0% found this document useful (0 votes)
79 views132 pagesRandom - Variables (Upto MGF)
Uploaded by
Rohit SallaCopyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF or read online on Scribd
0% found this document useful (0 votes)
79 views132 pagesRandom - Variables (Upto MGF)
Uploaded by
Rohit SallaCopyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF or read online on Scribd
/ 132
1. IRANDOM VARIABLES |
ee
"]MPORTANT DEFINITIONS AND RESULTS
eee
L
"_[/# DISCRETE RANDOM VARIABLES #
|
DISCRETE RANDOM VARIABLES :
A discrete random variable is a R.V. X whose possible
values constitute finite set of values countably infinite set of
values. 2
DISTRIBUTION FUNCTION OF THE R.V..
The distribution function ..of a-random variable X
defined in (— ©, 0) is given by, .
F(x) =P (X:Sx) =Pefs :X(9). Sx}
PROPERTIES OF DISTRIBUTION FUNCTIONS :
Property 1: P(a a aha ae ‘ A 0
F(a) sob
| (iti) P@sksb) = F(b)-F(a)
Gye py ee = re
or), aF@) = 104s vinqonay
14, EXPECTATION TABLE :
Discrete r.v’s
"Continuous r.v’s
1. EQ) =E274) 1 E(X) = f xf ede
2. E(K) =i) =D xP) 2. E(X) =u, = J x" $Q@) de
3. Mean = 1,’ ==xp(x) 3. Mean =py"=f x f(x) de
4, > py SE p@) 4. py! = J x? fede
2 Fi 2
5.Variance = iy’ =
5. Variance = py! BY 1
=E(X?)- (EO)? = E(X2)-{E(X)}?
15. ADDITION THEOREM :
If X and Y are two continuous random variables with
pdf-fx (x) and fy (y) then
E(X+ Y)= E(X)+ E(Y)
16. MULTIPLICATION THEOREM :
If X and Y are independent random variables, then
E(XY) = E(X)-E(Y¥)
17. @ E[aG (X)]= aE[G (X)]
(ii), E[G(X)+ a] = E[G(X] +4
18. E[aX+b] = aE(X)+b
IDE [ay Xy + Ay XQ sevens + a, X,]
= @,E (Xj) + a, E (Xp) + eevee
20. Var (aX +b) = a? Var (X)
+ a, E(X,)
mUNIT 1 21. Cov(X,¥) = E(XY)-E(X)- E(Y) .
22 COVARIANCE
1 Cov (aX, bY) = ab Cov (X, Y)
2 Cov (X+ a,Y + b) = Cov (X, Y)
3. Cov (aX + b,cY + d) = ac Cov (X,Y)
4, Var (X; +X)= Var (X)) + Var (Xp) +2 Cov (Xj, oe
5. Var (X,- Xj) = Var (Xj) + Var (Xz) = 2 Cov (X,, X
If,Xj and X, are independent
Var (X; + Xp) = Var (X,) +-Var (Xp)
23. MOMENT GENERATING FUNCTION (mg.f):
The moment generating function (m.g.f.) of a random
variable ‘X’ (about origin) whose probability function f (x)
is given by
Mx () = E(e%)
A
Sef @) dx, for a continuous probability distribution
-=
Ye P(x), for a discrete probability distribution
24. yy! = mean = My’ (0) or [Mx )],_,
&
wy’ = Mx" (0) = 45 [(Mx)],_,
=F [OKO],
25. Moment generating Ancien of. * abou the point X=ais
r
[MacO)] van = 1 0h + Sp nat bone ha
where "= E[(X-a)']
26. Mex () = E(efCX)
Mx (Ct) = E(e%%)
Mcx () = Mx (C4)
27, My axye.cex, = Mx, () “My, (() + My, (0)
. UNIT 1 Gx>g'ox>v2—4 fod
5 Ta 22, T
1ngI2aM pUUDD | jopuauodxay msofiuQ
* NOLINATHLSIG SQOANIINOD 67
.
5
Zz
5 g Random Variable
Consider an experiment of throwing a coin twice. The
outcomes {HH, HT, TH, TT} constitute the sample space. Each
of these outcome can be associated with a number by
specifying a rule of association (eg. the number of heads). Such
a rule of association is called a random variable. We denote a
random variable by the capital letter (X, Y, etc)..and any
particular value of the random variable by x or y.
Thus a random variable X can be considered asa function that
maps all elements in the sample space S into points on the real
line. The notation X (s) = x means that x is the value associated
with the outcome s by the R.V. X.
m EXAMPLE 1 @
In the experiment of throwing a coin twice the sample space S
is S = {HH, HT, TH, TT}. Let X be a random variable chosen
such that X (s) =x (the number of heads)
° X(s)=x
HBLHT,THRTT) fo) pee aa A, real line
1S
he Tae)
EXAMPLE 2 @
_ Let be the sample space consisting of the numbers on a die
ie. S = {1, 2, 3, 4, 5, 6}. We define a R.V. by. the: function
X (s) = s? (Square of number of points on a die).
