A continuous random variable is a random variable whose cumulative distribution function is a continuous function. The set of values it can take is not countable and these values, when taken one by one, have zero probability of being observed.

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Continuous random variables are sometimes also called **absolutely
continuous**.

The following is a formal definition.

Definition A random variable is said to be continuous if the probability that it assumes a value in a given interval can be expressed as an integral:where the integrand function is called the probability density function of .

Note that, as a consequence of this definition, the cumulative distribution function of isBecause integrals are continuous with respect to their upper bound of integration, is continuous in , which explains why we have stated above that a continuous random variable is a random variable whose cumulative distribution function is continuous.

Let be a continuous random variable that can take any value in the interval . Let its probability density function beThen, for example, the probability that takes a value between and can be computed as follows:

Continuous random variables are discussed in more detail in the lecture entitled Random variables.

You can also read a brief introduction to the probability density function, including some examples, in the glossary entry entitled Probability density function.

Next entry: Absolutely continuous random vector

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