Chapter 5A: Continuous Random Variables, PDFs, and Uniform Distribution  
MATH/STAT 394: Probability I  
Arman Jahangiri  
University of Washington Department of Mathematics  
Summer 2026  
Arman Jahangiri  
Summer 2026  
1
 
Learning Goals  
By the end of this lecture, students should be able to:  
▶ define and interpret PDFs and CDFs;  
▶ compute probabilities by integrating a PDF;  
▶ recognize valid PDFs;  
▶ compute expectation for continuous random variables;  
▶ define and use the Uniform distribution;  
▶ understand the universality of the Uniform distribution.  
Arman Jahangiri  
Summer 2026  
2
Continuous Random Variables  
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Summer 2026  
3
From Discrete to Continuous Random Variables  
Discrete random variables take values in a finite or countably infinite set.  
Continuous random variables can take any value in an interval, such as  
(0, 1),  
(a, b),  
[0, ∞),  
R.  
Main difference  
For a continuous random variable,  
P(X = x) = 0  
for every individual point x.  
Arman Jahangiri  
Summer 2026  
4
Probability Density Functions  
Definition  
For a continuous random variable X, the probability density function, or PDF, is a function f such that  
Z
P(X ∈ A) =  
f (x) dx, ∀A ⊆ R  
A
The value f (x) itself is not a probability (could be greater than 1).  
Probabilities are areas under the density curve.  
Arman Jahangiri  
Summer 2026  
5
Valid PDFs  
A function f is a valid PDF if:  
f (x) ≥ 0  
for all x,  
and  
Z
∞
−∞ f (x) dx = 1.  
Analogy  
For discrete random variables:  
X
pX (x) ≥ 0,  
pX (x) = 1.  
x
For continuous random variables:  
Z
∞
fX (x) ≥ 0,  
−∞ f (x) dx = 1.  
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Summer 2026  
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CDF and PDF  
CDF has the same formula for continuous and discrete r.v.s, i.e.  
F(x) = P(X ≤ x).  
For a continuous random variable with PDF f , according to the definition of PDF,  
Z
x
F(x) = −∞ f (t) dt.  
Note that, according to the definition of CDF,  
P(a < X ≤ b) = F(b) − F(a)  
This, together with the Fundamental Theorem of Calculus, implies that  
d
F(x) = F′(x) = f (x)  
(1)  
dx  
For continuous r.v.s, since P(X = a) = 0 for any a ∈ R,  
P(X ≤ a) = P(X < a),  
P(X ≥ a) = P(X > a),  
P(a ≤ X ≤ b) = P(a < X ≤ b) = P(a ≤ X < b) = P(a < X < b).  
Arman Jahangiri  
Summer 2026  
7
What Does the Density f (x) Mean?  
For a continuous random variable,  
Z
x
F(x) = P(X ≤ x) = −∞ f (t) dt.  
For a small number ϵ > 0,  
P(x ≤ X ≤ x + ϵ) = F(x + ϵ) − F(x).  
Therefore,  
P(x ≤ X ≤ x + ϵ)  
F(x + ϵ) − F(x)  
=
.
ϵ
ϵ
Taking the limit as ϵ → 0,  
By the definition of derivative,  
Thus,  
P(x ≤ X ≤ x + ϵ)  
F(x + ϵ) − F(x)  
lim  
ϵ→0  
= lim  
.
ϵ→0  
ϵ
ϵ
F(x + ϵ) − F(x)  
f (x) = F′(x) = lim  
.
ϵ→0  
ϵ
P(x ≤ X ≤ x + ϵ)  
f (x) = lim  
ϵ→0  
ϵ
Arman Jahangiri  
Summer 2026  
8
Expectation for Continuous Random Variables  
Definition  
If X is continuous with PDF f , then  
Z
∞
E(X) = −∞ xf (x) dx.  
If the support is an interval, we integrate over that interval.  
Expectation is still the balancing point of the distribution.  
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Summer 2026  
9
Continuous LOTUS  
LOTUS  
If X has PDF f and g : R → R, then  
Z
∞
E(g(X)) = −∞ g(x)f (x) dx.  
Proof idea. For a small interval [x, x + ∆x],  
P(x ≤ X ≤ x + ∆x) ≈ f (x)∆x.  
On this interval, g(X) is approximately g(x). Hence,  
g(X)P(x ≤ X ≤ x + ∆x) ≈ g(x)f (x)∆x.  