The points in S now map onto the real line as the set {1, 4, 9,
16, 25, 36} .
if
\s
UNIT 1 42 PROBABILITY AND ——
m@ EXAMPLE 3 @ :
3
EXAMPLE 9
In the above example we also definea R.V. by the functio
X(s) = 2s (twice the number of points on a die).
‘The points in S now map onto the real line as the set
{2, 4, 6, 8 10, 12}
NOTE : Any random variable whose only possible values are
O and | is called a Bernoulli random variable.
(DISCRETE RANDOM VARIABLE
‘A.discrete random. variable is a R.V. X whose possible
values constitute finite set of values countably infinite set. of.
values.
Example : All the R.V’s from Example 1 to Example 3 are |
discrete R.V.’s.
REMARK : The meaning of P(X < a).
P(X < a) is simply the probability of the set of outcomes
“s’ in the sample space for which X (s) < a or
P(X Sa) = P{s:X(s) < 8lace A
anys
= a= 3
fe ‘NEW TABLE 5
B x |.0 1 2 | 3 4 5 6 Tat
8 tf{3fs{/z/2]/U, Ble e
8 poo} a | ar | ar | Br | Br | Br | Br | Br | er
ig
= p0)|p 0) |p @)|pG) |p 4) |p) |p 6) |p |P@)
Ng
- (i) P(X <3) = p(0)+p()t+PQ)
); = 7 2 * + = [Using above table]
es
= 81 .(l)
mf P(X23) = 1-P(X<3)
9 2 .
- I-31 = 81 [Using (1)]
(ii) P(@ respectively. Obtain the
distribution function of X.
Xx
viele
1
L
6
wl-lo
P()
The distribution of X
[A.U. June ’05, Apr ’07]
x F(@)=P(X 0.5
3 1
x 0 2
1 2
p@:| > 24
[A.U, Apr. 03, June?08]
ibution function of |‘X’: t
F(x) = P(X < x)
“0 | FO) = P(Xs0)=7=0.25
1 | POs PCKen=g 4 27H 075
2 F(2)= P(X.0.5.is 1..
m EXAMPLE 6 @
A random variable ‘X’ has the following probability function:
X: = -1 0 1
P@: 0.4 K_ | 02 [| 03
Find K and the mean value of ‘X’._ [A.U. June ’07, Dec ’08]
Ta
Weknowthat Dp,)=1
jes 044K +0.2403 = 1
ie, K+09 = ie, Mean value of ‘X’= xp (x) |
= -2p(-2)+(-1) pl) + 0p 0) + Ip(t)
= (-2)(04) + (1) 0.1) + 0) (0.2)
+(1)(0.3) [Using new table]
= =0.8-0.1+0+03
= -06
WEXAMPLE7 #
‘Arandom variable ‘X’ has the following, ‘probability function
X: 0 ti] 2 | 3, [74
PQ): K 3K | 5K | 7K | 9K
(q_ Find the value of K
@ Find P (X <3), P(X 23), P(0 k+2k+2k+ 3k+h+2h+7P +k = 1
10k2+9k-1 = 0
10k? + 10k-k-1 = 0
10k (K+ 1)-1(kK+1) = 0
(l0k—1)(kK+1) = 0
10k-1 =O(or)k+1=0
1
k=79 (or) k= -1
k=-l, 79 ib
k =-1 is not possible.
Since probability oun be negative value
ok =10
Substituting k = ra in the given table, we get DOM VARIABLES °° E dds
uEesoe =P(X=0)+P(K=1)+P(X 22) a
+P (X53) 4+P(X=4)4+P(X=5)
BA 2" 23. At
0-75 +10 +16 ib + ;
(Using New Table)
_ 10+ 20 +204 3041 BL
e 100 = 100
81 — 100-
3 PKB 6 =1-PK<6)= 1-7hg = MSE _ 1s
PO ke él . (B)
Substituting k oH in (A), we get
130 15
PK=D= 9%61 = 61
pacye 2.2 2
3*61 “61
30 wa (C)
P(X=3)= Gf
1 30 6
P(K=4) = xor = a
:. The probability distribution of X is given by the
following table. _ [Using (C)]
x 1 2 4
15 10 30 6
P@) 61 61 61 61
PX PK P(x=3) | P&=4)
=
@UNIT1.. a
RANDOM. VARIABLES a 445
mw EXAMPLE 10
A random variable X takes the values -3, -2, -1, 0, 1,2,3
such that P(X = 0) = P(X > 0) = P(X < 0). P(X = -3) = P(X =-2)
=P (X=-l) =P (X= 1) = P (X= 2) = P(X = 3), Obtain the
probability distribution and the distribution function of X.
