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Probability and Random Processes Formula Sheet

This document provides formulas and definitions for key concepts in probability and random processes. It defines the cumulative distribution function (CDF) and probability density function (PDF) for continuous random variables. It gives the formulas for expected value and variance. It also defines uniform, exponential, and Gaussian random variables. Finally, it provides the formulas for joint CDFs, joint PDFs, marginal PDFs, independent random variables, and expected value of functions of two random variables.

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Rahul Chahal
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Download as PDF, TXT or read online on Scribd
187 views

Probability and Random Processes Formula Sheet

This document provides formulas and definitions for key concepts in probability and random processes. It defines the cumulative distribution function (CDF) and probability density function (PDF) for continuous random variables. It gives the formulas for expected value and variance. It also defines uniform, exponential, and Gaussian random variables. Finally, it provides the formulas for joint CDFs, joint PDFs, marginal PDFs, independent random variables, and expected value of functions of two random variables.

Uploaded by

Rahul Chahal
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Formula Sheet Probability and Random Processes

Continuous Sample Space:

The Cumulative Distribution Function (CDF):

F X ( x )=P [ X ≤ x ] (Less Than Or Equal To!!!)

For any random variable X, F X (−∞ )=0, F X ( ∞ )=1, P[ x 1< X < x 2=F X ( x 2 )−F X ( x 1 ) ]

Probability Density Function (PDF):

d FX (x )
f X (x )= PDF
dx

d
CDF = PDF , PDF = ∫CDF
dx

Expected Value: The expected value of a continuous random variable X is


∞ ∞

E[X] = ∫ x f X ( x ) dx , E [ g ( x) ] = ∫ g(x) f X ( x ) dx
−∞ −∞

Variance:

Var [ X ] =E [ x2 ]−( E[ x ])2

Uniform Random Variable (also known as Uniformly Distributed Random Variable):

Exponential Random Variable:

Gaussian Random Variables:

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Formula Sheet Probability and Random Processes

Mixed Random Variables:

Joint Cumulative Distribution Function (CDF)

Joint Probability Mass Function (PMF)

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Formula Sheet Probability and Random Processes

Joint Probability Density Function (PDF)

Marginal PDF

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Formula Sheet Probability and Random Processes

Independent Random Variables

Expected Value of a Function of Two Random Variables

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Formula Sheet Probability and Random Processes

This study source was downloaded by 100000829617998 from CourseHero.com on 02-17-2022 14:56:29 GMT -06:00

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