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PT1,2,3 - Random Variables, Distribution Functions, Mathematical Expectation - CG-1-39

The document discusses random variables, probability distributions, and mathematical expectations. It provides definitions and examples of discrete and continuous random variables. It also discusses probability mass functions, distribution functions, and how to calculate the mean, variance, and standard deviation of discrete random variables. Examples are provided to illustrate key concepts such as determining the probability distribution and expected values of random variables.

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0% found this document useful (0 votes)
59 views39 pages

PT1,2,3 - Random Variables, Distribution Functions, Mathematical Expectation - CG-1-39

The document discusses random variables, probability distributions, and mathematical expectations. It provides definitions and examples of discrete and continuous random variables. It also discusses probability mass functions, distribution functions, and how to calculate the mean, variance, and standard deviation of discrete random variables. Examples are provided to illustrate key concepts such as determining the probability distribution and expected values of random variables.

Uploaded by

Vishnu Bhanderi
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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RANDOM VARIABLES,

DISTRIBUTION FUNCTIONS &


MATHEMATICAL EXPECTATION
DR. CHARU GOEL
RANDOM VARIABLES
• Definition: Consider a random experiment with Sample Space S, then a random variable X is a single-
valued real function that assigns a real number called the value of X(Si) to each sample point Si of S.

S (= domain of the r.v. X) = the set of all expected outcomes, and


R (= range of the r.v. X) = the collection of all numbers i.e. values of X(Si)
Random variable
• A random variable is a numerical description of the outcome of a statistical experiment.
• Example: Toss a coin

• Types of random variable


q Discrete (having specific values)
q Continuous (any value in a continuous range)
Definitions and Notation
• Discrete Random variable: one whose possible values are finite or countably infinite (like the
numbers 1, 2, 3, …)
Example: Tosses of a coin, Rolling a die, Marks of students, etc.
• Continuous random variable: one whose values constitute an entire (infinite) range of possibilities
over an interval.
Example: Temperature, Time, Weight of employees, etc.

• Random variables are generally denoted with capital letters such as X, Y, Z


(for more number of possible values taken by random variables, denote them by x1, x2, …, xn)
Examples of discrete random variable
1. Toss a coin twice, and let the random variable X be the number of tails appearing.
q What are the possible values of X ?

q What kind of random variable is X?

q What are the probabilities of the possible outcomes?


Examples of discrete random variable
1. Toss a coin twice, and let the random variable X be the number of tails appearing.
q What are the possible values of X ?
0, 1, 2
q What kind of random variable is X?
Discrete
q What are the probabilities of the possible outcomes?
Possible outcomes: S = { (H,H), (H,T), (T,H), (T,T) }

X = No. of tails 0 1 2

Probability 1/4 1/2 1/4


Examples of discrete random variable
2. Roll a fair 6-sided die, and let the random variable X be the outcome of the rolled die.
q What are the possible values of X ?

q What kind of random variable is X?

q What are the probabilities of the possible outcomes?


Examples of discrete random variable
2. Roll a fair 6-sided die, and let the random variable X be the outcome of the rolled die.
q What are the possible values of X ?
1, 2, 3, 4, 5, 6
q What kind of random variable is X?
Discrete
q What are the probabilities of the possible outcomes?
Possible outcomes: S = {1, 2, 3, 4, 5, 6}

Outcome of 1 2 3 4 5 6
die roll
Probability 1/6 1/6 1/6 1/6 1/6 1/6
1. Probability Distribution
• Probability distribution of a random variable is a list of all the possible values of
a random variable along with their corresponding probabilities.
• Let P(X = xi) = pi denotes the probability that the discrete r.v. X takes all the
value x1, x2, …, xk corresponding to the various outcomes of a random
experiment. The collection of pairs (xi , pi), i = 1, 2, …, k is called the probability
distribution of X or the discrete probability distribution.
X x1 x2 … xk

P(X = xi) = pi p1 p2 … pk
Probability Mass Function of a random variable
• The function P(X) is called the probability function of the discrete r.v. X
if
1. 0 ≤ pi ≤ 1 for all i = 1, 2, …, k
2. p1 + p2+ … + pk = 1

• The probability function f(x) = P(X = x) of a discrete r.v. X is also


called the probability mass function of X.
Examples of Probability Distribution
1. Probability distribution of two tosses of a coin, where the random variable X is
the number of tails appearing:
X = No. of tails 0 1 2

