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Discrete Random Variables: Scott She Eld

The document summarizes key concepts from a lecture on discrete random variables including: - Defining random variables as functions that assign real numbers to outcomes of experiments - Probability mass functions that give the probability of a random variable equaling each value - Cumulative distribution functions that give the probability of a random variable being less than or equal to a value - Using indicator random variables and sums of indicators to represent events - Examples of discrete random variables like the number of heads in coin tosses and Poisson distributions - Setting up recursive equations to calculate probabilities using Bayes' rule as in gambler's ruin problems

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135 views16 pages

Discrete Random Variables: Scott She Eld

The document summarizes key concepts from a lecture on discrete random variables including: - Defining random variables as functions that assign real numbers to outcomes of experiments - Probability mass functions that give the probability of a random variable equaling each value - Cumulative distribution functions that give the probability of a random variable being less than or equal to a value - Using indicator random variables and sums of indicators to represent events - Examples of discrete random variables like the number of heads in coin tosses and Poisson distributions - Setting up recursive equations to calculate probabilities using Bayes' rule as in gambler's ruin problems

Uploaded by

jokydin92
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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18.

440: Lecture 8
Discrete random variables

Scott Sheffield

MIT

18.440 Lecture 8

1
Outline

Defining random variables

Probability mass function and distribution function

Recursions

18.440 Lecture 8
2
Outline

Defining random variables

Probability mass function and distribution function

Recursions

18.440 Lecture 8
3
Random variables

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


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

� Answer: kn /2n , if k ∈ {0, 1, 2, . . . , n}.

18.440 Lecture 8

4
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.
18.440 Lecture 8
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}?

18.440 Lecture 8

6
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.
k
�
I If E1 , E2 , . . . Ek are events then X = i=1 1Ei is the number
of these events that occur.

�
I Example: in n-hat shuffle problem, let Ei be the event ith

person gets own hat.

n
�
I Then i=1 1Ei is total number of people who get own hats.
�
I Writing random variable as sum of indicators: frequently
useful, sometimes confusing.

18.440 Lecture 8

7
Outline

Defining random variables

Probability mass function and distribution function

Recursions

18.440 Lecture 8

8
Outline

Defining random variables

Probability mass function and distribution function

Recursions

18.440 Lecture 8

9
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.

18.440 Lecture 8

10
Cumulative distribution function

P
�
I Write F (a) = P{X ≤ a} = x≤a 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 What is F ?

18.440 Lecture 8

11
Another example
�
I Another example: let X be non-negative integer such that

p(k) = P{X = k} = e −λ λk /k!.

Recall Taylor expansion ∞ k λ


P
k=0 λ /k! = e .

I
�

I
� In this example, X is called a Poisson random variable with
intensity λ.
I
� Question: what is the state space in this example?
I
� Answer: Didn’t 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) = k∈S e −λ λk /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 λ” is
statement only about the probability mass function of X .
18.440 Lecture 8 12
Outline

Defining random variables

Probability mass function and distribution function

Recursions

18.440 Lecture 8

13
Outline

Defining random variables

Probability mass function and distribution function

Recursions

18.440 Lecture 8

14
Using Bayes’ rule to set up recursions

�
I Gambler one has integer m dollars, gambler two has 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 Gambler’s ruin: what if gambler one has an unlimited

amount of money?

�
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+n−1



�
I
n .
�
I Famous correspondence by Fermat and Pascal. Led Pascal to
write Le Triangle Arithmétique.
18.440 Lecture 8
15
MIT OpenCourseWare
http://ocw.mit.edu

18.440 Probability and Random Variables


Spring 2014

For information about citing these materials or our Terms of Use, visit: http://ocw.mit.edu/terms.

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