Continuous Random Variable
We say that a random variable is continuous if
P
(
X
=
x
)
=
0
for every
x
∈
R
Density Function
Let
f
:
R
→
R
be a function, then we say that
f
is a density function if
f
(
x
)
≥
0
for any
x
∈
R
and
∫
−
∞
∞
f
(
x
)
d
x
=
1
Absolutely Continuous Random Variable
A random varaible
X
is said to be
absolutely continuousif there is a
density function
f
such that
P
(
a
≤
X
≤
b
)
=
∫
a
b
f
(
x
)
d
x
whenever
a
≤
b
∈
R
A Random Variable has a Density Function
We say that a random variable
X
has a density function
f
if it is absolutely continuous using this density function.
Exponential 1 Distribution
Suppose that
Z
is a random varaible, then we write
Z
∼
exp
(
1
)
iff
Z
=
−
ln
(
U
)
where
U
∼
unif
[
0
,
1
]
Probability of an Interval in the Exponential Distribution
Suppose that
Z
∼
exp
(
1
)
, then
P
(
s
≤
Z
≤
t
)
=
e
−
s
−
e
−
t
Observe that the following sets are equal:
s
≤
Z
≤
t
=
s
≤
−
ln
(
U
)
≤
t
=
−
t
≤
ln
(
U
)
≤
−
s
=
e
−
t
≤
U
≤
e
−
s
therefore we know that
P
(
s
≤
Z
≤
t
)
=
P
(
e
−
t
≤
U
≤
e
−
s
)
=
e
−
s
−
e
−
t