[AU Dec. 2006, PST]
Let P(X=0)= P(X>0)'= P(X<0) =K ...(1)
ie. P(X=0)= K
P(X>0)=K
P(X<0)=K
Since total probability is equal to 1,
Weget K+K+K= 1
3K=1
-.Q)
Substituting K =" in (1), we get
P(K=0)= 4
PXR>O=
1
P(X<)= 5
Let P(X=1) =K,=P(X=2)=P(X=3) GB)
ie, P(X>0) = +
we have K, + K; + Ky =$
1
3K ee Skin (4)
Substituting (4) in (3), we get
we UNIT 1 Pel) =
P(X=2)
Pate 23)
Pa=-3)=
P(X=-2) =
PK
PROBABILITY AND QUEUEING THEOR
0
l= Cl Ol wl oI
1
zl) =5
Probability distribution
Xowle,
3]-2[-1] 0} 1
70):|4
ie
sol =]ro
xo|—[e
JJ
919 19/9
Distribution Function :
F(x)=P(X -Il0 - Show that f(x) is a pdf.
0, x<0
[A.U. Apr. ”06, May °07]
Given f@ = ee + x>0
z 0 , x0
1 Sf f@de= f fea [te x>0)
oO - 0
o =
2
= S xe dx
° 0
: a 2
= f etd (putr=% + dt=xdx
Ms ’
: x=0,t=0
- X=, f=] PROBABILITY AND QUEUEi4g
I oe ee
-[S])- cere
= 0+1=1
Lf @)is apdfofa continuous random variable x,
EXAMPLE 3 #
. ed as follows a density function ?
inction defin
(i) Is the ful alee
Sx) = 0, x<0
ii) ine the probability that the variate having th,
eee aevil fall in ‘the interval CL, 2). [A.U. May "04,
density will fall
In the interval (0, 2), e* is always +ve-
Le, f (x) 20in (0,).
oo oO oo
2 £@).dx= ff@dx + f S (x) dx
u
0 oo
f§ Odx+ § e*dx
0
~eo
o
[=e 14
LE ord
=-e?+1l=1 . Z
Hence f (x) is a density function.
2 2
GiPUsxs2)= § f@)dx= [ e*dx
1 1
= [-e* i
0.368)
ened fy 625 0135,64 =
= -0.135 + 0,368 = 0.233
m UNIT 4 ....,
, 8 ww | ‘ — J RANDOM VARIABLES: 4.23
mw EXAMPLE 4
The length of time (in minutes) that a certain lady speaks
on the telephone is found to be random phenomenon with a
probability function specified by the probability density function
ie 1 eS, forx 20
f(x)as F(X) = Yo, otherwise
Find the value of A that makes f (x) a p.d.f. [A.U. Nov ’04]
(a) If @) is p.d.f, then ae
5 f@dx=1 [. O 1) [A.U. Dec ’06, June ’08]
oe
We know that Af f@)de=1
~~
UNIT 1 sa
PROBABILITY AND QUEUEING. Teo,
2
fe Gx 2?) de ml [Oks
0
2
20 f (2x-x?) dx = 1
0
ae x]?
2er-I, 3)
8) =1
2¢[4-5 oo
2-8
2e(4 3 de '
2exZ
ie,
2
P(X>1)= Ss@a
1
2
fex-2%) dx [. gaye)
1
6.
Cote 2x?) de [vena]
I RANDOM VARIABLES Wt
W
-§(6-9-0-4]
- 15-03!)
- 5-3-4
m EXAMPLE 6 &
A continuous R.V. X that can assume any value between
x=2and x =5 has a density function given by f(x) =k (1 + x).
Find P (X <4). [A.U. Apr ’05, Dec 07]
5
Weknow that ff (x) dr
2
u
[0 24
Ifso find the P (2 sX $3). [A.U Dec °06 RP]
In the interval << 4, f@)20.
Now 1 f(x) dx = k f@dx+ j f@dx+ 5 5 foods
4
=O0+f 342 dx +0
[oxy
4 2
fia} =B =
“+f G@)isapdf.
WONT saese ]
2
=
"
3
2
4.27
1 3
als 20a
2
a4:
9
[A.U. June ’05, Dec. 708]
RANDOM VARIABLES.
-
NowP(2sXs3)= J f(x)dx
2
3 342%
eS ede
ors
_ LP G+202
= BBL a
1
= 47 (6+6?-(34+4)
1
= 57 [81-49]
= EXAMPLE 8 @
Given that the p.d.f of a R.V ‘X is f (x) =Kx ,0 0.5).
oO
We know that f S@)de=1
~<0
1
ie, f Kx de= 1
P(x>05)= f f@)ar
0.5
[. 00
f@= 0, elsewhere
(a Calculate the value of A.
(b) Find the distribution function of ‘X’.
(c) What is the probability that Jeff, who has just seen a
person smoking will see another person smoking in 2 to
5 minutes? In atleast 7 minutes.
