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Discrete Random Variables: Scott Sheffield

This document outlines a lecture on discrete random variables. It defines random variables as functions from the state space of an experiment to real numbers. It discusses probability mass functions, which give the probability that a discrete random variable takes on particular values. It also covers indicator random variables, independence of events, and using recursions with random variables.

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0% found this document useful (0 votes)
36 views52 pages

Discrete Random Variables: Scott Sheffield

This document outlines a lecture on discrete random variables. It defines random variables as functions from the state space of an experiment to real numbers. It discusses probability mass functions, which give the probability that a discrete random variable takes on particular values. It also covers indicator random variables, independence of events, and using recursions with random variables.

Uploaded by

Ed Z
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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18.

600: Lecture 8
Discrete random variables

Scott Sheffield

MIT
Outline

Defining random variables

Probability mass function and distribution function

Recursions
Outline

Defining random variables

Probability mass function and distribution function

Recursions
Random variables

I A random variable X is a function from the state space to the


real numbers.
Random variables

I A random variable X is a function from the state space to the


real numbers.
I Can interpret X as a quantity whose value depends on the
outcome of an experiment.
Random variables

I A random variable X is a function from the state space to the


real numbers.
I Can interpret X as a quantity whose value depends on the
outcome of an experiment.
I Example: toss n coins (so state space consists of the set of all
2n possible coin sequences) and let X be number of heads.
Random variables

I A random variable X is a function from the state space to the


real numbers.
I Can interpret X as a quantity whose value depends on the
outcome of an experiment.
I Example: toss n coins (so state space consists of the set of all
2n possible coin sequences) and let X be number of heads.
I Question: What is P{X = k} in this case?
Random variables

I A random variable X is a function from the state space to the


real numbers.
I Can interpret X as a quantity whose value depends on the
outcome of an experiment.
I Example: toss n coins (so state space consists of the set of all
2n possible coin sequences) and let X be number of heads.
I Question: What is P{X = k} in this case?
Answer: kn /2n , if k {0, 1, 2, . . . , n}.

I
Independence of multiple events

I In n coin toss example, knowing the values of some coin


tosses tells us nothing about the others.
Independence of multiple events

I In n coin toss example, knowing the values of some coin


tosses tells us nothing about the others.
I Say E1 . . . En are independent if for each
{i1 , i2 , . . . , ik } {1, 2, . . . n} we have
P(Ei1 Ei2 . . . Eik ) = P(Ei1 )P(Ei2 ) . . . P(Eik ).
Independence of multiple events

I In n coin toss example, knowing the values of some coin


tosses tells us nothing about the others.
I Say E1 . . . En are independent if for each
{i1 , i2 , . . . , ik } {1, 2, . . . n} we have
P(Ei1 Ei2 . . . Eik ) = P(Ei1 )P(Ei2 ) . . . P(Eik ).
I In other words, the product rule works.
Independence of multiple events

I In n coin toss example, knowing the values of some coin


tosses tells us nothing about the others.
I Say E1 . . . En are independent if for each
{i1 , i2 , . . . , ik } {1, 2, . . . n} we have
P(Ei1 Ei2 . . . Eik ) = P(Ei1 )P(Ei2 ) . . . P(Eik ).
I In other words, the product rule works.
I Independence implies P(E1 E2 E3 |E4 E5 E6 ) =
P(E1 )P(E2 )P(E3 )P(E4 )P(E5 )P(E6 )
P(E4 )P(E5 )P(E6 ) = P(E1 E2 E3 ), and other similar
statements.
Independence of multiple events

I In n coin toss example, knowing the values of some coin


tosses tells us nothing about the others.
I Say E1 . . . En are independent if for each
{i1 , i2 , . . . , ik } {1, 2, . . . n} we have
P(Ei1 Ei2 . . . Eik ) = P(Ei1 )P(Ei2 ) . . . P(Eik ).
I In other words, the product rule works.
I Independence implies P(E1 E2 E3 |E4 E5 E6 ) =
P(E1 )P(E2 )P(E3 )P(E4 )P(E5 )P(E6 )
P(E4 )P(E5 )P(E6 ) = P(E1 E2 E3 ), and other similar
statements.
I Does pairwise independence imply independence?
Independence of multiple events

I In n coin toss example, knowing the values of some coin


tosses tells us nothing about the others.
I Say E1 . . . En are independent if for each
{i1 , i2 , . . . , ik } {1, 2, . . . n} we have
P(Ei1 Ei2 . . . Eik ) = P(Ei1 )P(Ei2 ) . . . P(Eik ).
I In other words, the product rule works.
I Independence implies P(E1 E2 E3 |E4 E5 E6 ) =
P(E1 )P(E2 )P(E3 )P(E4 )P(E5 )P(E6 )
P(E4 )P(E5 )P(E6 ) = P(E1 E2 E3 ), and other similar
statements.
I Does pairwise independence imply independence?
I No. Consider these three events: first coin heads, second coin
heads, odd number heads. Pairwise independent, not
independent.
Examples

I Shuffle n cards, and let X be the position of the jth card.


