1
𝛽 − 𝛼
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Lisa Yan, CS109, 2020
Quick check
17
What is 1
𝛽−𝛼if the following graphs are PDFs of Uniform RVs 𝑋?
0 25
𝑥
𝑓 𝑥
?
1. 2. 3.
1
𝑥
𝑓 𝑥
?
3/2
𝛼 𝛽𝑥
𝑓 𝑥
1
𝛽 − 𝛼
−5 5
𝑥
𝑓 𝑥
?
If 𝑋~Uni(𝛼, 𝛽), the PDF of 𝑋 is:
𝑓 𝑥 = ൝1
𝛽−𝛼if 𝛼 ≤ 𝑥 ≤ 𝛽
0 otherwise
🤔
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Lisa Yan, CS109, 2020
−5 5
𝑥
𝑓 𝑥
?
1
𝑥
𝑓 𝑥
?
3/2
Quick check
18
??
1. 2. 3.
2
1
10
0 25
𝑥
𝑓 𝑥
?1
25
𝛼 𝛽𝑥
𝑓 𝑥
1
𝛽 − 𝛼
What is 1
𝛽−𝛼if the following graphs are PDFs of Uniform RVs 𝑋?
If 𝑋~Uni(𝛼, 𝛽), the PDF of 𝑋 is:
𝑓 𝑥 = ൝1
𝛽−𝛼if 𝛼 ≤ 𝑥 ≤ 𝛽
0 otherwise
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Lisa Yan, CS109, 2020
Expectation and Variance
Discrete RV 𝑋
19
𝐸 𝑋 =
𝑥
𝑥 𝑝 𝑥
𝐸 𝑔(𝑋) =
𝑥
𝑔(𝑥) 𝑝 𝑥
𝐸 𝑋 = න−∞
∞
𝑥𝑓 𝑥 𝑑𝑥
𝐸 𝑔(𝑋) = න−∞
∞
𝑔 𝑥 𝑓 𝑥 𝑑𝑥
Continuous RV 𝑋
Both continuous and discrete RVs
𝐸 𝑎𝑋 + 𝑏 = 𝑎𝐸 𝑋 + 𝑏
Var(𝑋) = 𝐸 (𝑋 − 𝐸[𝑋])2 = 𝐸 𝑋2 − (𝐸[𝑋])2
Var(𝑎𝑋 + 𝑏) = 𝑎2Var(𝑋)
Linearity of
Expectation
Properties of
variance
TL;DR: σ𝑥=𝑎𝑏 𝑎⇒
𝑏
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Lisa Yan, CS109, 2020
Uniform RV expectation
20
න−∞
∞
𝑥 ⋅ 𝑓 𝑥 𝑑𝑥
=1
𝛽 − 𝛼⋅ ቤ1
2𝑥2
𝛼
𝛽
=1
𝛽 − 𝛼⋅1
2𝛽2 − 𝛼2
=1
2⋅𝛽 + 𝛼 𝛽 − 𝛼
𝛽 − 𝛼
𝐸 𝑋 =
=𝛼 + 𝛽2
Interpretation:
Average the start & end
𝛼 𝛽𝑥
𝑓 𝑥
1
𝛽 − 𝛼
= න𝛼
𝛽
𝑥 ⋅1
𝛽 − 𝛼𝑑𝑥
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Lisa Yan, CS109, 2020
def An Uniform random variable 𝑋 is defined as follows:
Uniform Random Variable
21
𝑓 𝑥 = ቐ
1
𝛽 − 𝛼if 𝛼 ≤ 𝑥 ≤ 𝛽
0 otherwise𝑋~Uni(𝛼, 𝛽)
Support: 𝛼, 𝛽(sometimes defined
over 𝛼, 𝛽 ) Variance
Expectation
𝐸 𝑋 =𝛼 + 𝛽
2
Var 𝑋 =𝛽 − 𝛼 2
12
On your own time
Just now
𝛼 𝛽𝑥
𝑓 𝑥
1
𝛽 − 𝛼
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Exponential RV
22
09c_exponential
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Lisa Yan, CS109, 2020
Grid of random variables
23
Number of
successes
Ber(𝑝)One trial
Several
trials
Interval
of time
Bin(𝑛, 𝑝)
Poi(𝜆)
Geo(𝑝)
NegBin(𝑟, 𝑝)
One success
Several
successes
Interval of time to
first success
Time until
success
𝑛 = 1 𝑟 = 1
?Exp(𝜆)
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Lisa Yan, CS109, 2020
Consider an experiment that lasts a duration of time until success occurs.
def An Exponential random variable 𝑋 is the amount of time until success.