[A.U Dec. 2007, POT]
Axe, x>0
Given, FQ) = 0, elsewhere
(a) Given f(x) isap.d.f
Cy
Sf@)de= 1
20
ey
ie, f Reet dr = 1
0
Meyer]? 1
Alor I= 1 [ee =0]
ie, r=.1
x
(b) F(X)= f SQ) ae for x20
+o
. UNIT1 Oa
1.30 PROBABILITY AND QUEUEW,
IS
xetadx = [x (e*)-exy3
q
ou
[eas
= —xe*-e*t1
F(x). = 1-@+)De* Bi
@ _P@ K-90) =1
K=7)
BUNT SH O. M VARIABLES.
mW EXAMPLE 12
BER eS
The amount of time, in hours, that a computer functions
before breaking down is a continuous random variable with
probability density faretion given by
de 10, x20
0, x<0
f@=
What is the probability that (a) a computer will function
between 50 and 150 hrs. before breaking down
(8) it will function less than 500 hrs.
[A.U. Apr °06, June ’08, May ’09]
“S° wer
Given FO) 4 Res RB Oscws 3 ay
0, x<0.
Since f(x) is a p.d.f of *X’ <
0
fi f@)de= 1
0
ox
ie, fre 100 ie = 1 [Using (1)] [e x20]
0
ae oO
ay 100
pe [er
~ Too, |
PROBABI
< ILITY AND QUEUEWG ne
ie, 1002 fe" —2?] =
ee ~1004[0-1] = Peon
“ =0, 00.
1002 =
SOE
Now (a) -P(S05)
Find (a) P(X<1)
() P(|X| >D. (@PCXt3
[A.U., June 207, P. ST]
|x| <2 _@
1
Given fey = 4
0, otherwise OM VARIABLES
RAND‘ 1.35
1
@ PR1)= 1-P(|X] <1)
= 1-P(-15)= p(x>452
= P(X>1
0 2 1
= S fear = fqade [o-2<%<2]
1 1
UNIT.1 PROBABILITY. ee
3 'HEO}
RY
ws EXAMPLE 158
A random variable 7X” has the pas.
2x o [x>3
[A.U. Apr 204, June ’07 PST]
@ Given f@ = 2x, o3) =f f@)dx =f & dx [u f(x) =2x]
314 34
1
3 9 «169
z(2): = 1-76 =" 16
if Q)
1 1
p(xeg) = ffeade= fa bef) =23)
12 2
1
2 i 3
-2[F], =1-% =4 eee)
Substituting (2) and (3) in (1), we get
3 1
o(x>3/x>5) = [From (2) and (3)]
Mm EXAMPLE 16
A continuous random variable ‘X’ has p.d.f SO = 3x,
0a).
[A.U. Apr '02, Dec. ’05, Jan. 06]
Let P(Xa) = K (Say)
Le,
p(Xa) =K
Since total probability is equal to 1, we get
K+K=1
=> 2K!
; i 1
fe P(Xsa)=7
meni)
UNIT1 = ON”
j | 1.38 PROBABILITY AND Quey
IEING
‘ and P(X>a)= +
a ; tal
ie, if; 32a
2 ‘i
0 [Using
3 a
z 5) a
wo 2
1
at
1 %
é a= Sg = 0.7937
ms EXAMPLE 17 ©
‘A continuous random variable has a p-
0 sx $1. Find “p? such that P(X > b) = 0.05.
[A.U. May °05, De'll
Given f@) = 3x2, 05x51 aol
When P(X>b) = 0.05
1
= § FG) dx = 0.05
b
1 2
= J 3x2dx = 0.05 Eo fO = x
6
3\!
= x (3), = 0.05
> = oe
1-B = 39 RANDOM VARIABLES
1.39
mw EXAMPLE 18 @
For the probability density function
2(b+x)
Bath) ~4sx<0
SO) =) giq_y
a(a+b)? Osx sa
Find the mean. [A.U, Nov ’07, Jan. 09]
2(b+x
; b(a+ by ~bsx<0
Given f(x) = 9 (a-x) asi(()}
a(a*b) ’ Osxsa
a
Mean = JS xf @) dx [." Here ‘x’ varies from —b to a]
0
ey, Tri dx + i AG) ax (From (1))
2 2 v
= bath J Ore der aaap § (x-x) de
= mn ‘tae e-3).
+3] 4 rem $]
=26 2
F warms
= 1 2 52
= 3+b * seahi = 3@ab eh)
15 (a-b)
3 (at-by
“. Mean = a=b Fe
Gai. |
1.40,
@ EXAMPLE 19 #
The diameter ofan electrle cable, say X, A ae
continuous random varlable with pa. y ‘s) ereaa toy
ott |
Osx Ss].
