PROBABILITY DENSITY FUNCTION (PDF)

Introduction to Mathematical Statistics 1

Lecturer: Dr. Iqbal Kharisudin, M.Sc.

ARRANGED BY :

Rembulan Permata Octalia (NIM : 4101418067)

Ayoe Soeci Fatsinta (NIM : 4101418099)

International Class 2018

MATHEMATICS EDUCATION
UNIVERSITAS NEGERI SEMARANG
2020
 PROBABILITY DENSITY FUNCTION

Probability of for every doesn’t have to come from an empiric

experiment, but it can be defined if follows the axiom requirements. The function
that defines probability in an area of the range is called probability density
function (PDF) which is distinguished for discrete and continuous variables.

A. Discrete Probability Density Function

Definition 1.1.1
If the set of all possible values of a random variable, 𝑋, is a countable set,
𝑥1 , 𝑥2 , … , 𝑥𝑛 , or 𝑥1 , 𝑥2 , …, then 𝑋 is called a discrete random variable.
The function
𝑓 𝑥 = 𝑃 𝑋 = 𝑥 for 𝑥 = 𝑥1 , 𝑥2 , …
that assigns the probability to each possible value 𝑥 will be called the
discrete probability density function (discrete pdf).

If it is clear from the context that is discrete, then we simply will say
pdf. Another common terminology is probability mass function (pmf), and
the possible values, , are called mass points of . Sometimes a subscripted
notation, , is used.
The following theorem gives general properties that any discrete pdf
must satisfy.

Theorem 1.1.1
A function 𝑓 𝑥 is a discrete pdf if and only if it satisfies both of the
following properties for at most a countably infinite set of reals 𝑥1 , 𝑥2 , …:
𝑓 𝑥𝑖 ≥ 0 (1.1.2)
For all 𝑥𝑖 , and
𝑎𝑙𝑙 𝑥𝑖 𝑓 𝑥𝑖 = 1 (1.1.3)
discrete probability density function (discrete pdf).
Proof
Property (1.1.2) follows from the fact that the value of a discrete pdf is
a probability and have to be non-negative. Because 1, 2 , … represent all
possible values of , the events = 1 , = 2 , … constitute an exhaustive
partition of sample space. Thus,

∑ =∑ = =1

Consequently, any pdf have to satisfy properties (1.1.2) and (1.1.3) and
any function that satisfies properties (1.1.2) and (1.1.3) will assign probabilities
consistent with Definition of a probability.
In some problems, it is possible to express the pdf by means of an
equation. However, it is sometimes more convenient to express it in tabular
form. For example, one way to specify the pdf of for the random variable
in Example 1.1.1 is given in Table 1.1.
Values of the discrete pdf of the maximum of two rolls of a four-sided die
1 2 3 4

Table 1.1
Of course, these are the probabilities, respectively, of the events
1, 2, 3 and 4 in .
A graphic representation of is also of some interest. It would be
possible to leave undefined at points that are not possible values of , but
it is convenient to define as zero at such points. The graph of the pdf in
Table 1.1 is shown in Figure 1.2.

Figure 1.2
 Example 1.1.1
Involves two rolls of a four-sided die. Now we will roll a 12-sided
(dodecahedral) die twice. If each face is marked with an integer, 1 through 12,
then each value is equally likely to occur on a single roll of the die. As before,
we define a random variable to be the maximum obtained on the two rolls. It
is not hard to see that for each value there are an odd number, 2 1, of
ways for that value to occur. Thus, the pdf of must have the form
= 2 1 for = 1,2, … , 12 (1.1.4)
One way to determine would be to do a more complete analysis of
the counting problem, but another way would be to use equation (1.1.3). In
particular,

12 12 12
2 12 13 2
1=∑ = ∑ 2 1 = [2 ∑ 12] = * 12+ = 12
2
<1 <1 <1

So,
1 1
= 2
=
12 144
. Example 1.1.2

A lot, consisting of 100 fuses, is inspected by the following procedure.

Five of these fuses are chosen at random and tested; if all five “blow” at the
correct amperage, the lot is accepted. If, in fact, there are 20 defective fuses in
the lot, the probability of accepting the lot is, under appropriate assumptions,

(85 )
= 0 31931
(15 )

More generally, let the random variable be the number of defective

fuses among the five that are inspected. The pdf of is given by
 (2 )(5;
8
)
, = 0, 1, 2, 3, 4, 5
= { (1 )
5
0,

Clearly, the space of is = 0,1,2,3,4,5 , which is also its support.

Thus this is an example of a random variable of the discrete type.