Examples:• Time until next earthquake
• Time for request to reach web server
• Time until end of cell phone contract
Exponential Random Variable
24
𝑓 𝑥 = ቊ𝜆𝑒−𝜆𝑥 if 𝑥 ≥ 0
0 otherwise𝑋~Exp(𝜆)
Support: 0,∞
Variance
Expectation
𝐸 𝑋 =1
𝜆
Var 𝑋 =1
𝜆2
(in extra slides)
(on your own)
0
0.2
0.4
0.6
0.8
1
0 1 2 3 4 5
𝑓 𝑥
𝑥
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Lisa Yan, CS109, 2020
Interpreting Exp(𝜆)
def An Exponential random variable 𝑋 is the amount of time until success.
25
𝑋~Exp(𝜆) Expectation 𝐸 𝑋 =1
𝜆
Based on the expectation 𝐸 𝑋 , what are the units of 𝜆?
🤔
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Lisa Yan, CS109, 2020
Interpreting Exp(𝜆)
def An Exponential random variable 𝑋 is the amount of time until success.
26
Based on the expectation 𝐸 𝑋 , what are the units of 𝜆?
𝑋~Exp(𝜆) Expectation 𝐸 𝑋 =1
𝜆
e.g., average # of successes per second For both Poisson and Exponential RVs,
𝜆 = # successes/time.
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Lisa Yan, CS109, 2020
Earthquakes
27
1906 Earthquake
Magnitude 7.8
![Page 28: 09: Continuous RVs - web.stanford.eduweb.stanford.edu/class/archive/cs/cs109/cs109.1208/lectures/09... · Earthquakes Major earthquakes (magnitude 8.0+) occur once every 500 years.*](https://reader036.vdocuments.net/reader036/viewer/2022081616/600cd8aebc42a655ef02a109/html5/thumbnails/28.jpg)
Lisa Yan, CS109, 2020
Earthquakes
Major earthquakes (magnitude 8.0+) occur once every 500 years.*
1. What is the probability of a major earthquake in the next 30 years?
28
𝑋~Exp(𝜆)𝑓 𝑥 = 𝜆𝑒−𝜆𝑥 if 𝑥 ≥ 0
*In California, according to historical data form USGS, 2015
𝐸 𝑋 = 1/𝜆
We know on average:
0.002earthquakes
year
500years
earthquake
1earthquakes
500 years 🤔
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Lisa Yan, CS109, 2020
Earthquakes
Major earthquakes (magnitude 8.0+) occur once every 500 years.*
1. What is the probability of a major earthquake in the next 30 years?
29
Define events/ RVs & state goal
Solve
𝑋: when next
earthquake happens
𝑋 ~Exp 𝜆 = 0.002
Want: 𝑃 𝑋 < 30
year−1𝜆:
𝑋~Exp(𝜆)𝑓 𝑥 = 𝜆𝑒−𝜆𝑥 if 𝑥 ≥ 0
𝑒𝑐𝑥𝑑𝑥 =1
𝑐𝑒𝑐𝑥
*In California, according to historical data form USGS, 2015
Recall
= 1/500
𝐸 𝑋 = 1/𝜆
![Page 30: 09: Continuous RVs - web.stanford.eduweb.stanford.edu/class/archive/cs/cs109/cs109.1208/lectures/09... · Earthquakes Major earthquakes (magnitude 8.0+) occur once every 500 years.*](https://reader036.vdocuments.net/reader036/viewer/2022081616/600cd8aebc42a655ef02a109/html5/thumbnails/30.jpg)
Lisa Yan, CS109, 2020
Earthquakes
Major earthquakes (magnitude 8.0+) occur once every 500 years.*
1. What is the probability of a major earthquake in the next 30 years?
2. What is the standard deviation of years until the next earthquake?
30
Define events/ RVs & state goal
𝑋: when next
earthquake happens
𝑋 ~Exp 𝜆 = 0.002
Want: 𝑃 𝑋 < 30
year−1𝜆:
*In California, according to historical data form USGS, 2015
Solve
𝑋~Exp(𝜆)𝑓 𝑥 = 𝜆𝑒−𝜆𝑥 if 𝑥 ≥ 0
𝐸 𝑋 = 1/𝜆
![Page 31: 09: Continuous RVs - web.stanford.eduweb.stanford.edu/class/archive/cs/cs109/cs109.1208/lectures/09... · Earthquakes Major earthquakes (magnitude 8.0+) occur once every 500 years.*](https://reader036.vdocuments.net/reader036/viewer/2022081616/600cd8aebc42a655ef02a109/html5/thumbnails/31.jpg)
(live)09: Continuous RVsSlides by Lisa Yan
July 10, 2020
31
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Lisa Yan, CS109, 2020
0 … 44 52 60 … 90
4 inches
Today’s main takeaway, #1
Integrate 𝑓(𝑥) to get probabilities.