(i) Cheek that above tsa pibfr
no. a number ‘b! such that P(X 6a+8b = 12
3x(2)=> 6a+9b = 18
OO
-b =-6
> b=6
Substituting b = 6 in (3), we get
3a+4(6) = 6
> 3a = 6-24
> 3a = +18 | > a= 6
a=-6
b= 6
——
QEXERCISES 0
1 . i
Define discrete and continuous R.V.’s with examples.
tfine distribution function of a R.V.
F @) isa distribution piunction then what is the, value of
©) atx = 0 and atx =~
5, yl Probability mass jae
ik at are the j important two conditions for which the pmf Pa)
¢, Mould satisg
fi
ine pdf of a continuous R.V. X. \RIABLES:
pANOOM VAI 4.66
‘# CONTINUOUS DISTRIBUTION FUNCTION &
2S RIBUTION FUN
If @) is a p.d.f. of a continuous random variable ‘Xx’
then the function :
Fx @)=FQ@) = P(X sx) = ; f(x)dx,-wl
Clearly (i) OSF()S1
(ii) Feo) =9 [. F(x) =0,x<-a,
(i) F(@) = 1 BG) =1,x5]
| “F(m)=1, x>I]
Hence F (x) satisfies all the conditions of a distribution function.
ou
(v) fey =e = 42a" -a Iythen FQ) =f fede
=
0 1 x
Jf Ode+ fae foe
20 0 1
1
= 0+[x] 40-1
0,,x<0
FQ@) = + 02]
EXAMPLE 3 mt
Dis The probability distribution function of a random variable
x, O2
Q Find the cumulative distribution function of X.
We know that dif, F(x)= j Sf @) dx,
When «ties in02
m EXAMPLE 4 @
Given the p.d.f of a continuous random variable ‘X’ as
6x(1-x), O I, thea
x
Fe= fie
=
0 1 ae
= f odes f @a-va+f
= 0 i
wad
7 x z]
= 6f Gk = 6/3- 3g
0
soe) 3-2
- 5-4] “Al B | “@
=3-2=1
Using (1), 2) 208 G), we get
9, xl
ont tale RANDOM VARIABLES 1.61
‘RANDOM VARIABLES 0
m EXAMPLE 5
=
If f(x) = fr 2 | x20 then Sind its cdf F(x).
x<0
ra
x. 0 x
Weknow that Fx)= ff(x)dr =f f(x) det ff @ax
[A.U. Apr ’04, June 07]
co co 0
x
0 f a
= f0dr+) xe? de
oO 0
2 |
Put = t | when x=0, 1= 0
| 2
xdx = dt when x=x, f= 7
2
t 2
= feta = tel”
‘ 0
ad cag
=e te el-e?
ea
4, The cdf of R.V. ‘X? is FX). = le? yx 20.
MEXAMPLE 6 m
If the density function of a continuous R.V. ‘X’ is given by
‘ax, O oe
(i) To find edf :
FQ)s PK sx
x
° Stax,
wheres inthe
interval
When ‘x’ Hes in 0.1, al [0, 3),
FQ)= a
Sta. Sree sf see
0
= 9+ Sard % (é ag?
When slies int g 2-2
S2,
s owns soos yoonvaRABLES ts
Fae) = Sf @)a .
0 : 2
= SF @de + fF @dr +S fonder
Ses :
2 x
1
= 0+ faxde + fade = a(5) +a(xy¥
0 i A '
1
= a(}-0)+ace- los 5 spay a
Nia
= ax-
Fo = a[e—3] nt sxs2
When xlies'in2
0, otherwise
oO
() Verity f $65)de=1 (b) Find P(O2, FQ)
I
I
f ferae+ f fa)ar
“1
tps +1] + Q)
x
f fe) ae
0
-1 2 *
S fender f sonar frees
2.1
2
0 _ |
in PROBABILITY AND QUEVEN,
iG
0, ¥S-1
Stl
FQ) =) Hl 0). [A.U. Dec °07, Apr.
Since f (x) is Pdf, we have
J f@dx = 1
Rig °
rh Tee ae =] > K(tan'xy) =]
Klar ()—tart (ay) ab Wi
.
“se tanc! (00) =9
tané! (0) = 4
1
pre in-e0< #64
=
"
T
To find F(x)
0, otherwise
& x x Leis
si fo) dx=4 j ie
md
qltan-ty i,
munis i punOOMVARIMBLES nr
an~! x —tan-! (~ a)]
1
i
n
i
t
{t
[tant x4 x+y z] we (A)
[-tan- a =3]
To find P(X > 0)
P(X> 0)=1-P(X<0) = 1-F(0)
115,42
-4 [044]
[In (A), put x = 0]
1
FQ)
1
=1-7 =
Mm EXAMPLE 9
Let X° be a discrete random variable whose cumulative
0, x<3
£ 3 |
PROBABILITY AND QUEUE, 1h
i), sles
2]
a
y
WEXAMPLE 14
For the. following cud,f, Sind
® PRs) i) PKs05) (iy PK> 02)
(6) P021
‘We know that
PXsx) = Fa)
( P(XXs-ly = Fel) =9
@) PK sos) 5 F(05)= 95
di) P(X>02) 5 1~P(X<02) 68
* 1-F(2) = 1-02 = panoomvariamues a
m EXAMPLE 12 ©
Suppose that the amount of money that a person has saved
is found to be arandom variable with
1
3 e150),
F(x) =
@) 1-4 50? | x20
x<0
(Is F (-) continuous? What is the pai?