EXERCISE

1. Let = 0, 1, 2, 3, 4 as the sample space of , and is a function from into

that defined by:
4 14
= [ ]
4 2
Show that is a probability density function.
Solution :
Clearly that ≥0
Then, we will show that 4< =1
4 4
4
∑ =∑
4
< <
4
14 4
=[ ] ∑
2
14 4 4 4 4
=[ ] (
2 4 0 0 4 1 1 4 2 2 4 3 3
4
)
4 4 4
14 4 4 4 4 4
=[ ] ( )
2 4 0 3 1 2 2 1 3 0 4
4
1
=[ ] 1 4 6 4 1
2
1
= 16
16
=1
So, we can conclude that is the probability density function.

2. Fischer and Spassky play a chess match in which the first player to win a game
wins the match. After 10 successive draws. the match is declared drawn. Each
game is won by Fischer with probability 0.4. is won by Spassky with
probability 0.3. and is a draw with probability 0.3. independent of previous
games.
 (a) What is the probability that Fischer wins the match?
(b) What is the PDF of the duration of the match?
Solution:
(a) Let be the duration of the match. If Fischer wins a match consisting
of games, then 1 draws must first occur before he wins.
Summing over all possible lengths, we obtain:
1
;1
= ∑ 03 0 4 = 0 571425
<1
(b) The match has length with 10, if and only if 1 draws
occur, followed by a win by either player. The match has length
= 10 if and only if 9 draws occur. The probability of a win by
either player is 0 7. Thus:
0 3 ;1 0 7 , = 1, … , 9,
= = ={ 9
03 , = 10,
0,
Clearly, the space of is = 1, 2, 3 , 4 , 5 , 6 , 7 , 8 , 9 for =
;1 9
03 0 7 and = 10 for = 03 .

3. A packet communication system consists of a buffer that stores packets from

some source, and a communication line that retrieves packets from the buffer
and transmits them to a receiver. The system operates in time-slot pairs. In
the first slot, the system stores a number of packets that are generated by the
source according to a Poisson PDF with parameter ; however, the maximum
number of packets that can be stored is a given integer , and packets arriving
to a full buffer are discarded. In the second slot, the system transmits either
all the stored packets or packets (whichever is less). Here, is a given
integer with 0 .
Solution:
Let be the number of packets stored at the end of the first slot. For
, the probability that = is the same as the probability that
packets are generated by the source:
;
= = 1, = 0, 1, … , 1,
While,
;1
; ;
=∑ =1 ∑
< <
Let be the number of number of packets stored at the end of the second
slot. Since , is the number of packets transmitted in the second
slot, we have = , . Thus,
;
0 =∑ =1 ∑
< <
 :
;
= = , = 1, … , 1

;1

∑ ;
= =1
<

4. An internet service provider uses 50 modems to serve the needs of 1000

customers. It is estimated that at a given time. Each customer will need a
connection with probability 0 01, independent of the other customers. What is
the PDF of the number of modems in use at the given time?
Solution:
Let be the number of modems in use. For 50, the probability that
= is the same as the probability that out of 1000 customers need a
connection:

1000 1 ;
=( ) 0 01 0 99 , = 0, 1, … ,49

The probability that = 50, is the same as the probability that 50 or

more out of 1000 customers need a connection:
1
1000 1 ;
50 = ∑ ( ) 0 01 0 99
<5

B. Continuous Probability Density Function

Definition 1.2.1
A random variable X is called a continuous random variable if there
is a function is a function 𝑓 𝑥 called the probability density
function (pdf) of X, such that the CDF can be represented as

𝐹 𝑥 = 𝑓 𝑡 𝑑𝑡
;

Definition 1.2.2
Let X be a function from a sample space S to the real numbers. The
function X is a called a continuous random variable if there exist a
function 𝑓𝑋 𝑥 such that any for real numbers 𝑎 and 𝑏 with 𝑎 𝑏
𝑏
𝑃 𝑎≤𝑋≤𝑏 = 𝑓𝑋 𝑥 𝑑𝑥
𝑎
 Theorem 1.2.1
A function𝑓 𝑥 is a pdf for some continuous random variable X if and
only if it satisfies the properties
1. 𝑓 𝑥 ≥ 0 for all real 𝑥 1.2.1
2. ;
𝑓 𝑥 𝑑𝑥 = 1 1.2.2

Proof
Property (1.2.1) follows from the fact that the value of a discrete pdf
is a probability and have to be non-negative. Property (1.2.2) follows
from FX(∞)=1

Example 1.2.1
A machine produces copper wire, and occasionally there is a flaw at
some point along the wire. The length of wire (in meters) produced between
successive flaws is a continuous random variable X with pdf of the form

;3
1 , 0
= ={
, ≤0
Where is a constant. The value of can be determined by means of
property 1.2.2. Specifically, set

;3
1
1= = 1 = ( )
; 2
Which is obtained following the substitution =1 and an
application of the power rule for integrals. This implies that the constant is
=2
Example 1.2.2
1. Suppose we would like a continuous random variable X to “select” a
number between 0 and 1 in such a way that intervals near the middle of the
range would be more likely to be represented than intervals near either 0
or 1. One pdf having that property is the function
 =6 1 ,0≤ ≤ 1 (see Figure1). Do we know for certain that
the function pictured in Figure 1 is a “legitimate”pdf? Yes, because
a. ≥0 and
1
b. 6 1 =1

To simplify the way pdfs are written, it will be assumed that = 0 for
all outside the range actually specified in the function’s definition.

