3 PDF

Random Variables Discrete Probability Distributions Continuous Random Variables
Lecture 3: Probability Distributions and

Probability Densities - 1
Assist. Prof. Dr. Emel YAVUZ DUMAN
MCB1007 Introduction to Probability and Statistics

İstanbul Kültür University
Outline
1 Random Variables
2 Discrete Probability Distributions
3 Continuous Random Variables

Outline
1 Random Variables

Definition 1
If S is a sample space with a probability measure and X is a
real-valued function defined over the elements of S, then X is
called a random variable (or stochastic variable).
Definition 1
If S is a sample space with a probability measure and X is a
real-valued function defined over the elements of S, then X is
called a random variable (or stochastic variable).
In this course we shall always denote random variables by capital
letters such as X , Y etc., and their values by the corresponding
lowercase letters such as x and y , respectively.
Example 2
Suppose that a coin is tossed twice so that the sample space is
S = {HH, HT , TH, TT }. Let X represent the number of heads
that can come up.
Example 2
that can come up. With each sample point we can associate a
number for X as shown in the table:
Example 2
Sample Point HH HT TH TT
1 1 1 1
Probability 4 4 4 4
x 2 1 1 0
Example 2
1 1 1 1
Probability 4 4 4 4
x 2 1 1 0
Thus, for example, in the case of HH (i.e., 2 heads), X = 2 while

for TH (1 head), X = 1. It follows that X is a random variable.
Example 2
1 1 1 1
Probability 4 4 4 4
x 2 1 1 0
Thus, for example, in the case of HH (i.e., 2 heads), X = 2 while

for TH (1 head), X = 1. It follows that X is a random variable.
Also, we can write P(X = 2) = 14 , P(X = 1) = 14 + 14 = 12 , and
P(X = 0) = 14 .
Example 3
A balanced coin is tossed four times. List the elements of the

sample space that are presumed to be equally likely, as this is what
we mean by a coin being balanced, and the corresponding values x
of the random variable X , the total number of heads.
Example 3

Solution. If H and T stand for heads and tails, the results are as
shown in the following table:
Example 3

Solution. If H and T stand for heads and tails, the results are as
shown in the following table:
Elements of Proba- Elements of Proba-

sample space bility x sample space bility x
1 1
HHHH 16 4 THHT 16 2
1 1
HHHT 16 3 THTH 16 2
1 1
HHTH 16 3 TTHH 16 2
1 1
HTHH 16 3 HTTT 16 1
1 1
THHH 16 3 THTT 16 1
1 1
HHTT 16 2 TTHT 16 1
1 1
HTHT 16 2 TTTH 16 1
1 1
HTTH 16 2 TTTT 16 0
Elements of Proba- Elements of Proba-

sample space bility x sample space bility x
1 1
HHHH 16 4 THHT 16 2
1 1
HHHT 16 3 THTH 16 2
1 1
HHTH 16 3 TTHH 16 2
1 1
HTHH 16 3 HTTT 16 1
1 1
THHH 16 3 THTT 16 1
1 1
HHTT 16 2 TTHT 16 1
1 1
HTHT 16 2 TTTH 16 1
1 1
HTTH 16 2 TTTT 16 0
1 4
Thus, we can write P(X = 0) = 16 , P(X = 1) = 16 ,
6 4 1
P(X = 2) = 16 , P(X = 3) = 16 and P(X = 4) = 16 .
Example 4
Two socks are selected at random and removed in succession from

a drawer containing five brown socks and three green socks. List
the elements of the sample space, the corresponding probabilities,
and the corresponding values x of the random variable X is the
number of brown socks selected.
Example 4

Solution. If B and G stand for brown and green, then we have
following probabilities
5 4 20 5 3 15
P(BB) = · = , P(BG ) = · = ,
8 7 56 8 7 56
3 5 15 3 2 6
P(GB) = · = , and P(GG ) = · = ,
8 7 56 8 7 56
Example 4

Solution. If B and G stand for brown and green, then we have
following probabilities
5 4 20 5 3 15
P(BB) = · = , P(BG ) = · = ,
8 7 56 8 7 56
3 5 15 3 2 6
P(GB) = · = , and P(GG ) = · = ,
8 7 56 8 7 56
and the results are shown in the following table:
Elements of Sample Space BB BG GB GG
Probability 20/56 15/56 15/56 6/56
x 2 1 1 0
In all of the examples of this section we have limited our discussion

to discrete sample space, and hence to discrete random variable,
namely, random variables whose range is finite or countably
infinite. Continuous random variables defined over continuous
sample spaces will be taken up in the third section.
Outline
1 Random Variables

