Chapter 3

RANDOM VARIABLE

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 Two Types of Random Variables
• A discrete random variable can assume a countable
number of values.
– Number of steps to the top of the Eiffel Tower*
• A continuous random variable can assume any value
along a given interval of a number line.
– The time a tourist stays at the top
once s/he gets there

*Believe it or not, the answer ranges from 1,652 to 1,789. See Great Buildings

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 • Discrete random variables
– Number of sales
– Number of calls
– Shares of stock
– People in line
– Mistakes per page

• Continuous random variables

– Length
– Depth
– Volume
– Time
– Weight

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 For discrete
random variable

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 For discrete random variable

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 X

a) Find PMF of X
b) Find P(X>3)

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 CDF and PDF of Continuous Random Variable
For a continuous random variable X we have a function f, called the probability density
function (pdf). Every probability density function must satisfy

 Cumulative distribution function (CDF) of continuous random variable is defined as

X X

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1. Example: Metal Cylinder Production

Suppose that the random variable X is the diameter of a randomly chosen

cylinder manufactured by the company. Since this random variable can
take any value between 49.5 and 50.5, it is a continuous random
variable

Suppose that the diameter of a metal cylinder has a p.d.f

f ( x)  1.5  6( x  50.2) 2 for 49.5  x  50.5

f ( x)  0, elsewhere

f ( x)

49.5 50.5 x
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This is the valid PDF as area under curve is 1
50.5
 49.5
(1.5  6( x  50.0) 2 ) dx  [1.5 x  2( x  50.0)3 ]50.5
49.5

 [1.5  50.5  2(50.5  50.0)3 ]

[1.5  49.5  2(49.5  50.0)3 ]
 75.5  74.5  1.0
The probability that a metal cylinder has a diameter between 49.8 and
50.1 mm can be calculated to be
50.1
49.8
(1.5  6( x  50.0) 2 ) dx  [1.5 x  2( x  50.0) 3 ]50.1
49.8

 [1.5  50.1  2(50.1  50.0)3 ]

f ( x) [1.5  49.8  2(49.8  50.0)3 ]
 75.148  74.716  0.432

49.5 49.8 50.1 50.5 x

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 Cumulative Distribution Function

x
 F ( x)  P( X  x)   f ( y )dy


dF ( x)
 f ( x) 
dx

 P (a  X  b)  P ( X  b)  P ( X  a )
 F (b)  F (a)

 P (a  X  b)  P (a  X  b)

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 Cumulative Distribution Function

x
F ( x)  P( X  x)   (1.5  6( y  50.0) 2 ) dy
49.5

 [1.5 y  2( y  50.0)3 ]49.5

x

 [1.5 x  2( x  50.0)3 ]  [1.5  49.5  2(49.5  50.0) 3 ]

1.5 x  2( x  50.0)3  74.5

P (49.7  X  50.0)  F (50.0)  F (49.7)

 (1.5  50.0  2(50.0  50.0)3  74.5)
(1.5  49.7  2(49.7  50.0)3  74.5)
 0.5  0.104  0.396

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 X

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 In mathematics, the moments of a function are quantitative
measures related to the shape of the function's graph

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 Discrete Random variable Example

Example: Two Boxes contains 7 balls each, numbered from 1 to 7. one ball is
selected randomly from the each Box. Let Random variable X be the difference of the
numbers (that is, the largest number minus the smallest number) of the selected
balls. Find the probability distribution or PMF of X, CDF and its mean, variance and
standard deviation.

If (a)the balls are selected from the urn with replacement.

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Step II: find random variable X (difference of highest to lowest value)

Step III. Find PMF (or probability distribution for discrete random variable)

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 Find CDF: Do your self
 Mean value or Expected of discrete random variable X

 Variance of discrete random variable X

 Standard deviation of discrete random variable X.

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 Continuous RV

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 Exercise :
Let the random variable X denote the time a person waits for an elevator to
arrive. Suppose the longest one would need to wait for the elevator is 2
minutes, so that the possible values of X (in minutes) are given by the
interval [0,2]. A possible pdf for X is given by calculate mean , varience and
SD.

Applying Definition we compute the expected value ( Mean) of X

Thus, we expect a person will wait 1 minute for the elevator on average.

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Now we calculate the variance and standard deviation of X, by first
finding the expected value of X2

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 Exercise:

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 Solution :

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Up to now we have studied Discrete Distributions and Continuous Distributions, we
explored probability distributions of one random variable, say X.