(ii) What is the probability that the amount of saving possessed by
him will be (a) more than 50, (b) equal to 50 rupees.
(iii) What is the conditional probability that the amount of
savings will be less than Rs. 100 given that it is more than 50?
[A.U. Apr ’04, Jan. ’07]
The given distribution function is continuous since the value
of F (x) at x = 0 is the same.
Probability density function
jo -£ Fo
"
he, f@
UNIT 1 PROBABILITY AND QUEUEING
472
(ii) Let °X’ be the random variable which Tepresen
u,
‘amount of savings. eI.
(@ P(X>50)-= 1-P[Xs50] = 1—F (50) rf
1 -(%)
VFQ@)=1- 76 7% ,x5)
= 1-{1-ge}
1
effet = > x 03679
= 0.1839 “ag
From(A),F(50)= 1-P (X>50)
=1-0.1839 @y@
= 08161 (C
® PK=50) = 0
[+ The probability that a continuous variable takes a fi
; value is 2°
@) LetP(A) = P(X <100)
P(X<100)-P (xX = 100)
F(100) [.- P= 100)=9
(Z
et J i)
24 | FQ)=1- 78
i 1
= =z 000183) = 1-0.0095
= 0.9908 Be @
= P(X> 50)
= 0.1839 [From
0
(i)
y)
[From (C) and q
Pe Beenie.
RANDOM VARIABLES, 473
EXAMPLE 13 ©
The sales of a convenience store on a randomly selected day
«y’ thousand dollars, where ‘X? is a R.V. with a distribution
function of the following form
0, x<0
2
7 O ()
P(B) = rae 1000)
= ili tea =2x) de PROBABILITY AND QUEUERg
176
. fend -[()
1
1
1
1 mae
P@=—g[0-M=3
3: “wiht 4 Foto ex< 1500)
Cc)
ne 15
= ff@d = [342.9 a
if
1-0
3
29
3
= o-Si = esa
1
xy om + [Using (1) and)
[From (3)]
P(AnB) = P(A)-P(B)
* AandBare independent
M EXAMPLE 14
: sent bulb
igth (in hours) x Fa certain type of light bu!
random variable with p.d
3 1500 3
: Find (i) K, (ii) the Probability density function f ()-
Am K =e. iy #15) = de ]
Kee
a tiie, say = {9 Ys ford3
0, x>0
12, Given wecatFin {i Osxs1
1, x>1
(a) Find the pdf of f (x).
(b) Find P (0.5 0.75) and P (x < 0.5)
, O <
tans. (a) $03) ={8" FE* 51 5) 03125 (0) 0.25)
1
13. Given PK = = (5 »x= 1, 2,... find P(X < 2),
P(X>3) and cdf F(x).
1 ,
[Ans. : 0.75, 0.75 , F(=T-(" ,x=1,2,3.]
14. If cdf of a continuous R.V. X is F (x) = (1 — e*) U (x) find
pdf f (x).
[Ans. : f (x) = e* U (x), U (x) is the unit step function]
15. If the cdf of a continuous R.V. X is given by
qu, x<0 1
FQ@)= then find P (1 < 2D:
1 —y > 0
=r-t ph (ayay cally
Find the pdf f (x). [Ans. :
b MATHEMATICAL EXPECTATIONS *
pr Let ‘xX’ be a continuous random variable
‘bability density function f (x).
Bq Then the mathematical expectation of ‘X’ is denoted by
) and is given by
with
E(X) = t xf (x)dx
-o
UNIT1 re aN
PROBABILITY
4.82 AND QUEUEING
O22 MOMENT (ABOUT ORIGIN)
Consider a continuous T.V. °X’ with par FG),
moment (about origin) of the probability distribution a
k
7 o
EQ) = f x f@)dx
Ttisdenotedby} uf = f x f Gd.
2
Thus ny! = EC) (uy about ar
py! = E(x?) (hy! about or
| ___
The above result gives the mean and variant
tions.
+ MOMENT (About mean)
Now E(X-EQQ} = J (x-EQ) £4
= 1 {x- XV foe
~o
s Thus oe
Les £
cE
ie of where H, = ed b
This gives ther moment about mean and it is &° rs
Put r=1in ®),
We get
© a dx
me f @-x) f@ ‘RANDOM VARIABLES
= Parade y Xy@ dx
. ©
= X-X jf f@) dx
= X-K bf sare]
2 B
Put r=2 in (B), we get
Variance = p, = E[{X-E(X)}]
which gives the variance in terms of expectations.