Definition 5
If X is a discrete random variable, the function given by
f (x) = P(X = x)
for each x within the range of X is called the probability

distribution (or probability function) of X .
Definition 5
f (x) = P(X = x)

Based on the postulates of probability, it immediately follows that

Theorem 6
A function can serve as the probability distribution of a discrete
random variable X if and only if its values, f (x), satisfy the
conditions
Definition 5
f (x) = P(X = x)


Theorem 6
conditions
1 f (x) ≥ 0 for each value within its domains;
Definition 5
f (x) = P(X = x)


Theorem 6
conditions
1 f (x) ≥ 0 for each value within its domains;

x f (x) = 1, where the summation extends over all the
2
values within its domain.

Example 7
Find a formula for the probability distribution of the total number
of heads obtained in four tosses of a balanced coin.
Example 7
1 4
Solution. We know that P(X = 0) = 16 , P(X = 1) = 16 ,
6 4 1
P(X = 2) = 16 , P(X = 3) = 16 and P(X = 4) = 16 .
Example 7
1 4
6 4 1
P(X = 2) = 16 , P(X = 3) = 16 and P(X = 4) = 16 . Observing
that the numerators of these
4 five
4 fractions,
4 4 1, 4,46, 4, and 1, are
the binomial coefficients 0 , 1 , 2 , 3 , and 4 , we find that
the formula for the probability distribution can be written as
Example 7
1 4
6 4 1
P(X = 2) = 16 , P(X = 3) = 16 and P(X = 4) = 16 . Observing
that the numerators of these
4 five
4 fractions,
4 4 1, 4,46, 4, and 1, are
the binomial coefficients 0 , 1 , 2 , 3 , and 4 , we find that
the formula for the probability distribution can be written as
4
x
f (x) = for x = 0, 1, 2, 3, 4.
16
Example 8
Check whether the function given by
x +2
f (x) = for x = 1, 2, 3, 4, 5
25
can serve as the probability distribution of a discrete random
variable.
Example 8
x +2
f (x) = for x = 1, 2, 3, 4, 5
25
variable.
3
Solution. Substituting the different values of x, we get f (1) = 25 ,
4 5 6 7
f (2) = 25 , f (3) = 25 , f (4) = 25 , and f (5) = 25 .
Example 8
x +2
f (x) = for x = 1, 2, 3, 4, 5
25
variable.
3
4 5 6 7
f (2) = 25 , f (3) = 25 , f (4) = 25 , and f (5) = 25 . Since these
values are all nonnegative, the first condition of Theorem 6 is
satisfied,
Example 8
x +2
f (x) = for x = 1, 2, 3, 4, 5
25
variable.
3
4 5 6 7
satisfied, and since
3 4 5 6 7
f (1) + f (2) + f (3) + f (4) + f (5) = + + + + =1
25 25 25 25 25
the second conditions of Theorem 6 is satisfied.
Example 8
x +2
f (x) = for x = 1, 2, 3, 4, 5
25
variable.
3
4 5 6 7
satisfied, and since
3 4 5 6 7
f (1) + f (2) + f (3) + f (4) + f (5) = + + + + =1
25 25 25 25 25
the second conditions of Theorem 6 is satisfied. Thus, the given
function can serve as the probability distribution of a random
variable having the range {1, 2, 3, 4, 5}.
Example 9
Suppose that a pair of fair dice are to be tossed, and let the
random variable X denote the sum of the points. Obtain the
probability distribution for X .
Example 9
Suppose that a pair of fair dice are to be tossed, and let the
random variable X denote the sum of the points. Obtain the
probability distribution for X .
Solution. The random variable X is the sum of the coordinates for

each point. Thus for (3, 2) we have X = 5. Using the fact that all
36 sample points are equally probable, so that each sample point
has probability 1/36.
First Die
Second
Die
The one is red is the sum

x 2 3 4 5 6 7 8 9 10 11 12
1 2 3 4 5 6 5 4 3 2 1
f (x) 36 36 36 36 36 36 36 36 36 36 36
Figure 1 : Probability Bar Chart

Definition 10

F (x) = P(X ≤ x) = f (t) for − ∞ < x < ∞
t≤x
where f (t) is the value of the probability distribution of X at t, is

called the distribution function, or the cumulative distribution, of
X.
Based on the postulates of probability and some of their immediate

consequences, it follows that

Theorem 11
The values F (x) of the distribution function of a discrete random
variable X satisfy the conditions

Theorem 11
1 F (−∞) = 0 and F (∞) = 1;

Theorem 11
1 F (−∞) = 0 and F (∞) = 1;
2 if a < b, then F (a) ≤ F (b) for any real numbers a and b.