Here, we'll extend many of the definitions and concepts that we learned to the
case in which we have two random variables, say X and Y

• Joint Probability Distributions

– Discrete

P ( X  xi , Y  y j )  pij  0
satisfying  p
i j
ij 1

– Continuous
f ( x, y)  0 satisfying 
state space
f ( x, y)dxdx  1

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• Joint Cumulative Distribution Function
– Discrete
F ( x, y )  P ( X  xi , Y  y j )

F ( x, y )   
i:xi  x j: y j  y
pij
– Continuous

x y
F ( x, y )    f ( w, z )dzdw
w  z 

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• Example : Air Conditioner Maintenance
– A company that services air conditioner units in
residences and office blocks is interested in how
to schedule its technicians in the most efficient
manner
– The random variable X, taking the values 1,2,3 and
4, is the service time in hours
– The random variable Y, taking the values 1,2 and 3,
is the number of air conditioner units

From the table given below find the joint PMF

and Joint CDF.
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Y= X=service time in Hour
number
of units Joint p.m.f
1 2 3 4

 p ij 0.12  0.18
1 0.12 0.08 0.07 0.05 i j

  0.07  1.00

2 0.18 0.15 0.21 0.13

Joint cumulative distribution function

3 0.01 0.01 0.02 0.07 F (2, 2)  p11  p12  p21  p22

 0.12  0.18  0.08  0.15
 0.43

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 Conditional Probability Distribution for Discrete Random
Variables

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Continue...

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 Conditional probability Distribution for Continuous Random Variables
(Conditional probability density function)
The probability distribution of a continuous random variable can be characterized
by its probability density function (pdf). When the probability distribution of the
random variable is updated, by taking into account some information that gives
rise to a conditional probability distribution, then such a distribution can be
characterized by a conditional probability density function.

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Continue..

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 Exercise :

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Exercise :

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Solution:

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Continue..

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Exercise:

Solution:

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• A Gaussian random variable is one whose probability density function can
be written in the general form

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 Special Distribution:
Continuous Probability Distributions
 UNIFORM DISTRIBUTION

PDF CDF

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 EXPONENTIAL DISTRIBUTION
PDF CDF

Application: Exponential distributions find wide applicability in queuing theory, reliability

theory, and communication theory

 Normal (Gaussian) Distribution

Application: A random variable X consisting of a number of components, each with a

general distribution tends to a normal distribution as the number becomes very large.
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 LAPLACE DISTRIBUTION
The Laplace density, also called a double-exponential density, is defined by

Applications: To model navigation and pilot errors, speech, and image processing.

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 CAUCHY DISTRIBUTION

Application: A Cauchy distribution is a good indicator of how sensitive the tests are to heavy-
tail departures from normality.

BETA DISTRIBUTION

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 Discrete Probability Distributions
 BERNOULLI DISTRIBUTION
A single event is Bernoulli distributed if the probability of success is p and probability of
failure is q

 BINOMIAL DISTRIBUTION
The probability b(k; n, p) that the event A occurs exactly k times in n Bernoulli trials.

This is called the binomial distribution, and b(k;n,p) is called a probability mass function

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POISSON DISTRIBUTION
In the regular Poisson distribution the cumulative distribution has unit jumps at random times
and not at discrete times. Thus, it is discrete in state but continuous in time.

Applications:

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GEOMETRIC DISTRIBUTION

A sequence of independent Bernoulli trials with p as the probability of success can be

modeled in two different ways. The distribution of the number of successes k is binomial.
The waiting time until the first success occurs is geometrically distributed. If the first
success is to occur at the kth trial, then we must have (k -1) failures preceding the first
success

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NEGATIVE BINOMIAL DISTRIBUTION
Let us now define the following events to find this distribution

HYPERGEOMETRIC DISTRIBUTION
 The binomial distribution is obtained while sampling with replacement. Let us
select a sample of n microprocessor chips from a bin of N chips. It is known
that K of these chips are defective.

 If we sample with replacement then the probability of any defective chip is K/N.

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 The probability that k of them will be defective in a sample size of n is given by the
binomial distribution since each drawing of a chip constitutes a Bernoulli trial.

 On the other hand, if we sample without replacement, then the probability for the first
chip is K/N, the probability for the second chip is (K- 1)/(N-1), and for each succeeding
sample the probability changes.

 Hence the drawings of the chips do not constitute Bernoulli trials and binomial
distribution does not hold. Hence we have to use alternate methods to arrive at the
probability of finding k defective chips in n trials.

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 Thank You...

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