Note : Let g (x) = K (constant), then
{ Kf@dx =K [ f@)dx
-o
"
Elg(X)] = E(K)
-0
K:l bof f@dx=1]
=o
=K
mms [E@=K]
Q Expectations (Discrete r-v’s)
Let *X’ be a discrete random variable with p.m.f p (x)
Then E(X) = rxp@)
x
. For discrete random variables x
E(x) = Dep) [by definition]
fangs
Ifwedenote E[X"] = 1, then PROBABILITY. AND QUEUENig %
Put r=1, wegel
aay = Exp)
=2, we gel
oe wy = EDC] = E32 p(x)
x
[vane 72 189
-, | Variance = p= wih = E (X)- {Ey
The r* moment about mean
n, = EL{X-E() }]
= 5 -X)' p@, EO)=%
Put r=2, we get
Variance =p. = r@-X)’ p(x)
Expectati
Discrete r.v’s
1. EX) = 1 x foe
E(X) => xp(x)
© er fo!
2. E (Xr) awe [ eh
© 0)!
3. Mean = 14)’ = Seg
Hf =Z 2p)
e is
4 wt =f x2 for
-0
2
5.Variance « Wy at
= 5.Variance = H2'~ 1! o
BO)~ (ray) BOO (B
a
mw ONITS ES
M VARIABLI
ANDO!
ADDITION THEOREM (EXPECTATION)
a
: id Y are two coi
heorem 1: If X an
ste with pdf fx (x) and fy (y) then
E(X+ ¥) = E(X)+ E(y)
Q MULTIPLICATION THEOREM OF EXPECTATIONS
Theorem 2: If X and Y are independent random
variables, then
E (XY) = E(X)-E(y)
1.85
tinuous random
X,, are ‘n? independent Tandom
-X,] =E (X%)-E(x,)
NOTE: If X;, Xy.
variables, then E [XX ..
Theorem 3: If “X? is a random variable with pdf f (x)
and ‘a’ is a Constant, then
© E@ca =
@ E[G (X) + a]
Where G (X) j fi
variable (X) is a fun
a EG (X)]
= EIG(®)+a4
ction of ‘X? which is also a random
Theorem 4: If «
‘@ and % are c
~ E
EleX 40) = aE (X)45
Cor 7. a
eet! Ie take g =
Land b = -E (X) =X, then we
EIX-X]. E(X)-E(X) = 0
nm a) eae
a
and X’ is a random val
riable with Pdf f(x)
‘Onstants, then ON
138 PROBABILITY AND QUEUE,
O EXPECTATION OF A LINEAR COMBINATIO,
RANDOM VARIABLES
Let Xj, Xz, «+4, X, be any ‘n’ random variables andy
4, ..., 4, are constants, then
«+ a, X,)
E[a, X, + 4, X, + +
= aE (X;)+ a, E(X,)+ ....., + a, 8q
Result : If X is a random variable, then
Var (aX + b) =a? Var (X) where ‘a’ and ‘b’ are constan,
COVARIANCE : If X and Y are random variables
‘covariance between them is defined as
Cov(% Y) = E((X-E(][Y-E(Y)]}
= E{XY-XE(Y)-E(X) Y+ E(X)E
= E(XY)-E(X)E(¥)-E(X)E()
+ EWE
Cov (X, ¥) = E(XY)-E(X)-E(Y) a
IfX and Y are independent, then
E(XY) = E(X)E(y)
Substituting (B) in (A), we get
Cov(X,¥) = 9
+ IfX and Y are independent, then
Cov (X, Y)
NOTE : |.Cov aX, bY) = ab Cov % Y)
2. Cov(X + 4Y+ bs Cov (X, Y)
3.COV (AK + bY + d) = ag Coy (x Y)
4, Var (XK, +X) = Var (X,) + Var (X2) + 2
5. Var (X)~X;) = Vp (X)) + Var (X,)-2
IX, and Xp are independent
Var (Xj 4X,) = Var (X,) + Var (X2)
4
Cov 4
are (yHlooM VARIABLES
# SOLVED P|
ROBLEMS ON
DISCRETE RVs ;
EXAMPLE 4
Given the following probability
(y B(X) (Hl) He (X?) (ill) EE [2X 3) (ly)
ao) 8 py
(x2) | (xy) | _&y) Ms) | (xe)
9.30) 0 | 030) | O45"
LP PO) |p Oo |v es9) Lo 6s9 |p cen
Cen +U, June 107, Jan, ’08)
We know that for a discrete RV, ‘x’,
7
i) E(X) = x p(x)
fel
© XP (x1) + 9 p (x9) +3 p (x3) + x4 p (x4)
+45 P (x5) + X61 (x6) +27 p (x7)
= (-3) (0.05) - 2 (0.1) ~ | (0.30) +0
+ 1 (0.30) +2 0.15) +3 (0.10)
=0.25 [Using Calculator]
7
E(X) = > xP pa)
fel
=P Ce) +35 pO) +57 (3) +4 PO)
+45 (xs) +p (x6) +357 ()
(1)? (0.30)
= (-3)? (0.05) + (—2)? (0.1) + (I)
: er OF re (0.3) + (2)? (0.15) + 32 (0.10)
= 2.95. [Using Calculator]
(iy BOX 43) =2E(X) #3 [-,-E[uXx b) =a (X) + 5]
= 2 (0.25) +3
20543
= 22 Var (X)
Ustribution Of X comput
Var (2X 3), n
7
p(x)
(ii)
(yy Var (2x 4 3) ee Var (aX £ b) = 02 Var 1
UNIT 1 a
PROBABILITY AND QUEYe
ING
ABB. si
aK Vat (X) 2B (X) = [B (e9)
22,95 ~ (0.25)?