32
𝑃 𝑎 ≤ 𝑋 ≤ 𝑏 = න𝑎
𝑏
𝑓(𝑥) 𝑑𝑥
𝑓 𝑥 : prob/inch
Review
𝑥
![Page 33: 09: Continuous RVs - web.stanford.eduweb.stanford.edu/class/archive/cs/cs109/cs109.1208/lectures/09... · Earthquakes Major earthquakes (magnitude 8.0+) occur once every 500 years.*](https://reader036.vdocuments.net/reader036/viewer/2022081616/600cd8aebc42a655ef02a109/html5/thumbnails/33.jpg)
Lisa Yan, CS109, 2020
0 … 44 52 60 … 90
Today’s main takeaway, #2
For a continuous random variable 𝑋 with PDF 𝑓 𝑥 ,
𝑃 𝑋 = 𝑐 = 𝑐𝑐𝑓 𝑥 𝑑𝑥 = 0.
33
𝑥
Implication: 𝑃 𝑎 ≤ 𝑋 ≤ 𝑏 = 𝑃 𝑎 < 𝑋 < 𝑏
Review
![Page 34: 09: Continuous RVs - web.stanford.eduweb.stanford.edu/class/archive/cs/cs109/cs109.1208/lectures/09... · Earthquakes Major earthquakes (magnitude 8.0+) occur once every 500 years.*](https://reader036.vdocuments.net/reader036/viewer/2022081616/600cd8aebc42a655ef02a109/html5/thumbnails/34.jpg)
ThinkThe next slide has a matching question to go over by yourself. We’ll go over it together afterwards.
Post any clarifications here!
https://us.edstem.org/courses/667/discussion/88677
Think by yourself: 2 min
34
🤔(by yourself)
![Page 35: 09: Continuous RVs - web.stanford.eduweb.stanford.edu/class/archive/cs/cs109/cs109.1208/lectures/09... · Earthquakes Major earthquakes (magnitude 8.0+) occur once every 500 years.*](https://reader036.vdocuments.net/reader036/viewer/2022081616/600cd8aebc42a655ef02a109/html5/thumbnails/35.jpg)
Lisa Yan, CS109, 2020
Determining valid PDFs
Which of the following functions are valid PDFs?
35
𝑓 𝑥
𝑥𝑥1 𝑥2
න−∞
∞
𝑓 𝑥 𝑑𝑥 = 0.5𝑔 𝑥
𝑥𝑥3 𝑥4
න−∞
∞
𝑔 𝑥 𝑑𝑥 = 1
ℎ 𝑥
𝑥0.5 1
1
2 න−∞
∞
ℎ 𝑥 𝑑𝑥 = 1𝑤 𝑥
𝑥𝑥5 𝑥6
0
න−∞
∞
𝑤 𝑥 𝑑𝑥 = 1
1. 2.
3. 4.
🤔
𝑃 𝑎 ≤ 𝑋 ≤ 𝑏 = න𝑎
𝑏
𝑓(𝑥) 𝑑𝑥
(by yourself)
![Page 36: 09: Continuous RVs - web.stanford.eduweb.stanford.edu/class/archive/cs/cs109/cs109.1208/lectures/09... · Earthquakes Major earthquakes (magnitude 8.0+) occur once every 500 years.*](https://reader036.vdocuments.net/reader036/viewer/2022081616/600cd8aebc42a655ef02a109/html5/thumbnails/36.jpg)
Lisa Yan, CS109, 2020
Determining valid PDFs
Which of the following functions are valid PDFs?
36
𝑓 𝑥
𝑥𝑥1 𝑥2
න−∞
∞
𝑓 𝑥 𝑑𝑥 = 0.5𝑔 𝑥
𝑥𝑥3 𝑥4
න−∞
∞
𝑔 𝑥 𝑑𝑥 = 1
ℎ 𝑥
𝑥0.5 1
1
2 න−∞
∞
ℎ 𝑥 𝑑𝑥 = 1𝑤 𝑥
𝑥𝑥5 𝑥6
0
න−∞
∞
𝑤 𝑥 𝑑𝑥 = 1
1. 2.