Probability 1/4 1/2 1/4

2. Probability distribution of rolling a fair 6-sided die, where the random variable
X is the outcome of the rolled die:
Outcome of 1 2 3 4 5 6
die roll
Probability 1/6 1/6 1/6 1/6 1/6 1/6
Examples of Probability Distribution
3. A coin is tossed 3 times and the random variable X is number of tails tossed.
q What are the possible outcomes, values of X, and probabilities?
Examples of Probability Distribution
3. A coin is tossed 3 times and the random variable X is number of tails tossed.
q What are the possible outcomes, values of X, and probabilities?
Examples of Probability Distribution
3. A coin is tossed 3 times and the random variable X is number of tails tossed.
q What are the possible outcomes, values of X, and probabilities?

q How do we find probability that x =1? and that X =2?

q Is it a Probability mass function?

q Probability distribution?
Examples of Probability Distribution
3. A coin is tossed 3 times and the random variable X is number of tails tossed.
q What are the possible outcomes, values of X, and probabilities?

q How do we find probability that x =1? and that X =2?


p1 = P(X=1) = 1/8 + 1/8 + 1/8 = 3/8; p2 = P(X=2) = 1/8 + 1/8 + 1/8 = 3/8
q Is it a Probability mass function?
Yes [since 0 ≤ pi ≤ 1 for all i =0, 1, 2, 3 and P(X=0) + P(X=1) + P(X=2) + P(X=3) = 1]
q Probability distribution: X = xi 0 1 2 3
P(X=xi) 1/8 3/8 3/8 1/8
Examples of Probability Distribution
4. QUESTION: From a lot of 12 items containing 3 defective items, a sample of 4 items are drawn at random
without replacement. Let a random variable X denote the number of defective items in the sample. Find the
probability distribution of X.

SOLUTION: The lot contains of 9 non-defective items. Since X denotes the number of defective items, x can
take the values 0, 1, 2, 3.
Examples of Probability Distribution
4. QUESTION: From a lot of 12 items containing 3 defective items, a sample of 4 items are drawn at random
without replacement. Let a random variable X denote the number of defective items in the sample. Find the
probability distribution of X.

SOLUTION: The lot contains of 9 non-defective items. Since X denotes the number of defective items, x can
take the values 0, 1, 2, 3. Four items drawn without replacement.
q For x = 0, p(x) = 9C4/12C4 = 14/55
q For x = 1, p(x) = 9C3 3C1 /12C4 = 28/55
q For x = 2, p(x) = 9C2 3C2 /12C4 = 12/55
q For x = 3, p(x) = 9C1 3C3 /12C4 = 1/55
Examples of Probability Distribution
4. QUESTION: From a lot of 12 items containing 3 defective items, a sample of 4 items are drawn at random
without replacement. Let a random variable X denote the number of defective items in the sample. Find the
probability distribution of X.

SOLUTION: The lot contains of 9 non-defective items. Since X denotes the number of defective items, x can
take the values 0, 1, 2, 3. Four items drawn without replacement.
q For x = 0, p(x) = 9C4/12C4 = 14/55
q For x = 1, p(x) = 9C3 3C1 /12C4 = 28/55
q For x = 2, p(x) = 9C2 3C2 /12C4 = 12/55
q For x = 3, p(x) = 9C1 3C3 /12C4 = 1/55

We have the following probability distribution:


x 0 1 2 3
P(X = x) 14/55 28/55 12/55 1/55
2. Distribution Function/Cumulative Distribution Function
• Let X be a random variable. Then the function F(x) defined by
F(x) = P(X ≤ x) , (-∞ < 𝑥 < ∞)
is called the distribution function of X.
• It has the following properties:
1. F(-∞) = 0, F(∞) = 1
2. 0 ≤ F(x) ≤ 1
3. If x1 < x2, then F(x1) ≤ F(x2)
4. P(a ≤ X ≤ b) = F(b) - F(a)

• F(x) is also called the cumulative probability distribution function of X.