Theorem 11
1 F (−∞) = 0 and F (∞) = 1;
2 if a < b, then F (a) ≤ F (b) for any real numbers a and b.
If we are given the probability distribution of a discrete random

variable, the corresponding distribution function is generally easy
to find.
Example 12
Find the distribution function of the total of heads obtained in four
tosses of a balanced coin.
Example 12
Find the distribution function of the total of heads obtained in four
tosses of a balanced coin.
1 4 6 4
Solution. Given f (0) = 16 , f (1) = 16 , f (2) = 16 , f (3) = 16 , and
1
f (4) = 16 from Example 3, it follows that
1
F (0) = f (0) = ,
16
5
F (1) = f (0) + f (1) = ,
16
11
F (2) = f (0) + f (1) + f (2) = ,
16
15
F (3) = f (0) + f (1) + f (2) + f (3) = ,
16
F (4) = f (0) + f (1) + f (2) + f (3) + f (4) = 1.
Hence, the distribution function is given by

⎧
⎪
⎪ 0 for x < 0,
⎪
⎪
⎪
⎪1 0 ≤ x < 1,
⎪
⎪ for
⎪
⎨5
16
for 1 ≤ x < 2,
F (x) = 16
⎪
⎪
11
for 2 ≤ x < 3,
⎪
⎪ 16
⎪
⎪ 15
3 ≤ x < 4,
⎪
⎪ 16 for
⎪
⎩1 for x ≥ 4.
Hence, the distribution function is given by

⎧
⎪
⎪ 0 for x < 0,
⎪
⎪
⎪
⎪1 0 ≤ x < 1,
⎪
⎪ for
⎪
⎨5
16
for 1 ≤ x < 2,
F (x) = 16
⎪
⎪
11
for 2 ≤ x < 3,
⎪
⎪ 16
⎪
⎪ 15
3 ≤ x < 4,
⎪
⎪ 16 for
⎪
⎩1 for x ≥ 4.
Observe that this distribution function is defined not only for the
values taken on by the given random variable, but for all real
5
numbers. For instance, we can write F (1.7) = 16 and F (100) = 1,
although the probabilities of getting at most 1.7 heads or at most
100 heads in four tosses of a balanced coin may not be of any real
significance.
Example 13
Find the distribution function of the random variable X of Example
4 and plot its graph.
Example 13
Solution. Based on the probabilities given in the following table

Probability 20/56 15/56 15/56 6/56
x 2 1 1 0
Example 13

Probability 20/56 15/56 15/56 6/56
x 2 1 1 0
6 15 15 30 20
we can write f (0) = 56 , f (1) = 56 + 56 = 56 , and f (2) = 56 ,
Example 13

Probability 20/56 15/56 15/56 6/56
x 2 1 1 0
6 15 15 30 20
we can write f (0) = 56 , f (1) = 56 + 56 = 56 , and f (2) = 56 , so
that
6
F (0) = f (0) = ,
56
36
F (1) = f (0) + f (1) = ,
56
F (2) = f (0) + f (1) + f (2) = 1.
Hence, the distribution function of X is given by

⎧
⎪
⎪ 0 for x < 0,
⎪
⎪
⎨6 for 0 ≤ x < 1,
F (x) = 56
⎪
⎪
36
for 1 ≤ x < 2,
⎪ 56
⎪
⎩1 for x ≥ 2.
Hence, the distribution function of X is given by