State space consists of all n! possible orderings. X takes
values in {1, 2, . . . , n} depending on the ordering.
Examples

I Shuffle n cards, and let X be the position of the jth card.


State space consists of all n! possible orderings. X takes
values in {1, 2, . . . , n} depending on the ordering.
I Question: What is P{X = k} in this case?
Examples

I Shuffle n cards, and let X be the position of the jth card.


State space consists of all n! possible orderings. X takes
values in {1, 2, . . . , n} depending on the ordering.
I Question: What is P{X = k} in this case?
I Answer: 1/n, if k {1, 2, . . . , n}.
Examples

I Shuffle n cards, and let X be the position of the jth card.


State space consists of all n! possible orderings. X takes
values in {1, 2, . . . , n} depending on the ordering.
I Question: What is P{X = k} in this case?
I Answer: 1/n, if k {1, 2, . . . , n}.
I Now say we roll three dice and let Y be sum of the values on
the dice. What is P{Y = 5}?
Examples

I Shuffle n cards, and let X be the position of the jth card.


State space consists of all n! possible orderings. X takes
values in {1, 2, . . . , n} depending on the ordering.
I Question: What is P{X = k} in this case?
I Answer: 1/n, if k {1, 2, . . . , n}.
I Now say we roll three dice and let Y be sum of the values on
the dice. What is P{Y = 5}?
I 6/216
Indicators

I Given any event E , can define an indicator random variable,


i.e., let X be random variable equal to 1 on the event E and 0
otherwise. Write this as X = 1E .
Indicators

I Given any event E , can define an indicator random variable,


i.e., let X be random variable equal to 1 on the event E and 0
otherwise. Write this as X = 1E .
I The value of 1E (either 1 or 0) indicates whether the event
has occurred.
Indicators

I Given any event E , can define an indicator random variable,


i.e., let X be random variable equal to 1 on the event E and 0
otherwise. Write this as X = 1E .
I The value of 1E (either 1 or 0) indicates whether the event
has occurred.
If E1 , E2 , . . . Ek are events then X = ki=1 1Ei is the number
P
I
of these events that occur.
Indicators

I Given any event E , can define an indicator random variable,


i.e., let X be random variable equal to 1 on the event E and 0
otherwise. Write this as X = 1E .
I The value of 1E (either 1 or 0) indicates whether the event
has occurred.
If E1 , E2 , . . . Ek are events then X = ki=1 1Ei is the number
P
I
of these events that occur.
I Example: in n-hat shuffle problem, let Ei be the event ith
person gets own hat.
Indicators

I Given any event E , can define an indicator random variable,


i.e., let X be random variable equal to 1 on the event E and 0
otherwise. Write this as X = 1E .
I The value of 1E (either 1 or 0) indicates whether the event
has occurred.
If E1 , E2 , . . . Ek are events then X = ki=1 1Ei is the number
P
I
of these events that occur.
I Example: in n-hat shuffle problem, let Ei be the event ith
person gets own hat.
Then ni=1 1Ei is total number of people who get own hats.
P
I
Indicators

I Given any event E , can define an indicator random variable,


i.e., let X be random variable equal to 1 on the event E and 0
otherwise. Write this as X = 1E .
I The value of 1E (either 1 or 0) indicates whether the event
has occurred.
If E1 , E2 , . . . Ek are events then X = ki=1 1Ei is the number
P
I
of these events that occur.
I Example: in n-hat shuffle problem, let Ei be the event ith
person gets own hat.
Then ni=1 1Ei is total number of people who get own hats.
P
I

I Writing random variable as sum of indicators: frequently


useful, sometimes confusing.
Outline

Defining random variables

Probability mass function and distribution function

Recursions
Outline

Defining random variables

Probability mass function and distribution function

Recursions
Probability mass function

I Say X is a discrete random variable if (with probability one)


it takes one of a countable set of values.
Probability mass function

I Say X is a discrete random variable if (with probability one)


it takes one of a countable set of values.
I For each a in this countable set, write p(a) := P{X = a}.
Call p the probability mass function.
Probability mass function