3. 4.
𝑃 𝑎 ≤ 𝑋 ≤ 𝑏 = න𝑎
𝑏
𝑓(𝑥) 𝑑𝑥
![Page 37: 09: Continuous RVs - web.stanford.eduweb.stanford.edu/class/archive/cs/cs109/cs109.1208/lectures/09... · Earthquakes Major earthquakes (magnitude 8.0+) occur once every 500 years.*](https://reader036.vdocuments.net/reader036/viewer/2022081616/600cd8aebc42a655ef02a109/html5/thumbnails/37.jpg)
Breakout Rooms
Check out the question on the next slide. Post any clarifications here!
https://us.edstem.org/courses/667/discussion/88677
Breakout rooms: 4 min. Introduce yourself!
37
🤔
![Page 38: 09: Continuous RVs - web.stanford.eduweb.stanford.edu/class/archive/cs/cs109/cs109.1208/lectures/09... · Earthquakes Major earthquakes (magnitude 8.0+) occur once every 500 years.*](https://reader036.vdocuments.net/reader036/viewer/2022081616/600cd8aebc42a655ef02a109/html5/thumbnails/38.jpg)
Lisa Yan, CS109, 2020
Riding the Marguerite Bus
You want to get on the Marguerite bus.• The bus stops at the Gates building at 15-minute intervals
(2:00, 2:15, etc.).• You arrive at the stop uniformly between 2:00-2:30pm.
P(you wait < 5 minutes for bus)?
38
🤔
![Page 39: 09: Continuous RVs - web.stanford.eduweb.stanford.edu/class/archive/cs/cs109/cs109.1208/lectures/09... · Earthquakes Major earthquakes (magnitude 8.0+) occur once every 500 years.*](https://reader036.vdocuments.net/reader036/viewer/2022081616/600cd8aebc42a655ef02a109/html5/thumbnails/39.jpg)
Lisa Yan, CS109, 2020
Riding the Marguerite Bus
You want to get on the Marguerite bus.• The bus stops at the Gates building at 15-minute intervals
(2:00, 2:15, etc.).• You arrive at the stop uniformly between 2:00-2:30pm.
P(you wait < 5 minutes for bus)?
392:00pm 15 30
wait < 5 min
1. Define events/ RVs & state goal
2. Solve
𝑋: time passenger
arrives after 2:00
𝑋~Uni(0,30)
Want:
![Page 40: 09: Continuous RVs - web.stanford.eduweb.stanford.edu/class/archive/cs/cs109/cs109.1208/lectures/09... · Earthquakes Major earthquakes (magnitude 8.0+) occur once every 500 years.*](https://reader036.vdocuments.net/reader036/viewer/2022081616/600cd8aebc42a655ef02a109/html5/thumbnails/40.jpg)
Interlude for fun/announcements
41
![Page 41: 09: Continuous RVs - web.stanford.eduweb.stanford.edu/class/archive/cs/cs109/cs109.1208/lectures/09... · Earthquakes Major earthquakes (magnitude 8.0+) occur once every 500 years.*](https://reader036.vdocuments.net/reader036/viewer/2022081616/600cd8aebc42a655ef02a109/html5/thumbnails/41.jpg)
Lisa Yan, CS109, 2020
Announcements
42
Midterm Quiz
Time frame: Mon.-Tues. July 20-21 5pm-5pm PT
Covers: Up to and including Lecture 11
Info and practice:
http://web.stanford.edu/class/archive/cs/cs109/cs109.1208/exams/quizzes.html
Note: If you have an emergency
situation during the quiz,
please contact Oishi and Cooper.
We will try our best to accommodate.
![Page 42: 09: Continuous RVs - web.stanford.eduweb.stanford.edu/class/archive/cs/cs109/cs109.1208/lectures/09... · Earthquakes Major earthquakes (magnitude 8.0+) occur once every 500 years.*](https://reader036.vdocuments.net/reader036/viewer/2022081616/600cd8aebc42a655ef02a109/html5/thumbnails/42.jpg)
Lisa Yan, CS109, 2020
Interesting probability news
43
NYC subway mathhttps://erikbern.com/2016/04/04/nyc-subway-math.html
Distribution of time
until the next subway arrival
Probably Beta RV (Week 8)
![Page 43: 09: Continuous RVs - web.stanford.eduweb.stanford.edu/class/archive/cs/cs109/cs109.1208/lectures/09... · Earthquakes Major earthquakes (magnitude 8.0+) occur once every 500 years.*](https://reader036.vdocuments.net/reader036/viewer/2022081616/600cd8aebc42a655ef02a109/html5/thumbnails/43.jpg)
Lisa Yan, CS109, 2020
Ethics in Probability: Disclosure Avoidance
The 2020 US Census is using “differential privacy” for disclosure avoidance. Differential privacy uses the Laplace Distribution (a two-tailed Exponential distribution) to guarantee probabilistic privacy protection.