⎧
⎪
⎪ 0 for x < 0,
⎪
⎪
⎨6 for 0 ≤ x < 1,
F (x) = 56
⎪
⎪
36
for 1 ≤ x < 2,
⎪ 56
⎪
⎩1 for x ≥ 2.
F (x)
36/56
6/56
x
0 1 2
Example 14
Find the distribution function of the random variable that has the
probability distribution
x
f (x) = for x = 1, 2, 3, 4, 5.
15
Example 14
Find the distribution function of the random variable that has the
probability distribution
x
f (x) = for x = 1, 2, 3, 4, 5.
15
1 2 3 4
Solution. Since f (1) = 15 , f (2) = 15 , f (3) = 15 , f (4) = 15 , and
5
f (5) = 15 , then
⎧
⎪
⎪ 0 for x < 1,
⎪
⎪
⎪
⎪ 1
1 ≤ x < 2,
⎪
⎪ for
⎪
⎨3
15
15 for 2 ≤ x < 3,
F (x) =
⎪
⎪
6
for 3 ≤ x < 4,
⎪
⎪ 15
⎪ 10
⎪ 4 ≤ x < 5,
⎪
⎪ for
⎪
⎩1
15
for x ≥5
Theorem 15
If the range of a random variable X consists of the values
x1 < x2 < x3 < · · · < xn , then f (x1 ) = F (x1 ) and
f (xi ) = F (xi ) − F (xi −1 ) for i = 2, 3, · · · , n.

Example 16
If X has the distribution function F (1) = 0.25, F (2) = 0.61,
F (3) = 0.83, and F (4) = 1 for x = 1, 2, 3, 4, find the probability
distribution of X .
Example 16
If X has the distribution function F (1) = 0.25, F (2) = 0.61,
F (3) = 0.83, and F (4) = 1 for x = 1, 2, 3, 4, find the probability
distribution of X .
Solution. We have
f (1) = F (1) = 0.25,
f (2) = F (2) − F (1) = 0.61 − 0.25 = 0.36,
f (3) = F (3) − F (2) = 0.83 − 0.61 = 0.22,
f (4) = F (4) − F (3) = 1 − 0.83 = 0.17.
Example 17
If X has the distribution function
⎧
⎪
⎪ 0 for x < −1,
⎪
⎪
⎪
⎪ 1
− 1 ≤ x < 1,
⎨ 4 for
F (x) = 12 for 1 ≤ x < 3,
⎪
⎪
⎪ 3 for
⎪ 3 ≤ x < 5,
⎪
⎪ 4
⎩
1 for x ≥ 5.
find
1 P(X ≤ 3), P(X = 3), P(X < 3);
2 P(X ≥ 1);
3 P(−0.4 < X < 4);
4 P(X = 5);
5 the probability distribution of X .
⎧
⎪
⎪0 for x < −1,
⎪
⎪
⎪
⎪ 1
for − 1 ≤ x < 1,
⎨4
F (x) = 1
for 1 ≤ x < 3,
⎪
⎪
2
⎪
⎪ 3
for 3 ≤ x < 5,
⎪
⎪ 4
⎩
1 for x ≥ 5.
Solution.
1
3
P(X ≤ 3) =
4
3 1 1
P(X = 3) = − =
4 2 4
1
P(X < 3) =
2
⎧
⎪
⎪0 for x < −1,
⎪
⎪
⎪
⎪ 1
for − 1 ≤ x < 1,
⎨4
F (x) = 1
for 1 ≤ x < 3,
⎪
⎪
2
⎪
⎪ 3
for 3 ≤ x < 5,
⎪
⎪ 4
⎩
1 for x ≥ 5.
2 P(X ≥ 1) = 1 − P(X < 1) = 1 − 1

4 = 34 .
⎧
⎪
⎪0 for x < −1,
⎪
⎪
⎪
⎪ 1
for − 1 ≤ x < 1,
⎨4
F (x) = 1
for 1 ≤ x < 3,
⎪
⎪
2
⎪
⎪ 3
for 3 ≤ x < 5,
⎪
⎪ 4
⎩
1 for x ≥ 5.
2 P(X ≥ 1) = 1 − P(X < 1) = 1 − 1

4 = 34 .
3 P(−0.4 < X < 4) = 3
4 − 1
4 = 12 .
⎧
⎪
⎪0 for x < −1,
⎪
⎪
⎪
⎪ 1
for − 1 ≤ x < 1,
⎨4
F (x) = 1
for 1 ≤ x < 3,
⎪
⎪
2
⎪
⎪ 3
for 3 ≤ x < 5,
⎪
⎪ 4
⎩
1 for x ≥ 5.
2 P(X ≥ 1) = 1 − P(X < 1) = 1 − 1