I Say X is a discrete random variable if (with probability one)


it takes one of a countable set of values.
I For each a in this countable set, write p(a) := P{X = a}.
Call p the probability mass function.
I For the cumulative distribution
P function, write
F (a) = P{X a} = xa p(x).
Probability mass function

I Say X is a discrete random variable if (with probability one)


it takes one of a countable set of values.
I For each a in this countable set, write p(a) := P{X = a}.
Call p the probability mass function.
I For the cumulative distribution
P function, write
F (a) = P{X a} = xa p(x).
I Example: Let T1 , T2 , T3 , . . . be sequence of independent fair
coin tosses (each taking values in {H, T }) and let X be the
smallest j for which Tj = H.
Probability mass function

I Say X is a discrete random variable if (with probability one)


it takes one of a countable set of values.
I For each a in this countable set, write p(a) := P{X = a}.
Call p the probability mass function.
I For the cumulative distribution
P function, write
F (a) = P{X a} = xa p(x).
I Example: Let T1 , T2 , T3 , . . . be sequence of independent fair
coin tosses (each taking values in {H, T }) and let X be the
smallest j for which Tj = H.
I What is p(k) = P{X = k} (for k Z) in this case?
Probability mass function

I Say X is a discrete random variable if (with probability one)


it takes one of a countable set of values.
I For each a in this countable set, write p(a) := P{X = a}.
Call p the probability mass function.
I For the cumulative distribution
P function, write
F (a) = P{X a} = xa p(x).
I Example: Let T1 , T2 , T3 , . . . be sequence of independent fair
coin tosses (each taking values in {H, T }) and let X be the
smallest j for which Tj = H.
I What is p(k) = P{X = k} (for k Z) in this case?
I p(k) = (1/2)k
Probability mass function

I Say X is a discrete random variable if (with probability one)


it takes one of a countable set of values.
I For each a in this countable set, write p(a) := P{X = a}.
Call p the probability mass function.
I For the cumulative distribution
P function, write
F (a) = P{X a} = xa p(x).
I Example: Let T1 , T2 , T3 , . . . be sequence of independent fair
coin tosses (each taking values in {H, T }) and let X be the
smallest j for which Tj = H.
I What is p(k) = P{X = k} (for k Z) in this case?
I p(k) = (1/2)k
I What about FX (k)?
Probability mass function

I Say X is a discrete random variable if (with probability one)


it takes one of a countable set of values.
I For each a in this countable set, write p(a) := P{X = a}.
Call p the probability mass function.
I For the cumulative distribution
P function, write
F (a) = P{X a} = xa p(x).
I Example: Let T1 , T2 , T3 , . . . be sequence of independent fair
coin tosses (each taking values in {H, T }) and let X be the
smallest j for which Tj = H.
I What is p(k) = P{X = k} (for k Z) in this case?
I p(k) = (1/2)k
I What about FX (k)?
I 1 (1/2)k
Another example

I Another example: let X be non-negative integer such that


p(k) = P{X = k} = e k /k!.
Another example

I Another example: let X be non-negative integer such that


p(k) = P{X = k} = e k /k!.
Recall Taylor expansion k
P
k=0 /k! = e .
I
Another example

I Another example: let X be non-negative integer such that


p(k) = P{X = k} = e k /k!.
Recall Taylor expansion k
P
k=0 /k! = e .
I

I In this example, X is called a Poisson random variable with


intensity .
Another example

I Another example: let X be non-negative integer such that


p(k) = P{X = k} = e k /k!.
Recall Taylor expansion k
P
k=0 /k! = e .
I

I In this example, X is called a Poisson random variable with


intensity .
I Question: what is the state space in this example?
Another example

I Another example: let X be non-negative integer such that


p(k) = P{X = k} = e k /k!.
Recall Taylor expansion k
P
k=0 /k! = e .
I

I In this example, X is called a Poisson random variable with


intensity .
I Question: what is the state space in this example?
I Answer: Didnt specify. One possibility would be to define
state space as S = {0, 1, 2, . . .} and define X (as a function
on S) by X (j) = j. ThePprobability function would be
determined by P(S) = kS e k /k!.
Another example

I Another example: let X be non-negative integer such that


p(k) = P{X = k} = e k /k!.
Recall Taylor expansion k
P
k=0 /k! = e .
I

I In this example, X is called a Poisson random variable with


intensity .
I Question: what is the state space in this example?
I Answer: Didnt specify. One possibility would be to define
state space as S = {0, 1, 2, . . .} and define X (as a function
on S) by X (j) = j. ThePprobability function would be
determined by P(S) = kS e k /k!.
I Are there other choices of S and P and other functions X
from S to P for which the values of P{X = k} are the
same?
Another example