Adding over many small intervals,  
X
E(g(X)) ≈  
g(xi )f (xi )∆x.  
i
Taking the limit as ∆x → 0, the Riemann sum becomes  
∞
E(g(X)) = −∞ g(x)f (x) dx.  
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Summer 2026 10  
Uniform Distribution  
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Uniform Distribution  
Definition  
A random variable U has the Uniform distribution on (a, b) if its PDF is  
1
,
a < x < b,  
b − a  
f (x) =  
0,  
otherwise.  
We write  
U ∼ Unif(a, b).  
PDF Verification  
1
f (x) =  
> 0  
b − a  
since b > a. And  
Z
Z
∞
b
1
1
−∞ f (x) dx =  
dx =  
(b − a) = 1.  
b − a  
b − a  
a
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Summer 2026 12  
Uniform CDF  
If  
U ∼ Unif(a, b),  
then its CDF is  
0,  
x ≤ a,  
x − a  
b − a  
1,  
F(x) =  
,
a < x < b,  
x ≥ b.  
For the standard Uniform,  
we have  
U ∼ Unif(0, 1),  
F(x) = x, 0 < x < 1.  
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Summer 2026 13  
Universality of the Uniform  
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Why the Uniform Distribution Is Special  
The Uniform distribution is a universal starting point for simulation.  
Many algorithms first generate  
U ∼ Unif(0, 1),  
then transform U to obtain another distribution.  
Main idea  
A Uniform random variable can be transformed into a random variable with many other distributions.  
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Summer 2026 15  
Inverse CDF Method  
Suppose F is a continuous, strictly increasing CDF.  
Let  
U ∼ Unif(0, 1).  
Define  
Then  
X = F−1(U).  
X has CDF F.  
This is called the inverse CDF method or inverse transform sampling.  
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Summer 2026 16  
Why the Inverse CDF Method Works  
Let  
X = F−1(U).  
Then  
P(X ≤ x) = P(F−1(U) ≤ x).  
Since F is increasing,  
Therefore,  
F
−1(U) ≤ x  
⇐⇒ U ≤ F(x).  
P(X ≤ x) = P(U ≤ F(x)).  
Because U ∼ Unif(0, 1),  
Thus X has CDF F.  
P(U ≤ F(x)) = F(x).  
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Summer 2026 17  
Probability Integral Transform  
Conversely, if X has continuous strictly increasing CDF F, then  
F(X) ∼ Unif(0, 1).  
Interpretation  
Applying the CDF to a random variable converts its value into a percentile.  
For example, if exam scores have CDF F, then F(X) is the percentile of a randomly selected student.  
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Summer 2026 18  
Uniform Mean and Variance  
If U ∼ Unif(a, b), then  
1
fU (u) =  
,
a ≤ u ≤ b.  
b − a  
Mean  
ꢀ
ꢁ
Z
b
b
1
1
u2  
b2 − a2  
a + b  
E(U) =  
u
du =  
=
=
.
b − a  
b − a  
2
2(b − a)  
2
a
a
Variance  
First,  
Z
b
1
b3 − a3  
a2 + ab + b2  
E(U2) =  
u2  
du =  
=
.
b − a  
3(b − a)  
3
a
Thus,  
ꢂ
ꢃ
2
a2 + ab + b2  
a + b  
(b − a)2  
Var(U) = E(U2) − [E(U)]2 =  
−
=
.
3
2
12  
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Summer 2026 19  
Location-Scale Transformation  
If  
U ∼ Unif(0, 1),  
then  
a + (b − a)U ∼ Unif(a, b).  
This transforms:  
(0, 1) −→ (a, b).  
Useful idea  
Start with the standard Uniform and shift/scale to get any Uniform interval.  
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Summer 2026 20  
Summary  
▶ Continuous random variables have probabilities over intervals, not points.  
▶ A PDF integrates to probabilities:  
Z
b
P(a < X < b) =  
f (x) dx.  
a
▶ A valid PDF is nonnegative and integrates to 1.  
▶ The CDF is accumulated area:  
Z
x
F(x) = −∞ f (t) dt.  
▶ Uniform probabilities are proportional to interval length.  
▶ The Uniform distribution is universal through the inverse CDF method.  
Next lecture  
Normal and Exponential distributions.  
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Summer 2026 21