4 = 34 .
3 P(−0.4 < X < 4) = 4 − 4
3 1
= 12 .
4 P(X = 5) = 1 − 3 1
4 = 4.
⎧
⎪
⎪0 for x < −1,
⎪
⎪
⎪
⎪ 1
for − 1 ≤ x < 1,
⎨4
F (x) = 1
for 1 ≤ x < 3,
⎪
⎪
2
⎪
⎪ 3
for 3 ≤ x < 5,
⎪
⎪ 4
⎩
1 for x ≥ 5.
2 P(X ≥ 1) = 1 − P(X < 1) = 1 − 1

4 = 34 .
3 P(−0.4 < X < 4) = 4 − 4 = 2.
3 1 1
4 P(X = 5) = 1 − 34 = 14 .
5 f (−1) = 14 , f (1) = 12 − 14 = 14 , f (3) = 3
4 − 1
2 = 14 ,
f (5) = 1 − 34 = 14 , and 0 elsewhere.
Outline
1 Random Variables

Continuous Random Variables
So far we have considered discrete random variables that can take

on a finite or countably infinite number of values.

on a finite or countably infinite number of values. In applications,
we are often interested in random variables that can take on an
uncountable continuum of values; we call these continuous random
variables.

variables.
Consider modeling the distribution of the age that a person dies at.
Age of death, measured perfectly with all the decimals and no
rounding, is a continuous random variable (e.g., age of death could
be 87.3248583585642 years).

variables.
be 87.3248583585642 years). Other examples of continuous
random variables include: time until the occurrence of the next
earthquake in İstanbul;

variables.
earthquake in İstanbul; the lifetime of a battery;

variables.
earthquake in İstanbul; the lifetime of a battery; the annual rainfall
in Ankara.
Because it can take on so many different values, each value of a

continuous random variable winds up having probability zero.

continuous random variable winds up having probability zero. If I
ask you to guess someone’s age of death perfectly, not
approximately to the nearest millionth year, but rather exactly to
all the decimals, there is no way to guess correctly - each value
with all decimals has probability zero. But for an interval, say the
nearest half year, there is a nonzero chance you can guess
correctly.

continuous random variable winds up having probability zero. If I
ask you to guess someone’s age of death perfectly, not
approximately to the nearest millionth year, but rather exactly to
all the decimals, there is no way to guess correctly - each value
with all decimals has probability zero. But for an interval, say the
nearest half year, there is a nonzero chance you can guess
correctly. So, we have the following definition:
Definition 18
A random variable X is called a continuous random variable if
its distribution function F is a continuous function on R, or
equivalently, if
P(X = x) = 0, for every x ∈ R.

The definition of probability in the continuous case presumes for

each random variable the existence of a function, called a
probability density function (pdf), such that areas under the curve
give the probabilities associated with the corresponding intervals
along the horizontal axis.
The definition of probability in the continuous case presumes for

each random variable the existence of a function, called a
probability density function (pdf), such that areas under the curve
give the probabilities associated with the corresponding intervals
along the horizontal axis. In other words, a probability density
function, integrated form a to b (with a ≤ b), gives the probability
that the corresponding random variable will take on a value on the
interval from a to b.
Definition 19
A function with values f (x), defined over the set of all real
numbers, is called a probability density function (pdf) of the
continuous random variable X if and only if

b
P(a ≤ X ≤ b) = f (x)dx
a
for any real constants a and b with a ≤ b.

f (x)
x
a b
Figure 2 : P(a ≤ X ≤ b) = area under the density curve between a and

b.
f (x)
x
a b
Figure 2 : P(a ≤ X ≤ b) = area under the density curve between a and

b.
Theorem 20
If X is a continuous random variable and a and b are real
constants with a ≤ b, then
P(a ≤ X ≤ b) = P(a ≤ X < b) = P(a < X ≤ b) = P(a < X < b).

Analogous to Theorem 6, let us now state the following properties

of probability densities, which again follow directly from the
postulates of probability.
Analogous to Theorem 6, let us now state the following properties

of probability densities, which again follow directly from the
postulates of probability.
Theorem 21
A function can serve as a probability density of a continuous
random variable X if its values, f (x), satisfy the conditions
1 f (x) ≥ 0 for −∞ < x < ∞,
∞
−∞ f (x)dx = 1.
2
Example 22
The probability density of the continuous random variable X is
given by
1
for 2 < x < 7,
f (x) = 5
0 elsewhere.
1 Draw its graph and verify that the total area under the curve
(above the x-axis) is equal to 1.
2 Find P(3 < X < 5).
Example 22
The probability density of the continuous random variable X is
given by
1
for 2 < x < 7,
f (x) = 5
0 elsewhere.
1 Draw its graph and verify that the total area under the curve
(above the x-axis) is equal to 1.
2 Find P(3 < X < 5).
Solution.
f (x)
1
5
x
2 7

