Probability & Random Process

UNIT-I (RANDOM VARIABLES)

1)

Discrete random variable:
Arandomvariablewhosesetofpossiblevaluesiseitherfiniteorcountably
infiniteiscalleddiscreterandomvariable.
Eg:(i)LetXrepresentthesumofthenumbersonthe2dice,whentwo
dicearethrown.InthiscasetherandomvariableXtakesthevalues2,3,4,5,6,
7,8,9,10,11and12.SoXisadiscreterandomvariable.
(ii)Numberoftransmittedbitsreceivedinerror.
2)

Continuous random variable:
ArandomvariableXissaidtobecontinuousifittakesallpossiblevalues
betweencertainlimits.
Eg:Thelengthoftimeduringwhichavacuumtubeinstalledinacircuit
functionsisacontinuousrandomvariable,numberofscratchesonasurface,
proportionofdefectivepartsamong1000tested,numberoftransmittedin
error.
3)


Sl.No. Discrete random variable Continuous random variable
1
( ) 1
i
i
p x

= = = =
= == =


( ) 1 f x dx


= == =


2
[ [[ [ ] ]] ] ( ) F x P X x = = = =
[ [[ [ ] ]] ] ( ) ( )
x
F x P X x f x dx

= = = = = = = =


3
[ [[ [ ] ]] ] Mean ( )
i i
i
E X x p x = = = = = = = =


[ [[ [ ] ]] ] Mean ( ) E X xf x dx


= = = = = = = =


4
2 2
( )
i i
i
E X x p x ( ( ( ( = == =



2 2
( ) E X x f x dx


( ( ( ( = == =


5
( (( ( ) )) ) ( (( ( ) )) ) ( (( ( ) )) )
2
2
Var X E X E X ( ( ( ( = = = =

( (( ( ) )) ) ( (( ( ) )) ) ( (( ( ) )) )
2
2
Var X E X E X ( ( ( ( = = = =


6
Moment=
r r
i i
i
E X x p ( ( ( ( = == =



Moment= ( )
r r
E X x f x dx


( ( ( ( = == =


7 M.G.F M.G.F
Formulas
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( (( ( ) )) ) ( )
tX tx
X
x
M t E e e p x ( ( ( ( = = = = = = = =



( (( ( ) )) ) ( )
tX tx
X
M t E e e f x dx


( ( ( ( = = = = = = = =



4) ( (( ( ) )) ) ( (( ( ) )) ) E aX b aE X b + = + + = + + = + + = +
5) ( (( ( ) )) ) ( (( ( ) )) )
2
Var Var aX b a X + = + = + = + =
6) ( (( ( ) )) ) ( (( ( ) )) ) ( (( ( ) )) )
2 2
Var Var aX bY a X b Var Y = + = + = + = +
7) ( (( ( ) )) ) Standard Deviation Var X = == =
8) ( ) ( ) f x F x = == =
9) ( ) 1 ( ) p X a p X a > = > = > = > =
10) ( (( ( ) )) )
( (( ( ) )) )
( (( ( ) )) )
/
p A B
p A B
p B
= == =

, ( (( ( ) )) ) 0 p B
11) IfAandBareindependent,then ( (( ( ) )) ) ( (( ( ) )) ) ( (( ( ) )) ) p A B p A p B = = = = .
12) 1
st
Momentaboutorigin= [ [[ [ ] ]] ] E X = ( (( ( ) )) )
0
X
t
M t
= == =
( ( ( (

(Mean)
2
nd
Momentaboutorigin=
2
E X ( ( ( (

= ( (( ( ) )) )
0
X
t
M t
= == =
( ( ( (


Theco-efficientof
!
r
t
r
=
r
E X ( ( ( (

(r
th
Momentabouttheorigin)
13) Limitation of M.G.F:
i) ArandomvariableXmayhavenomomentsalthoughitsm.g.fexists.
ii) ArandomvariableXcanhaveitsm.g.fandsomeorallmoments,yetthe
m.g.fdoesnotgeneratethemoments.
iii) ArandomvariableXcanhaveallorsomemoments,butm.g.fdoesnot
existexceptperhapsatonepoint.
14) Properties of M.G.F:
i) IfY=aX+b,then ( (( ( ) )) ) ( (( ( ) )) )
bt
Y X
M t e M at = == = .
ii) ( (( ( ) )) ) ( (( ( ) )) )
cX X
M t M ct = == = ,wherecisconstant.
iii) IfXandYaretwoindependentrandomvariablesthen
( (( ( ) )) ) ( (( ( ) )) ) ( (( ( ) )) )
X Y X Y
M t M t M t
+ ++ +
= = = = .
15) P.D.F,M.G.F,MeanandVarianceofallthedistributions:
Sl.
No.
Distributio
n
P.D.F ( ( ) P X x = == = )
M.G.F Mean Variance
1 Binomial x n x
x
nc p q