FIGURE 1.3
For instance, the statement =6 1 ,0 ≤ ≤ 1, is to be
interpreted as an abbreviation for
0, 0
= {6 1 ,0 ≤ ≤ 1
0, 1

Example 1.2.3
Let the random variable be the time in seconds between incoming
telephone calls at a busy switchboard. Suppose that a reasonable probability
model for X is given by the pdf

1 ; 4
= = {4 , 0
0,
Note that satisfies the two properties of a pdf, namely,
(i) ≥0
1 ; 4 ; 4]
(ii) =[ =1
4 0
 For illustration, the probability that the time between successive phone calls
exceeds 4 seconds is given by
1 ; 4 ;1
4 = = = 0 3679
4 4
The pdf and the probability of interest are depicted in Figure 1.2.2

Figure 1.2.2
In example 1.23, the under the pdf tp the right of 4 is P(X>4)

EXERCISE
1. Let X be a continuous random variable whose probability density function is :
0, 1
1, 1 ≤ ≤ 0
={
1 ,0 ≤1
0, 1
a. Graph the probability density function
b. Verify that is valid probability density function.
Solution :
a.
 b. It is obvious that is nonnegative. Let us show that =1

;1 1
=
; ; ;1 1
1
=0 1 1 0
;1
2 2 1
=* + * +
2 ;1
2
1 1
= {0 ( 1)} {(1 ) 0}
2 2
=1
So, we conclude that is the probability density function
3 2
,1 ≤ ≤2
2. Given = ,7
0 ,
a. Show that the function is the probability density function
3
b. Find the value of ( )
2
Solution :
a. Clearly that ≥0
2
Then, we will show that 1 =1
2 3 2
3 2
1
= * + =8 1 =1
1 7 7 1 7
So, we can conclude that is the probability density function.
3 2
3 3 2 1 27 19
b. ( )= 1 7
= *7+ = 7(8 1) = 56
2 1

3. A continuous random variable X has probability density function

={ √ , 0≤ ≤1
0,
a. Find the value of
b. Find the value of P 0 3 ≤ ≤ 06

Solution :
1
a. √ =1
3 1
2(√ )
[ ] =1
3
 2
=1
3
3
=
2
3
So, the value of is 2
3 6
b. 03 ≤ ≤ 06 = 2 3 √

3 6
3 2(√ )
= [ ]
2 3
3
3 3
= √0 6 √0 3
= 0 3004
4. A countinuous of the constant has probability density function
1 ,0 ≤ ≤ 2
= { 2 ,2 ≤ ≤ 3
0,
Find:
a. The value of constant
b. 15 ≤ ≤ 25
c. 18

Solution :
2 3
a. 1 2
2 =1
2 2
3
* + 2 2 =1
2

4 0 2 3 2 =1
6 =1
1
=
6
1 2 251
b. 15 ≤ ≤ 25 = 6 15
1 2 3
2
1 2 1 25
= * + 2
6 2 15
3

= 0 396
 c. 18 = 1 ≤ 18
18
1
=1 1
6
18
1 2
=1 * +
6 2

= 0 43

5. Let a point be selected from the sample space C = {c : 0 < c < 10}. Let
1
C ⊂ C and let the probability set function be = . Define the
1

random variable X to be X(c) = c2. Find the cdf and the pdf of X.
Solution :
We will use following:
The variable X is a continuous variable if it has continuous cumulative
distribution function ,
Let is probability density function for continuous variable X. Then
cumulative distribution function is defined by:

= ,
;
1
Let = 0 10 and C ⊂ for which = 1

Let define variable X on the next way :

2
=
Now we need to find the cdf of X and than pdf. We have following.
Since c is between 0 and 10, then c2 will be somewhere between 0 and 100.
So, our variable X will take the values between 0 and 100.
Now, we can calculate the cdf of X.
For ≤ 0 we have that ≤ = 0 For x in interval 0 to 100 we have
following :

√ 1 1
2 √
≤ = ≤ = ( ≤√ )= = (√ 0) =
10 10 10
 And for greater than 100 we have that ≤ =1
Now we can calculate the probability density function of X and its defined
by
=( )
So, for x outside interval (0, 100) the pfm of X is = 0. Let we see what
happen if x is inside this interval :
=( )

√
=( )
10
1
=
20√
So, the probability density function for for variable X is:
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