Distribution Function/Cumulative Distribution Function
• In case of a discrete random variable X, the discrete distribution
function of X is defined by
F(x) = ∑xi , x (p(xi))
where p(xi) = P(X = xi) is the value of the probability distribution.
• For this definition, we have
p(xi) = P(X = xi) = F(xi) - F(xi-1)
3. Mean and Standard Deviation of a discrete Random variable
• Mean and Standard deviation of a discrete random variable X is defined as:
Mean =

Standard deviation =

• Mean is weighted average of values, where each value is weighted with its
probability.
• Standard deviation is “typical” distance of values from mean.
• Square of Standard Deviation is the Variance.
Mean and Variance of a Random variable
• Mean and Variance are also called the expected values, denoted by E[g(x)], where g(x)
is a random variable.

• Formula for mean = µx = E(X) = ∑0 𝑥𝑖 𝑝𝑖

• Formula for variance = Var(X) = (σx)2 = E[(x - µx)2] = ∑0 𝑥𝑖 − µx 2𝑝𝑖


• Check that:

Var(X) = σx2 = E(X2) - [E(X)]2 [using ∑0 𝑝𝑖 = 1]


Example of Discrete Probability Distribution
• QUESTION: A random variable X has the following probability distribution

q Find the value of c.


q Evaluate P(X<3), P(0<X<4).
q Determine the distribution function of X.
q Find the mean and variance of X.
• SOLUTION:
Example of Mean, Variance and SD of a Random Variable
• QUESTION: A fair 6-sided die is rolled. Number X rolled on a die has the probability distribution:

X = no. rolled 1 2 3 4 5 6
P(X=x) 1/6 1/6 1/6 1/6 1/6 1/6

What are the mean, variance, and standard deviation of X?


Example of Mean, Variance and SD of a Random Variable
• QUESTION: A fair 6-sided die is rolled. Number X rolled on a die has the probability distribution:

X = no. rolled 1 2 3 4 5 6
P(X=x) 1/6 1/6 1/6 1/6 1/6 1/6

What are the mean, variance, and standard deviation of X?


• SOLUTION:
q Mean = 21/6 = 3.5
q Variance = 2.92
q Standard deviation = 1.7 (square root of variance)
Example of Mean, Variance and SD of a Random Variable
• QUESTION: A fair 6-sided die is rolled. Number X rolled on a die has the probability distribution:

X = no. rolled 1 2 3 4 5 6
P(X=x) 1/6 1/6 1/6 1/6 1/6 1/6

What are the mean, variance, and standard deviation of X?


• SOLUTION:
q Mean = 21/6 = 3.5 (same as median 3.5 because symmetric)
q Variance = 2.92 (found by hand or with software)
q Standard deviation = 1.7 (square root of variance)
Probability Distribution

• A function that represents a discrete probability distribution is called a


probability mass function.

• A function that represents a continuous probability distribution is called a


probability density function.
4. Continuous random variable

• A random variable X is said to be a continuous random variable if it


takes all possible values in a given interval Ix.
• For example, weight, age, height, etc. are continuous random
variables.
5. Probability Density Function of a random variable
6. Cumulative distribution function (CDF)
Continuous random variable and Probability Distributions
• Random variable: X
• Cumulative distribution function (CDF): F(x) = P(X ≤ x), (-∞ < 𝑥 < ∞)
• Probability density function (pdf): f(x) = dF(x)/dx
• Rules governing continuous distributions:
• f(x) ≥ 0 Ɐ x
• ∫6 𝑓 𝑥 𝑑𝑥 = 1
7
8
• P(a ≤ X ≤ b) = F(b) – F(a) = ∫9 𝑓 𝑥 𝑑𝑥
9
• P(X=a) = P(a ≤ X ≤ a) = ∫9 𝑓 𝑥 𝑑𝑥 = 0 Ɐ a
• F(-∞) = 0, F(∞) = 1
• F(x) is a continuous function of x.
• f(x) = F’(x) at all points where F(x) is differentiable.
7. Mean and Variance of a Continuous Random variable
• If X is a continuous random variable and f(x) is the pdf of X, then we define
Mean = µx = ∫6 𝑥 𝑓 𝑥 𝑑𝑥
7

Variance = (σx)2 = ∫6 𝑥 − µx 2 𝑓 𝑥 𝑑𝑥
7

= ∫; 𝑥2 𝑓 𝑥 𝑑𝑥 − 2µx(∫; 𝑥𝑓 𝑥 𝑑𝑥) − (µx ) 2( ∫; 𝑓 𝑥 𝑑𝑥)
< < <

= ∫6 𝑥2 𝑓 𝑥 𝑑𝑥 - (µx)2 [using ∫6 𝑓 𝑥 𝑑𝑥 = 1]
7 7

• Square root of Variance is the Standard Deviation.