( (( ( ) )) )
n
t
q pe + ++ +

np npq
2 Poisson
!
x
e
x

( (( ( ) )) )
1
t
e
e

3 Geometric 1 x
q p

(or)
x
q p
1
t
t
pe
qe

1
p

2
q
p

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4 Uniform
1
,
( )
0, otherwise
a x b
f x b a

< < < < < < < <

= == =




( )
bt at
e e
b a t



2
a b + ++ +

2
( )
12
b a

5 Exponential
, 0, 0
( )
0, otherwise
x
e x
f x



> > > > > > > >
= == =



t



1


2
1


6 Gamma 1
( ) , 0 , 0
( )
x
e x
f x x




= < < > = < < > = < < > = < < >


1
(1 ) t




7 Normal
2
1
2
1
( )
2
x
f x e



| | | | | | | |
| | | |
\ \ \ \
= == =

2 2
2
t
t
e

+ ++ +

2


16) Memorylesspropertyofexponentialdistribution
( (( ( ) )) ) ( (( ( ) )) ) / P X S t X S P X t > + > = > > + > = > > + > = > > + > = > .
17) Functionofrandomvariable: ( ) ( )
Y X
dx
f y f x
dy
= == =

UNIT-II (RANDOM VARIABLES)

1) 1
ij
i j
p = == =

(Discreterandomvariable)
( , ) 1 f x y dxdy


= == =

(Continuousrandomvariable)
2) ConditionalprobabilityfunctionXgivenY { {{ { } }} }
( (( ( ) )) ) ,
/
( )
i i
P x y
P X x Y y
P y
= = = = = = = = = = = = .
ConditionalprobabilityfunctionYgivenX { {{ { } }} }
( (( ( ) )) ) ,
/
( )
i i
P x y
P Y y X x
P x
= = = = = = = = = = = = .
{ {{ { } }} }
( (( ( ) )) ) ,
/
( )
P X a Y b
P X a Y b
P Y b
< < < < < < < <
< < = < < = < < = < < =
< << <

3) ConditionaldensityfunctionofXgivenY,
( , )
( / )
( )
f x y
f x y
f y
= == = .
ConditionaldensityfunctionofYgivenX,
( , )
( / )
( )
f x y
f y x
f x
= == = .
4) IfXandYareindependentrandomvariablesthen
( , ) ( ). ( ) f x y f x f y = == = (forcontinuousrandomvariable)
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( (( ( ) )) ) ( (( ( ) )) ) ( (( ( ) )) ) , . P X x Y y P X x P Y y = = = = = = = = = = = = = = = = = = = = (fordiscreterandomvariable)
5) Jointprobabilitydensityfunction ( (( ( ) )) ) , ( , )
d b
c a
P a X b c Y d f x y dxdy = = = =

.
( (( ( ) )) )
0 0
, ( , )
b a
P X a Y b f x y dxdy < < = < < = < < = < < =


6) MarginaldensityfunctionofX, ( ) ( ) ( , )
X
f x f x f x y dy


= = = = = = = =


MarginaldensityfunctionofY, ( ) ( ) ( , )
Y
f y f y f x y dx


= = = = = = = =


7) ( 1) 1 ( 1) P X Y P X Y + = + < + = + < + = + < + = + <
8) Correlation co efficient (Discrete):
( , )
( , )
X Y
Cov X Y
x y

= == =
1
( , ) Cov X Y XY XY
n
= = = =

,
2 2
1
X
X X
n
= = = =

,
2 2
1
Y
Y Y
n
= = = =


9) Correlation co efficient (Continuous):
( , )
( , )
X Y
Cov X Y
x y

= == =
( (( ( ) )) ) ( (( ( ) )) ) ( (( ( ) )) ) ( , ) , Cov X Y E X Y E X E Y = = = = , ( )
X
Var X = == = , ( )
Y
Var Y = == =
10) IfXandYareuncorrelatedrandomvariables,then ( , ) 0 Cov X Y = == = .
11) ( (( ( ) )) ) ( ) E X xf x dx