1
5 for 2 < x < 7,
f (x) =
0 elsewhere.
1 It is clear that f (x) ≥ 0 for all x and

∞
2
7
∞
f (x)dx = f (x) dx + f (x) dx + f (x) dx
−∞ −∞ 2 7
0 1 0
5

7
1 1 7 1
= dx = x = (7 − 2) = 1.
2 5 5 2 5

1
5 for 2 < x < 7,
f (x) =
0 elsewhere.
1 It is clear that f (x) ≥ 0 for all x and

∞
2
7
∞
−∞ −∞ 2 7
0 1 0
5

7
1 1 7 1
= dx = x = (7 − 2) = 1.
2 5 5 2 5

5 5
1 1 5 1
P(3 < X < 5) = f (x)dx = dx = x = (5 − 3)
3 3 5 5 3 5
2
= .
5
Example 23
The pdf of the random variable X is given by

√c
x
for 0 < x < 4,
f (x) =
0 elsewhere.
Find
1 the value of c,
2 P(X < 0.25) and P(X > 1).

√c
x
for 0 < x < 4,
f (x) =
0 elsewhere.
Solution.
1 To satisfy the second condition of Theorem 21, we must have

∞
0
4
∞
−∞ −∞ 0 4
0 √c 0
x

4 4
4 − 12 +1
c x
cx − 2 dx = c 1
1
= √ dx =
0 x 0 −2 + 1
0
√
= 2c x|40 = 4c = 1
and it follows that c = 1/4.


1
√
4 x
for 0 < x < 4,
f (x) =
0 elsewhere.

0.25
0
0.25
P(X < 0.25) = f (x)dx = f (x) dx + f (x) dx
−∞ −∞ 0
0 1
√
4 x

0.25
1 1 √ 0.25 1 √
= √ dx = 2 x = ( 0.25 − 0)
0 4 x 4 0 2
1
= .
4

1
√
4 x
for 0 < x < 4,
f (x) =
0 elsewhere.

∞
4
∞
P(X < 1) = f (x)dx = f (x) dx + f (x) dx
1 1 4
1
√ 0
4 x

4
1 1 √ 4 1
= √ dx = 2 x = (2 − 1)
1 4 x 4 1 2
1
= .
2
Example 24
If X has the probability density

ke −3x for x > 0,
f (x) =
0 elsewhere,
find k and P(0.5 ≤ X ≤ 1).

Example 24
If X has the probability density

ke −3x for x > 0,
f (x) =
0 elsewhere,
find k and P(0.5 ≤ X ≤ 1).
Solution. To satisfy the second condition of Theorem 21, we must

have

t
∞ ∞
−3x e −3x
f (x)dx = ke dx = k lim
−∞ 0 t→∞ −3
0
k k k
= − lim (e −3t − e 0 ) = − (0 − 1) = = 1
3 t→∞ 3 3
and it follows that k = 3.

3e −3x for x > 0,
f (x) =
0 elsewhere,
For the probability we get

1
1
−3x e −3x
P(0.5 ≤ X ≤ 1) = 3e dx = 3 = −e −3 + e −1.5
0.5 −3 0.5
≈ 0.1733430918.
Definition 25
If X is a continuous random variable and the value of its
probability density at t is f (t), then the function given by

x
F (x) = P(X ≤ x) = f (t)dt for − ∞ < x < ∞
−∞
is called the distribution function, or the cumulative

distribution, of X .
Definition 25
If X is a continuous random variable and the value of its
probability density at t is f (t), then the function given by

x
F (x) = P(X ≤ x) = f (t)dt for − ∞ < x < ∞
−∞
is called the distribution function, or the cumulative

distribution, of X .
The values F (x) of the distribution function of a continuous

random variable X satisfies the conditions: F (−∞) = 0,
F (∞) = 1, and F (a) ≤ F (b) when a < b.
Theorem 26
If f (x) and F (x) are the values of the probability density and the
distribution function of X at x, then
P(a ≤ X ≤ b) = F (b) − F (a)
for any real constants a and b with a ≤ b, and
dF (x)
f (x) =
dx
where the derivative exists.
Example 27
24, and use it to reevaluate P(0.5 ≤ x ≤ 1).
Example 27
24, and use it to reevaluate P(0.5 ≤ x ≤ 1).
Solution. For x > 0,

x
x x
F (x) = f (t)dt = 3e −3t dt = −e −3t 0 = 1 − e −3x
−∞ 0
and since F (x) = 0 for x ≤ 0, we can write

0 for x ≤ 0,
F (x) = −3x
1−e for x > 0.