44
https://www.census.gov/about/policies/privacy/statistical_s
afeguards/disclosure-avoidance-2020-census.html
https://hdsr.mitpress.m
it.edu/pub/dgg03vo6/r
elease/1
![Page 44: 09: Continuous RVs - web.stanford.eduweb.stanford.edu/class/archive/cs/cs109/cs109.1208/lectures/09... · Earthquakes Major earthquakes (magnitude 8.0+) occur once every 500 years.*](https://reader036.vdocuments.net/reader036/viewer/2022081616/600cd8aebc42a655ef02a109/html5/thumbnails/44.jpg)
Lisa Yan, CS109, 2020
Cumulative Distribution Function (CDF)
45
Review
For a random variable 𝑋, the cumulative distribution function (CDF) is defined as
𝐹 𝑎 = 𝐹𝑋 𝑎 = 𝑃 𝑋 ≤ 𝑎 ,where −∞ < 𝑎 < ∞
For a discrete RV 𝑋, the CDF is:
𝐹 𝑎 = 𝑃 𝑋 ≤ 𝑎 =
all 𝑥≤𝑎
𝑝(𝑥)
![Page 45: 09: Continuous RVs - web.stanford.eduweb.stanford.edu/class/archive/cs/cs109/cs109.1208/lectures/09... · Earthquakes Major earthquakes (magnitude 8.0+) occur once every 500 years.*](https://reader036.vdocuments.net/reader036/viewer/2022081616/600cd8aebc42a655ef02a109/html5/thumbnails/45.jpg)
Lisa Yan, CS109, 2020
For a random variable 𝑋, the cumulative distribution function (CDF) is defined as
𝐹 𝑎 = 𝐹𝑋 𝑎 = 𝑃 𝑋 ≤ 𝑎 ,where −∞ < 𝑎 < ∞
For a discrete RV 𝑋, the CDF is:
𝐹 𝑎 = 𝑃 𝑋 ≤ 𝑎 =
all 𝑥≤𝑎
𝑝(𝑥)
For a continuous RV 𝑋, the CDF is:
𝐹 𝑎 = 𝑃 𝑋 ≤ 𝑎 = න−∞
𝑎
𝑓 𝑥 𝑑𝑥
Cumulative Distribution Function (CDF)
46
CDF is a probability,
though PDF is not.
If you learn to use
CDFs, you can avoid
integrating the PDF.
𝑓 𝑥
𝑥𝑏
𝐹 𝑏
![Page 46: 09: Continuous RVs - web.stanford.eduweb.stanford.edu/class/archive/cs/cs109/cs109.1208/lectures/09... · Earthquakes Major earthquakes (magnitude 8.0+) occur once every 500 years.*](https://reader036.vdocuments.net/reader036/viewer/2022081616/600cd8aebc42a655ef02a109/html5/thumbnails/46.jpg)
ThinkThe next slide has a matching question to go over by yourself. We’ll go over it together afterwards.
Post any clarifications here!