I Another example: let X be non-negative integer such that


p(k) = P{X = k} = e k /k!.
Recall Taylor expansion k
P
k=0 /k! = e .
I

I In this example, X is called a Poisson random variable with


intensity .
I Question: what is the state space in this example?
I Answer: Didnt specify. One possibility would be to define
state space as S = {0, 1, 2, . . .} and define X (as a function
on S) by X (j) = j. ThePprobability function would be
determined by P(S) = kS e k /k!.
I Are there other choices of S and P and other functions X
from S to P for which the values of P{X = k} are the
same?
I Yes. X is a Poisson random variable with intensity is
statement only about the probability mass function of X .
Outline

Defining random variables

Probability mass function and distribution function

Recursions
Outline

Defining random variables

Probability mass function and distribution function

Recursions
Using Bayes rule to set up recursions
I Gambler one has positive integer m dollars, gambler two has
positive integer n dollars. Take turns making one dollar bets
until one runs out of money. What is probability first gambler
runs out of money first?
Using Bayes rule to set up recursions
I Gambler one has positive integer m dollars, gambler two has
positive integer n dollars. Take turns making one dollar bets
until one runs out of money. What is probability first gambler
runs out of money first?
I n/(m + n)
Using Bayes rule to set up recursions
I Gambler one has positive integer m dollars, gambler two has
positive integer n dollars. Take turns making one dollar bets
until one runs out of money. What is probability first gambler
runs out of money first?
I n/(m + n)
I Gamblers ruin: what if gambler one has an unlimited
amount of money?
Using Bayes rule to set up recursions
I Gambler one has positive integer m dollars, gambler two has
positive integer n dollars. Take turns making one dollar bets
until one runs out of money. What is probability first gambler
runs out of money first?
I n/(m + n)
I Gamblers ruin: what if gambler one has an unlimited
amount of money?
I Wins eventually with probability one.
Using Bayes rule to set up recursions
I Gambler one has positive integer m dollars, gambler two has
positive integer n dollars. Take turns making one dollar bets
until one runs out of money. What is probability first gambler
runs out of money first?
I n/(m + n)
I Gamblers ruin: what if gambler one has an unlimited
amount of money?
I Wins eventually with probability one.
I Problem of points: in sequence of independent fair coin
tosses, what is probability Pn,m to see n heads before seeing m
tails?
Using Bayes rule to set up recursions
I Gambler one has positive integer m dollars, gambler two has
positive integer n dollars. Take turns making one dollar bets
until one runs out of money. What is probability first gambler
runs out of money first?
I n/(m + n)
I Gamblers ruin: what if gambler one has an unlimited
amount of money?
I Wins eventually with probability one.
I Problem of points: in sequence of independent fair coin
tosses, what is probability Pn,m to see n heads before seeing m
tails?
I Observe: Pn,m is equivalent to the probability of having n or
more heads in first m + n 1 trials.
Using Bayes rule to set up recursions
I Gambler one has positive integer m dollars, gambler two has
positive integer n dollars. Take turns making one dollar bets
until one runs out of money. What is probability first gambler
runs out of money first?
I n/(m + n)
I Gamblers ruin: what if gambler one has an unlimited
amount of money?
I Wins eventually with probability one.
I Problem of points: in sequence of independent fair coin
tosses, what is probability Pn,m to see n heads before seeing m
tails?
I Observe: Pn,m is equivalent to the probability of having n or
more heads in first m + n 1 trials.
Probability of exactly n heads in m + n 1 trials is m+n1

I
n .
Using Bayes rule to set up recursions
I Gambler one has positive integer m dollars, gambler two has
positive integer n dollars. Take turns making one dollar bets
until one runs out of money. What is probability first gambler
runs out of money first?
I n/(m + n)
I Gamblers ruin: what if gambler one has an unlimited
amount of money?
I Wins eventually with probability one.
I Problem of points: in sequence of independent fair coin
tosses, what is probability Pn,m to see n heads before seeing m
tails?
I Observe: Pn,m is equivalent to the probability of having n or
more heads in first m + n 1 trials.
Probability of exactly n heads in m + n 1 trials is m+n1

I
n .
I Famous correspondence by Fermat and Pascal. Led Pascal to
write Le Triangle Arithmetique.

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