= 2,8875
+ Var 2X #3) #4 (2.8875)
55
ell
EXAMPLE 28
When a die is thrown, ‘X’ denotes the number that tu
Find EX), E (X2) and Var (X). (AU June 2004,
Let ‘X’ be the R.V. denoting the number that turns up ing
de. *X? takes values 1, 2, 3, 4, 5, 6 and with probabil
for each.
4 5 | 6
(xq) (x5) |G
1 1 i
6 | 6 | 8
pee) | p(y) | ps) | pew | pes 2
6
Now E(X)= > x, P(%,)
fet
= 1 P(x) + Xp p (xq) +3 p (3) aap)
eng p Ors) t96f
m(4)s2(b)a3 Ce) +40)
+5(4)+6()
as 2.
S ott S$
~ Hdtsraesig | 2b =
6 Site
at
6
£2 (X2) o
, & *P P(x) wee
RANDON VARIABLES.
. a PQ) 4 D(X) NZD (x3)
182 1 (a4) 8 p Cg) 432 p Cx)
(5)s4CQ)o 9) (4)
425 (4) +36 (4)
14 9 1G 25 36
s
a
Ey
a
a
a
a
ry
Led 49+ 164.25 +36
. Cor Hey
ot
6
oVar(X)= B (X2) = [B (X)]?
_ OL (TP 2 9149 182 = 147
WE TE TP
lg a
|
BEXAMPLE 3
th The monthly demand for Allwyn watches is known to have
following Probability distribution:
gman 2 ~ 5 — ph
bability: 0.08 0.12 0.19 0.24 0.16 0.10 0.07 0.04
Fir
vera expected demand for watches, Also compute the
3 4 5 6 7 8
(ry | op | Os) | oe | G7 | Go
019 0.24 0.16 0.10 0.07 0.04
P(x3) | peg) | P (5) | P (xp | P@D[P (xg)
(AU. Dec. 2006, RP)
Let
Males be the RV, denoting the monthly demand for Allwyn
. UNITA |
PROBABILITY AND QUEUE,
8
BoD 2 ape)
is
= xy PQ) + 2p (x2) +3 p (a3) * 4D (xy
+45 P (Xs) +26 D (Xe) +4 p () 44,
¥(0.08) + 2 (0.12) + 3 (0.19) + 4 (0.24)
+5 (0.16) + 6 (0.10) + 7 (0.07) + 8a,
4.06 [Using Caley
"
2
E®)= YY pw)
i=l
= HPQ) +p Oy) +27 G3) +34 7 Os)
+35 Pts) + x2 p(xg) +35 (a) +H
= 1 (0.08)+4 (0.12) +9 (0.19) + 16 (0.24) i
* 25 (0.16) + 36 (0.10) + 49 (0.07) + 64 (00!
= 197 (Using Calcul
* Var(X) = EO?)_ Bag?
= 2 06? = 19.7- 16.48
= 32
MEXAMPLE 49
ol cat the x" is equal to the number
YP = 1) = 9.3 pe Hl Player in his net 3 bats
POX = 2) = 0.3 on
= pints id 4
(X= 3), Find E(x) [A.U. Dec °03, AP
PIX = 0) + Px,
51 wl
Given FPO 9
X29 D+ PK =3)01 a
(
Substituting (2) jn (1) wepg P(X =3)
3PX=3)403 499 08 Ee
snot VARIABLES: 41.91
0.5
P(X =3) = “G =0.125
i P(X =0) = 3P(X=3)
a = 3x 0.125
= 0.375
‘We know that
BX) = D xp @)
= 1P(X=1)+2P(X=2)
+3P(X=3)
= 1(0.3) + 2(0.2) + 3(0.125)
= 1.075
[- # SOLVED PROBLEMS ON
CONTINUOUS R.V'S #
NEXAMPLE 5
For the triangular distribution
xX, O