0 for x ≤ 0,
F (x) =
1 − e −3x for x > 0.
To determine the probability P(0.5 ≤ X ≤ 1), we use the first part

of Theorem 26, getting
P(0.5 ≤ X ≤ 1) = F (1) − F (0.5)

= (1 − e −3 ) − (1 − e −1.5 )
= −e −3 + e −1.5
≈ 0.1733430918.
This agrees with the result obtained by using the probability

density directly in Example 24.
Example 28
Find the distribution function of the random variable X whose
probability density is given by
⎧
⎪
⎨x for 0 < x < 1,
f (x) = 2 − x for 1 ≤ x < 2,
⎪
⎩
0 elsewhere.
⎧
⎪
⎨x for 0 < x < 1,
f (x) = 2 − x for 1 ≤ x < 2,
⎪
⎩
0 elsewhere.
Solution. For 0 < x < 1,

x
x
x
t 2 x2
F (x) = f (t)dt = tdt = = ,
−∞ 0 2 0 2
for 1 ≤ x < 2,

x
1
x
1
x
F (x) = f (t)dt = f (t)dt + f (t)dt = tdt + (2 − t)dt
−∞ 0 1 0 1
x
t
2 1 t2 1 x2 1 x2
= + 2t − = + 2x − − 2 + = − + 2x − 1,
2 0 2 1 2 2 2 2
and for F (x) = 1 where x ≥ 2.

So, we have
⎧
⎪
⎪0 for x ≤ 0,
⎪
⎪
⎨ x2 for 0 < x < 1,
F (x) = 2
⎪
2
⎪
⎪− x2 + 2x − 1 for 1 ≤ x < 2,
⎪
⎩1 for x ≥ 2.
Example 29
Find a probability density function for the random variable whose
distribution function is given by
⎧
⎪
⎨0 for x ≤ 0,
F (x) = x for 0 < x < 1,
⎪
⎩
1 for x ≥ 1.
Example 29
⎧
⎪
⎨0 for x ≤ 0,
F (x) = x for 0 < x < 1,
⎪
⎩
1 for x ≥ 1.
Solution. Since the given density function is differentiable

everywhere except at x = 0 and x = 1, we differentiate for x < 0,
0 < x < 1, and x > 1, getting 0, 1, and 0.
Example 29
⎧
⎪
⎨0 for x ≤ 0,
F (x) = x for 0 < x < 1,
⎪
⎩
1 for x ≥ 1.
Solution. Since the given density function is differentiable

everywhere except at x = 0 and x = 1, we differentiate for x < 0,
0 < x < 1, and x > 1, getting 0, 1, and 0. Thus, we can write
⎧
⎪
⎨0 for x ≤ 0,
f (x) = 1 for 0 < x < 1,
⎪
⎩
0 for x ≥ 1.
To fill the gaps at x = 0 and x = 1, we let f (0) and f (1) both

equal to zero. Actually, it does not matter how the probability
density is defined at these points, but there are certain advantages
for choosing the values in such a way that the probability density is
nonzero over an open interval.
To fill the gaps at x = 0 and x = 1, we let f (0) and f (1) both

equal to zero. Actually, it does not matter how the probability
density is defined at these points, but there are certain advantages
for choosing the values in such a way that the probability density is
nonzero over an open interval. Thus, we can write the probability
density of the original random variable as

1 for 0 < x < 1,
f (x) =
0 elsewhere.
Example 30
The distribution function of the random variable Y is given by

1 − y92 for y > 3,
F (y ) =
0 elsewhere.
Find P(Y ≤ 5), P(Y > 8) and a probability density function of Y .
Solution.
P(Y ≤ 5) = F (5) = 1 − 9
52
= 16
25 ,
Example 30

1 − y92 for y > 3,
F (y ) =
0 elsewhere.
Solution.
P(Y ≤ 5) = F (5) = 1 − 9
52
= 16
25 ,
P(Y > 8) = 1 − P(Y ≤ 8) = 1 − F (8) = 1 − 1 + 9
64 = 9
64 ,
Example 30

1 − y92 for y > 3,
F (y ) =
0 elsewhere.
Solution.
P(Y ≤ 5) = F (5) = 1 − 9
52
= 16
25 ,
P(Y > 8) = 1 − P(Y ≤ 8) = 1 − F (8) = 1 − 1 + 9
= 9
64 ,
64
d
1 − 9
y2
= 18
y3
for y > 3,
f (y ) = dy
0 elsewhere.
Example 31
The distribution function of the random variable X is given by
⎧
⎪
⎨0 for x < −1,
F (x) = x+1 for − 1 < x < 1,
⎪
⎩
2
1 for x ≥ 1.