= == =

, ( (( ( ) )) ) ( ) E Y yf y dy


= == =

, ( (( ( ) )) ) , ( , ) E X Y xyf x y dxdy


= == =

.
12) Regression for Discrete random variable:
RegressionlineXonYis ( (( ( ) )) )
xy
x x b y y = = = = ,
( (( ( ) )) ) ( (( ( ) )) )
( (( ( ) )) )
2 xy
x x y y
b
y y

= == =




RegressionlineYonXis ( (( ( ) )) )
yx
y y b x x = = = = ,
( (( ( ) )) ) ( (( ( ) )) )
( (( ( ) )) )
2 yx
x x y y
b
x x

= == =




Correlationthroughtheregression, .
XY YX
b b = = = = Note: ( , ) ( , ) x y r x y = == =

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13) Regression for Continuous random variable:
RegressionlineXonYis ( (( ( ) )) ) ( ) ( )
xy
x E x b y E y = = = = ,
x
xy
y
b r


= == =
RegressionlineYonXis ( (( ( ) )) ) ( ) ( )
yx
y E y b x E x = = = = ,
y
yx
x
b r


= == =
RegressioncurveXonYis ( (( ( ) )) ) ( (( ( ) )) ) / / x E x y x f x y dx


= = = = = = = =


RegressioncurveYonXis ( (( ( ) )) ) ( (( ( ) )) ) / / y E y x y f y x dy


= = = = = = = =


14) Transformation Random Variables:
( ) ( )
Y X
dx
f y f x
dy
= == = (Onedimensionalrandomvariable)
( , ) ( , )
UV XY
u u
x y
f u v f x y
v v
x y


= == =


(Twodimensionalrandomvariable)
15) Central limit theorem (Liapounoffs form)
IfX
1
,X
2
,X
n
beasequenceofindependentR.VswithE[X
i
]=
i
andVar(X
i
)=
i
2
,i
=1,2,nandifS
n
=X
1
+X
2
++X
n
thenundercertaingeneralconditions,S
n

followsanormaldistributionwithmean
1
n
i
i

= == =
= == =

andvariance
2 2
1
n
i
i

= == =
= == =

as
n .
16) Central limit theorem (Lindberg Levys form)
IfX
1
,X
2
,X
n
beasequenceofindependentidenticallydistributedR.VswithE[X
i
]
=
i
andVar(X
i
)=
i
2
,i=1,2,nandifS
n
=X
1
+X
2
++X
n
thenundercertain
generalconditions,S
n
followsanormaldistributionwithmean n andvariance
2
n as n .
Note:
n
S n
z
n



= == = (fornvariables),
X
z
n



= == = (forsinglevariables)
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UNIT-III (MARKOV PROCESSES AND MARKOV CHAINS)

1) Random Process:
Arandomprocessisacollectionofrandomvariables{X(s,t)}thatare
functionsofarealvariable,namelytimetwheresSandtT.

2) Classification of Random Processes:

Wecanclassifytherandomprocessaccordingtothecharacteristicsoftimet
andtherandomvariableX.WeshallconsideronlyfourcasesbasedontandX
havingvaluesintheranges-<t<and-<x<.

Continuousrandomprocess
Continuousrandomsequence
Discreterandomprocess
Discreterandomsequence
Continuous random process:
IfXandtarecontinuous,thenwecallX(t),aContinuousRandomProcess.
Example: IfX(t)representsthemaximumtemperatureataplaceinthe
interval(0,t),{X(t)}isaContinuousRandomProcess.
Continuous Random Sequence:
ArandomprocessforwhichXiscontinuousbuttimetakesonlydiscretevaluesis
calledaContinuousRandomSequence.
Example: IfX
n
representsthetemperatureattheendofthenthhourofaday,then
{X
n
,1n24}isaContinuousRandomSequence.
Discrete Random Process:
IfXassumesonlydiscretevaluesandtiscontinuous,thenwecallsuchrandom
process{X(t)}asDiscreteRandomProcess.
Example: IfX(t)representsthenumberoftelephonecallsreceivedintheinterval
(0,t)the{X(t)}isadiscreterandomprocesssinceS={0,1,2,3,...}
Discrete Random Sequence:
Arandomprocessinwhichboththerandomvariableandtimearediscreteiscalled
DiscreteRandomSequence.
Example: IfX
n
representstheoutcomeofthenthtossofafairdie,the{X
n
:n1}isa
discreterandomsequence.SinceT={1,2,3,...}andS={1,2,3,4,5,6}
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3) Condition for Stationary Process: [ [[ [ ] ]] ] ( ) Constant E X t = == = , [ [[ [ ] ]] ] ( ) constant Var X t = == = .
Iftheprocessisnotstationarythenitiscalledevolutionary.