https://us.edstem.org/courses/667/discussion/88677
Think by yourself: 1 min
47
🤔(by yourself)
![Page 47: 09: Continuous RVs - web.stanford.eduweb.stanford.edu/class/archive/cs/cs109/cs109.1208/lectures/09... · Earthquakes Major earthquakes (magnitude 8.0+) occur once every 500 years.*](https://reader036.vdocuments.net/reader036/viewer/2022081616/600cd8aebc42a655ef02a109/html5/thumbnails/47.jpg)
Lisa Yan, CS109, 2020
Using the CDF for continuous RVs
For a continuous random variable 𝑋 with PDF 𝑓(𝑥), the CDF of 𝑋 is
𝑃 𝑋 ≤ 𝑎 = 𝐹 𝑎 = න−∞
𝑎
𝑓 𝑥 𝑑𝑥
48
Matching (choices are used 0/1/2 times)
A. 𝐹 𝑎
B. 1 − 𝐹(𝑎)
C. 𝐹 𝑎 − 𝐹(𝑏)
D. 𝐹 𝑏 − 𝐹(𝑎)
1. 𝑃 𝑋 < 𝑎
2. 𝑃 𝑋 > 𝑎
3. 𝑃 𝑋 ≥ 𝑎
4. 𝑃 𝑎 ≤ 𝑋 ≤ 𝑏
🤔(by yourself)
![Page 48: 09: Continuous RVs - web.stanford.eduweb.stanford.edu/class/archive/cs/cs109/cs109.1208/lectures/09... · Earthquakes Major earthquakes (magnitude 8.0+) occur once every 500 years.*](https://reader036.vdocuments.net/reader036/viewer/2022081616/600cd8aebc42a655ef02a109/html5/thumbnails/48.jpg)
Lisa Yan, CS109, 2020
Using the CDF for continuous RVs
For a continuous random variable 𝑋 with PDF 𝑓(𝑥), the CDF of 𝑋 is
𝑃 𝑋 ≤ 𝑎 = 𝐹 𝑎 = න−∞
𝑎
𝑓 𝑥 𝑑𝑥
49
A. 𝐹 𝑎
B. 1 − 𝐹(𝑎)
C. 𝐹 𝑎 − 𝐹(𝑏)
D. 𝐹 𝑏 − 𝐹(𝑎)
Matching (choices are used 0/1/2 times)
(next slide)
1. 𝑃 𝑋 < 𝑎
2. 𝑃 𝑋 > 𝑎
3. 𝑃 𝑋 ≥ 𝑎
4. 𝑃 𝑎 ≤ 𝑋 ≤ 𝑏
![Page 49: 09: Continuous RVs - web.stanford.eduweb.stanford.edu/class/archive/cs/cs109/cs109.1208/lectures/09... · Earthquakes Major earthquakes (magnitude 8.0+) occur once every 500 years.*](https://reader036.vdocuments.net/reader036/viewer/2022081616/600cd8aebc42a655ef02a109/html5/thumbnails/49.jpg)
Lisa Yan, CS109, 2020
Using the CDF
For a continuous random variable 𝑋 with PDF 𝑓(𝑥), the CDF of 𝑋 is
𝐹 𝑎 = න−∞
𝑎
𝑓 𝑥 𝑑𝑥
50
4. 𝑃 𝑎 ≤ 𝑋 ≤ 𝑏 = 𝐹 𝑏 − 𝐹(𝑎)
𝐹 𝑏 − 𝐹 𝑎 = න−
𝑏
𝑓 𝑥 𝑑𝑥 − න−
𝑎
𝑓 𝑥 𝑑𝑥
= න−
𝑎
𝑓 𝑥 𝑑𝑥 +න𝑎
𝑏
𝑓 𝑥 𝑑𝑥 −න−
𝑎
𝑓 𝑥 𝑑𝑥
= න𝑎
𝑏
𝑓 𝑥 𝑑𝑥
𝑓 𝑥
𝑥𝑎 𝑏
𝐹 𝑏
Proof:
𝐹 𝑎
− =
![Page 50: 09: Continuous RVs - web.stanford.eduweb.stanford.edu/class/archive/cs/cs109/cs109.1208/lectures/09... · Earthquakes Major earthquakes (magnitude 8.0+) occur once every 500 years.*](https://reader036.vdocuments.net/reader036/viewer/2022081616/600cd8aebc42a655ef02a109/html5/thumbnails/50.jpg)
Lisa Yan, CS109, 2020
CDF of an Exponential RV
Proof:
𝐹 𝑥 = 𝑃 𝑋 ≤ 𝑥 = න𝑦=−∞
𝑥
𝑓 𝑦 𝑑𝑦 = න𝑦=0
𝑥
𝜆𝑒−𝜆𝑦𝑑𝑦
= ቤ𝜆1
−𝜆𝑒−𝜆𝑦
0
𝑥
= −1 𝑒−𝜆𝑥 − 𝑒−𝜆0
= 1 − 𝑒−𝜆𝑥
51
𝑋~Exp(𝜆) 𝐹 𝑥 = 1 − 𝑒−𝜆𝑥 if 𝑥 ≥ 0
𝑒𝑐𝑥𝑑𝑥 =1
𝑐𝑒𝑐𝑥
Recall
𝑋~Exp(𝜆) 𝑓 𝑥 = 𝜆𝑒−𝜆𝑥 if 𝑥 ≥ 0
![Page 51: 09: Continuous RVs - web.stanford.eduweb.stanford.edu/class/archive/cs/cs109/cs109.1208/lectures/09... · Earthquakes Major earthquakes (magnitude 8.0+) occur once every 500 years.*](https://reader036.vdocuments.net/reader036/viewer/2022081616/600cd8aebc42a655ef02a109/html5/thumbnails/51.jpg)