Find P − 12 < X < 12 and P(2 < X < 3).
Example 31
⎧
⎪
⎨0 for x < −1,
F (x) = x+1 for − 1 < x < 1,
⎪
⎩
2
1 for x ≥ 1.

Find P − 12 < X < 12 and P(2 < X < 3).
Solution.
1
+1 − 12 +1
P − 12 < X < 12 = F 12 − F − 12 = 2
2 − 2 =
4 − 4 = 2.
3 1 1
Example 31
⎧
⎪
⎨0 for x < −1,
F (x) = x+1 for − 1 < x < 1,
⎪
⎩
2
1 for x ≥ 1.

Find P − 12 < X < 12 and P(2 < X < 3).
Solution.
1
+1 − 12 +1
P − 12 < X < 12 = F 12 − F − 12 = 2
2 − 2 =
4 − 4 = 2.
3 1 1
P(2 < X < 3) = F (3) − F (2) = 1 − 1 = 0.

Thank You!!!

3 PDF

Uploaded by

Copyright:

Available Formats

3 PDF

Uploaded by

Document Information

Original Title

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

3 PDF

Uploaded by

Copyright:

Available Formats

Random Variables Discrete Probability Distributions Continuous Random Variables

Lecture 3: Probability Distributions and

Assist. Prof. Dr. Emel YAVUZ DUMAN

MCB1007 Introduction to Probability and Statistics

2 Discrete Probability Distributions

3 Continuous Random Variables

2 Discrete Probability Distributions

3 Continuous Random Variables

Thus, for example, in the case of HH (i.e., 2 heads), X = 2 while

Thus, for example, in the case of HH (i.e., 2 heads), X = 2 while

A balanced coin is tossed four times. List the elements of the

A balanced coin is tossed four times. List the elements of the

A balanced coin is tossed four times. List the elements of the

Elements of Proba- Elements of Proba-

Elements of Proba- Elements of Proba-

Two socks are selected at random and removed in succession from

Two socks are selected at random and removed in succession from

Two socks are selected at random and removed in succession from

In all of the examples of this section we have limited our discussion

2 Discrete Probability Distributions

3 Continuous Random Variables

for each x within the range of X is called the probability

for each x within the range of X is called the probability

Based on the postulates of probability, it immediately follows that

for each x within the range of X is called the probability

Based on the postulates of probability, it immediately follows that

for each x within the range of X is called the probability

Based on the postulates of probability, it immediately follows that

values within its domain.

Solution. The random variable X is the sum of the coordinates for

The one is red is the sum

Figure 1 : Probability Bar Chart

where f (t) is the value of the probability distribution of X at t, is

Based on the postulates of probability and some of their immediate

Based on the postulates of probability and some of their immediate

Based on the postulates of probability and some of their immediate

Based on the postulates of probability and some of their immediate

Based on the postulates of probability and some of their immediate

If we are given the probability distribution of a discrete random

Hence, the distribution function is given by

Hence, the distribution function is given by

Solution. Based on the probabilities given in the following table

Elements of Sample Space BB BG GB GG

Solution. Based on the probabilities given in the following table

Elements of Sample Space BB BG GB GG

Solution. Based on the probabilities given in the following table

Elements of Sample Space BB BG GB GG

Hence, the distribution function of X is given by

Hence, the distribution function of X is given by

f (xi ) = F (xi ) − F (xi −1 ) for i = 2, 3, · · · , n.

2 P(X ≥ 1) = 1 − P(X < 1) = 1 − 1

2 P(X ≥ 1) = 1 − P(X < 1) = 1 − 1

2 P(X ≥ 1) = 1 − P(X < 1) = 1 − 1

2 P(X ≥ 1) = 1 − P(X < 1) = 1 − 1

2 Discrete Probability Distributions

3 Continuous Random Variables

Continuous Random Variables

So far we have considered discrete random variables that can take

Continuous Random Variables