4) Wide Sense Stationary (or) Weak Sense Stationary (or) Covariance Stationary:
ArandomprocessissaidtobeWSSorCovarianceStationaryifitsatisfiesthe
followingconditions.
i) Themeanoftheprocessisconstant(i.e) ( (( ( ) )) ) ( ) constant E X t = == = .
ii) Autocorrelationfunctiondependsonlyon (i.e)
[ [[ [ ] ]] ] ( ) ( ). ( )
XX
R E X t X t = + = + = + = +
5) Time average:
Thetimeaverageofarandomprocess { {{ { } }} } ( ) X t isdefinedas
1
( )
2
T
T
T
X X t dt
T

= == =

.
Iftheintervalis ( (( ( ) )) ) 0,T ,thenthetimeaverageis
0
1
( )
T
T
X X t dt
T
= == =

.
6) Ergodic Process:
Arandomprocess { {{ { } }} } ( ) X t iscalledergodicifallitsensembleaveragesare
interchangeablewiththecorrespondingtimeaverage
T
X .
7) Mean ergodic:
Let { {{ { } }} } ( ) X t bearandomprocesswithmean [ [[ [ ] ]] ] ( ) E X t = == = andtimeaverage
T
X ,
then { {{ { } }} } ( ) X t issaidtobemeanergodicif
T
X as T (i.e)
[ [[ [ ] ]] ] ( )
T
T
E X t Lt X

= == = .
Note:
( (( ( ) )) )
var 0
T
T
Lt X

= == = (bymeanergodictheorem)
8) Correlation ergodic process:
Thestationaryprocess { {{ { } }} } ( ) X t issaidtobecorrelationergodiciftheprocess
{ {{ { } }} } ( ) Y t ismeanergodicwhere ( ) ( ) ( ) Y t X t X t = + = + = + = + .(i.e) ( (( ( ) )) ) ( )
T
T
E Y t Lt Y

= == = .
Where
T
Y isthetimeaverageof ( ) Y t .
9) Auto covariance function:
( (( ( ) )) ) ( (( ( ) )) ) ( ) ( ) ( ) ( )
XX XX
C R E X t E X t = + = + = + = +
10) Mean and variance of time average:
Mean: [ [[ [ ] ]] ]
0
1
( )
T
T
E X E X t dt
T
( ( ( ( = == =


Variance:
2
2
1
( ) ( )
2
T
T XX XX
T
Var X R C d
T


( ( ( ( = == =




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11) Markov process:
Arandomprocessinwhichthefuturevaluedependsonlyonthepresentvalue
andnotonthepastvalues,iscalledamarkovprocess.Itissymbolically
representedby
1 1 1 1 0 0
( ) / ( ) , ( ) ... ( )
n n n n n n
P X t x X t x X t x X t x
+ + + + + + + +
= = = = = = = = = = = = ( ( ( (

1 1
( ) / ( )
n n n n
P X t x X t x
+ + + + + + + +
= = = = = = = = ( ( ( (

Where
0 1 2 1
...
n n
t t t t t
+ ++ +

12) Markov Chain:
Ifforall n,
1 1 2 2 0 0
/ , , ...
n n n n n n
P X a X a X a X a

= = = = = = = = = = = = = = = = ( ( ( (
1 1
/
n n n n
P X a X a

= = = = = = = = = = = = ( ( ( (

thentheprocess { {{ { } }} }
n
X , 0,1, 2, ... n = == = iscalledthemarkovchain.Where
0 1 2
, , , ... , ...
n
a a a a arecalledthestatesofthemarkovchain.
13) Transition Probability Matrix (tpm):
WhentheMarkovChainishomogenous,theonesteptransitionprobabilityis
denotedbyP
ij
.ThematrixP={P
ij
}iscalledtransitionprobabilitymatrix.
14) Chapman Kolmogorov theorem:
IfPisthetpmofahomogeneousMarkovchain,thenthensteptpmP
(n)
is
equaltoP
n
.(i.e)
( )
n
n
ij ij
P P ( ( ( ( = == =

.
15) Markov Chain property:If ( (( ( ) )) )
1 2 3
, , = = = = ,then P = = = = and
1 2 3
1 + + = + + = + + = + + = .
16) Poisson process:
If ( ) X t representsthenumberofoccurrencesofacertaineventin (0, ) t ,then
thediscreterandomprocess { {{ { } }} } ( ) X t iscalledthePoissonprocess,providedthe
followingpostulatesaresatisfied.