Lisa Yan, CS109, 2020
0
0.2
0.4
0.6
0.8
1
1.2
0 1 2 3 4 5
0
0.2
0.4
0.6
0.8
1
0 1 2 3 4 5
0
0.2
0.4
0.6
0.8
1
1.2
0 1 2 3 4 5
0
0.2
0.4
0.6
0.8
1
0 1 2 3 4 5
PDF/CDF 𝑋~Exp(𝜆 = 1)
52
𝐹 𝑥
𝑓 𝑥
𝑥
𝑥
න0
2
𝜆𝑒−𝜆𝑥𝑑𝑥 ≈ 0.86
1 − 𝑒−2𝜆 ≈ 0.86
𝑥
𝐹 𝑥
𝑥
1 − 𝐹 2 = 𝑒−2𝜆 ≈ 0.14
𝑓 𝑥
න2
∞
𝜆𝑒−𝜆𝑥𝑑𝑥 ≈ 0.14
𝑃 𝑋 ≤ 2 𝑃 𝑋 > 2
𝑓 𝑥 = 𝜆𝑒−𝜆𝑥
𝐹 𝑥 = 1 − 𝑒−𝜆𝑥
![Page 52: 09: Continuous RVs - web.stanford.eduweb.stanford.edu/class/archive/cs/cs109/cs109.1208/lectures/09... · Earthquakes Major earthquakes (magnitude 8.0+) occur once every 500 years.*](https://reader036.vdocuments.net/reader036/viewer/2022081616/600cd8aebc42a655ef02a109/html5/thumbnails/52.jpg)
Breakout Rooms
Check out the question on the next slide. Post any clarifications here!
https://us.edstem.org/courses/667/discussion/88677
Breakout rooms: 4 min. Introduce yourself!
53
🤔
![Page 53: 09: Continuous RVs - web.stanford.eduweb.stanford.edu/class/archive/cs/cs109/cs109.1208/lectures/09... · Earthquakes Major earthquakes (magnitude 8.0+) occur once every 500 years.*](https://reader036.vdocuments.net/reader036/viewer/2022081616/600cd8aebc42a655ef02a109/html5/thumbnails/53.jpg)
Lisa Yan, CS109, 2020
Earthquakes
54
Major earthquakes (magnitude 8.0+) occur once every 500 years.*
What is the probability of zero major earthquakes next year?
🤔*In California, according to historical data form USGS, 2015
![Page 54: 09: Continuous RVs - web.stanford.eduweb.stanford.edu/class/archive/cs/cs109/cs109.1208/lectures/09... · Earthquakes Major earthquakes (magnitude 8.0+) occur once every 500 years.*](https://reader036.vdocuments.net/reader036/viewer/2022081616/600cd8aebc42a655ef02a109/html5/thumbnails/54.jpg)
Lisa Yan, CS109, 2020
Earthquakes
Major earthquakes (magnitude 8.0+) occur once every 500 years.*
What is the probability of zero major earthquakes next year?
56
Strategy 1: Exponential RV
Define events/RVs & state goal
Solve
𝑋: when first earthquake happens
𝑋 ~Exp(𝜆 = 0.002)
Want: 𝑃 𝑋 > 1 = 1 − 𝐹(1)
𝑃 𝑋 > 1 = 1 − 1 − 𝑒−𝜆⋅1 = 𝑒−𝜆
*In California, according to historical data form USGS, 2015
![Page 55: 09: Continuous RVs - web.stanford.eduweb.stanford.edu/class/archive/cs/cs109/cs109.1208/lectures/09... · Earthquakes Major earthquakes (magnitude 8.0+) occur once every 500 years.*](https://reader036.vdocuments.net/reader036/viewer/2022081616/600cd8aebc42a655ef02a109/html5/thumbnails/55.jpg)
Lisa Yan, CS109, 2020
Earthquakes
Major earthquakes (magnitude 8.0+) occur once every 500 years.*
What is the probability of zero major earthquakes next year?
57
Strategy 1: Exponential RV Strategy 2: Poisson RV
𝑋~Poi(𝜆) 𝑝 𝑘 = 𝑒−𝜆𝜆𝑘
𝑘!