Example 1
• QUESTION: If the density function of a continuous random variable X is given by
f(x) = 0, x < 0
= ax, 0 ≤ x ≤ 2,
= (4-x)a, 2 ≤ x ≤ 4,
= 0, x > 4
Then
q Find the value of a
q Find the cdf of X
q Find P(X > 2.5)
Example 1
• SOLUTION:
(i) Since f(x) is a pdf, we have
=
∫6 𝑓 𝑥 𝑑𝑥 = 1, that is ∫> 𝑓 𝑥 𝑑𝑥 = 1
7

Note that f(x) is a continuous function. We have


@ =
∫> 𝑎𝑥𝑑𝑥 + ∫@ 𝑎 4 − 𝑥 𝑑𝑥 = 1
or 2a + 2a = 1,
or a = ¼
Example1
• SOLUTION (Contd.):

<
(ii) The cdf is F(x) = P (-∞ < x ≤ x) = ∫BC 𝑓 𝑥 𝑑𝑥
We have
x<0: F(x) = 0

< <
0 ≤ x ≤ 2: F(x) = ∫> 𝑑𝑥 = 𝑥2/8
=

@ <F
2 ≤ x ≤ 4: F(x) = ∫> (𝑥/4)𝑑𝑥 + ∫@ 4 − 𝑥 𝑑𝑥 = (8𝑥 − 𝑥2 − 8)/8
=

> @ = <
x > 4: F(x) = ∫BC 𝑓 𝑥 𝑑𝑥 + ∫> 𝑓 𝑥 𝑑𝑥 + ∫@ 𝑓 𝑥 𝑑𝑥 + ∫= 𝑓 𝑥 𝑑𝑥 = 1

= F
(iii) P(X> 2.5) = ∫@.K 4 − 𝑥 𝑑𝑥 = 9/32
=
Example 2
• QUESTION: The distribution function of a random variable is given by

1 − 1 + 𝑥 𝑒 B< , 𝑥 ≥ 0
F(x) = L
0, 𝑥 < 0
Find the corresponding density function of random variable X. Also find the mean and variance.
Q Q
• SOLUTION: We have f x = ( 𝐹 𝑥 = (1 − 1 + 𝑥 𝑒 B< )
Q< Q<

Q
= (1 − 𝑒 B< − 𝑥𝑒 B< ) = 0 − (−𝑒 B< ) − (𝑥 −𝑒 B< + 𝑒 B< ) = 𝑥𝑒 B<
Q<

𝑥𝑒 B< , 𝑥 ≥ 0
Hence, f(x) = L is the required density function.
0 , otherwise
C C
Mean = µx = ∫BC 𝑥𝑓 𝑥 𝑑𝑥 = ∫> 𝑥2𝑒 B< 𝑑𝑥 = … = 2
C C
Variance = ∫BC 𝑥2𝑓 𝑥 𝑑𝑥 − (µx)2 = ∫> 𝑥3𝑒 B< 𝑑𝑥 − (µx)2 = … = 6 – 22 = 2
EXPECTED VALUES OF CONTINUOUS RVS
C
• Expected Value: µx = E(X) = Mean = ∫BC 𝑥𝑓 𝑥 𝑑𝑥
C
• E[g(X)] = ∫BC 𝑔 𝑥 𝑓 𝑥 𝑑𝑥
• Variance: (σx)2 = Var(X)= E[(x - µx)2]
C
= ∫BC 𝑥 − µx 2 𝑓 𝑥 𝑑𝑥 = E(X2) – (µx)2 = E(X2) – [E(X)]2
For real numbers a,b:
C
• E[aX+b] = ∫BC 𝑎𝑥 + 𝑏 𝑓 𝑥 𝑑𝑥 = aE(X) + b = aµx + b

• Var [aX+b] = (σax+b)2 = E[(aX+b) – E(aX+b)]2 = a2 V(X) = a2 (σx)2


• Standard deviation = σax+b = |a|σx

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