(i) [ [[ [ ] ]] ] ( (( ( ) )) ) 1 occurrence in ( , ) P t t t t O t + = + + = + + = + + = +
(ii) [ [[ [ ] ]] ] ( (( ( ) )) ) 0 occurrence in ( , ) 1 P t t t t O t + = + + = + + = + + = +
(iii) [ [[ [ ] ]] ] ( (( ( ) )) ) 2 or more occurrences in ( , ) P t t t O t + = + = + = + =
(iv) ( ) X t isindependentofthenumberofoccurrencesoftheeventinany
interval.
17) Probability law of Poisson process: { {{ { } }} }
( (( ( ) )) )
( ) , 0,1, 2, ...
!
x
t
e t
P X t x x
x



= = = = = = = = = = = =
Mean [ [[ [ ] ]] ] ( ) E X t t = == = ,
2 2 2
( ) E X t t t ( ( ( ( = + = + = + = +

, [ [[ [ ] ]] ] ( ) Var X t t = == = .

UNIT-IV (CORRELATION AND SPECTRAL DENSITY)

( (( ( ) )) )
XX
R -Autocorrelationfunction
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( (( ( ) )) )
XX
S -Powerspectraldensity(or)Spectraldensity
( (( ( ) )) )
XY
R -Crosscorrelationfunction
( (( ( ) )) )
XY
S -Crosspowerspectraldensity
1) Auto correlation to Power spectral density (spectral density):
( (( ( ) )) ) ( (( ( ) )) )
i
XX XX
S R e d





= == =


2) Power spectral density to Auto correlation:
( (( ( ) )) ) ( (( ( ) )) )
1
2
i
XX XX
R S e d





= == =


3) Condition for ( ) X t and ( ) X t + ++ + are uncorrelated random process is
[ [[ [ ] ]] ] [ [[ [ ] ]] ] ( ) ( ) ( ) ( ) 0
XX XX
C R E X t E X t = + = = + = = + = = + =
4) Cross power spectrum to Cross correlation:
( (( ( ) )) ) ( (( ( ) )) )
1
2
i
XY XY
R S e d





= == =


5) General formula:
i) ( (( ( ) )) )
2 2
cos cos sin
ax
ax
e
e bx dx a bx b bx
a b
= + = + = + = +
+ ++ +


ii) ( (( ( ) )) )
2 2
sin sin cos
ax
ax
e
e bx dx a bx b bx
a b
= = = =
+ ++ +


iii)
2
2
2
2 4
a a
x ax x
| | | | | | | |
+ = + + = + + = + + = +
| | | |
\ \ \ \

iv) sin
2
i i
e e
i




= == =
v) cos
2
i i
e e



+ ++ +
= == =

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UNIT-V (LINEAR SYSTEMS WITH RANDOM INPUTS)

1) Linear system:
f iscalledalinearsystemifitsatisfies
( (( ( ) )) ) ( (( ( ) )) )
1 1 2 2 1 1 2 2
( ) ( ) ( ) ( ) f a X t a X t a f X t a f X t = = = = ( ( ( (


2) Time invariant system:
Let ( (( ( ) )) ) ( ) ( ) Y t f X t = == = .If ( (( ( ) )) ) ( ) ( ) Y t h f X t h + = + + = + + = + + = + then f iscalledatime
invariantsystem.
3) Relation between input ( ) X t and output ( ) Y t :
( ) ( ) ( ) Y t h u X t u du


= = = =


Where ( ) h u systemweightingfunction.
4) Relation between power spectrum of ( ) X t and output ( ) Y t :
2
( ) ( ) ( )
YY XX
S S H = == =
If ( ) H isnotgivenusethefollowingformula ( ) ( )
j t
H e h t dt





= == =


5) Contour integral:
2 2
imx
m a
e
e
a x a




= == =
+ ++ +

(Oneoftheresult)
6)
1
2 2
1
2
a
e
F
a a





= == =
` ` ` `
+ ++ +
) ) ) )
(fromtheFouriertransform)
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