Define events/RVs & state goal
Solve
𝑋: when first earthquake happens
𝑋 ~Exp(𝜆 = 0.002)
Want: 𝑃 𝑋 > 1 = 1 − 𝐹(1)
𝑃 𝑋 > 1 = 1 − 1 − 𝑒−𝜆⋅1 = 𝑒−𝜆
*In California, according to historical data form USGS, 2015
𝑋: # earthquakes next year
𝑋 ~Poi(𝜆 = 0.002)
Want: 𝑃 𝑋 = 0
Define events/RVs & state goal
Solve
𝑃 𝑋 = 0 =𝜆0𝑒−𝜆
0!= 𝑒−𝜆 ≈ 0.998
earthquakes
year𝜆:
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Next up: Normal RVs
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09e_extra
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Lisa Yan, CS109, 2020
Extra slides
Expectation of the Exponential
Extra problems
59
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Extra
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09e_extra
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Lisa Yan, CS109, 2020
Expectation of the Exponential
61
න𝑥𝜆𝑒−𝜆𝑥𝑑𝑥 = න𝑢 ∙ 𝑑𝑣
𝑢 = 𝑥 𝑑𝑣 = 𝜆𝑒−𝜆𝑥𝑑𝑥
𝑑𝑢 = 𝑑𝑥 𝑣 = −𝑒−𝜆𝑥
𝐸 𝑋 = න−∞
∞
𝑥𝑓 𝑥 𝑑𝑥 = න0
∞
𝑥𝜆𝑒−𝜆𝑥𝑑𝑥
න𝑢 ∙ 𝑑𝑣 = 𝑢 ∙ 𝑣 − න𝑣 ∙ 𝑑𝑢
−𝑥𝑒−𝜆𝑥 − 𝑒−𝜆𝑥𝑑𝑥−
= ቚ−𝑥𝑒−𝜆𝑥0
∞+න
0
∞
𝑒−𝜆𝑥𝑑𝑥
= ቚ−𝑥𝑒−𝜆𝑥0
∞−1
λቚ𝑒−𝜆𝑥0
∞
= 0 −1
λ0 − 0 −
1
λ
=1
𝜆
Proof:
𝑋~Exp(𝜆) Expectation 𝐸 𝑋 =1
𝜆
Integration by parts
𝑋~Exp(𝜆) 𝑓 𝑥 = 𝜆𝑒−𝜆𝑥 if 𝑥 ≥ 0
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Lisa Yan, CS109, 2020
Website visits
Suppose a visitor to your website leaves after 𝑋 minutes.• On average, visitors leave the site after 5 minutes.• The length of stay, 𝑋, is exponentially distributed.
1. 𝑃 𝑋 > 10 ?
2. 𝑃 10 < 𝑋 < 20 ?
62
𝑋~Exp(𝜆)𝐸 𝑋 = 1/𝜆
𝑋: when visitor leaves
𝑋 ~Exp(𝜆 = 1/5 = 0.2)
𝐹 𝑥 = 1 − 𝑒−𝜆𝑥
𝑃 𝑋 > 10 = 1 − 𝐹(10)
= 1 − 1 − 𝑒− 10/5 = 𝑒−2 ≈ 0.1353
Define Solve
𝑋: when visitor leaves
𝑋 ~Exp(𝜆 = 1/5 = 0.2)
Define Solve
𝑃 10 < 𝑋 < 20 = 𝐹 20 − 𝐹(10)
= 1 − 𝑒−4 − 1 − 𝑒−2 ≈ 0.1170
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Lisa Yan, CS109, 2020
Replacing your laptop
Let 𝑋 = # hours of use until your laptop dies.• 𝑋 is distributed as an Exponential RV, where
• On average, laptops die after 5000 hours of use.
• You use your laptop 5 hours a day.
What is 𝑃 your laptop lasts 4 years ?
63
𝑋: # hours until
laptop death
𝑋 ~Exp(𝜆 = 1/5000)
𝑃 𝑋 > 7300 = 1 − 𝐹(7300)
Define Solve
Want: 𝑃 𝑋 > 5 ⋅ 365 ⋅ 4
𝑋~Exp(𝜆)𝐸 𝑋 = 1/𝜆
𝐹 𝑥 = 1 − 𝑒−𝜆𝑥
= 1 − 1 − 𝑒− 7300/5000 = 𝑒−1.46 ≈ 0.2322
Better plan ahead if you’re co-terming!
• 5-year plan:
• 6-year plan:
𝑃 𝑋 > 9125 = 𝑒−1.825 ≈ 0.1612
𝑃 𝑋 > 10950 = 𝑒−2.19 ≈ 0.1119