Random variables.

Distributions of discrete random variables.

Distributions of continuous random variables
Expectation and variance
Discrete random vectors

P ROBABILITY AND S TATISTICS

C HAPTER 2: R ANDOM VARIABLES AND RANDOM VECTORS

Dr. Phan Thi Huong

HoChiMinh City University of Technology

Faculty of Applied Science, Department of Applied Mathematics
Email: [email protected]

HCM city — 2021.

Dr. Phan Thi Huong Probability and Statistics

 Random variables.
Distributions of discrete random variables.
Distributions of continuous random variables
Expectation and variance
Discrete random vectors

O UTLINE

1 R ANDOM VARIABLES .

Dr. Phan Thi Huong Probability and Statistics

 Random variables.
Distributions of discrete random variables.
Distributions of continuous random variables
Expectation and variance
Discrete random vectors

O UTLINE

1 R ANDOM VARIABLES .

2 D ISTRIBUTIONS OF DISCRETE RANDOM VARIABLES .

Dr. Phan Thi Huong Probability and Statistics

 Random variables.
Distributions of discrete random variables.
Distributions of continuous random variables
Expectation and variance
Discrete random vectors

O UTLINE

1 R ANDOM VARIABLES .

2 D ISTRIBUTIONS OF DISCRETE RANDOM VARIABLES .

3 D ISTRIBUTIONS OF CONTINUOUS RANDOM VARIABLES

Dr. Phan Thi Huong Probability and Statistics

 Random variables.
Distributions of discrete random variables.
Distributions of continuous random variables
Expectation and variance
Discrete random vectors

O UTLINE

1 R ANDOM VARIABLES .

2 D ISTRIBUTIONS OF DISCRETE RANDOM VARIABLES .

3 D ISTRIBUTIONS OF CONTINUOUS RANDOM VARIABLES

4 E XPECTATION AND VARIANCE

Dr. Phan Thi Huong Probability and Statistics

 Random variables.
Distributions of discrete random variables.
Distributions of continuous random variables
Expectation and variance
Discrete random vectors

O UTLINE

1 R ANDOM VARIABLES .

2 D ISTRIBUTIONS OF DISCRETE RANDOM VARIABLES .

3 D ISTRIBUTIONS OF CONTINUOUS RANDOM VARIABLES

4 E XPECTATION AND VARIANCE

5 D ISCRETE RANDOM VECTORS

Dr. Phan Thi Huong Probability and Statistics

 Random variables.
Distributions of discrete random variables.
Distributions of continuous random variables
Expectation and variance
Discrete random vectors

R ANDOM VARIABLE AND ITS N OTATION

D EFINITION 1.1
A variable that associates a number X (ω) with the outcome ω of a
random experiment is called a random variable.

X :Ω → R
ω → X (ω)

Dr. Phan Thi Huong Probability and Statistics

 Random variables.
Distributions of discrete random variables.
Distributions of continuous random variables
Expectation and variance
Discrete random vectors

R ANDOM VARIABLE AND ITS N OTATION

D EFINITION 1.1
A variable that associates a number X (ω) with the outcome ω of a
random experiment is called a random variable.

X :Ω → R
ω → X (ω)

Uppercase letters (X , Y , Z ): Random variables.

Lowercase letters (x, y, z): Measured values of random
variables (after the experiment is conducted), e.g., x = 70
milliamperes.

Dr. Phan Thi Huong Probability and Statistics

 Random variables.
Distributions of discrete random variables.
Distributions of continuous random variables
Expectation and variance
Discrete random vectors

R ANDOM VARIABLE AND ITS N OTATION

D EFINITION 1.2
A discrete random variable is a random variable with a finite or
countably infinite range. Its values are obtained by counting.

Dr. Phan Thi Huong Probability and Statistics

 Random variables.
Distributions of discrete random variables.
Distributions of continuous random variables
Expectation and variance
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R ANDOM VARIABLE AND ITS N OTATION

D EFINITION 1.2
A discrete random variable is a random variable with a finite or
countably infinite range. Its values are obtained by counting.

Number of scratches on a surface.

Number of defective parts among 100 tested.
Number of transmitted bits received in error.
Number of common stock shares traded per day.

Dr. Phan Thi Huong Probability and Statistics

 Random variables.
Distributions of discrete random variables.
Distributions of continuous random variables
Expectation and variance
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R ANDOM VARIABLE AND ITS N OTATION

D EFINITION 1.3
A continuous random variable is a random variable with an interval
(either finite or infinite) of real numbers for its range. Its values are
obtained by measuring.

Dr. Phan Thi Huong Probability and Statistics

 Random variables.
Distributions of discrete random variables.
Distributions of continuous random variables
Expectation and variance
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R ANDOM VARIABLE AND ITS N OTATION

D EFINITION 1.3
A continuous random variable is a random variable with an interval
(either finite or infinite) of real numbers for its range. Its values are
obtained by measuring.

Electrical current and voltage.

Physical measurements, e.g., length, weight, time,
temperature, pressure.

Dr. Phan Thi Huong Probability and Statistics

 Random variables.
Distributions of discrete random variables.
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Expectation and variance
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P ROBABILITY MASS FUNCTION

D EFINITION 2.1
For a discrete random variable X with possible values
x 1 , x 2 , . . . , x n , . . . a probability mass function (p.m.f ) is a function
such that

P (X = u) if u ∈ {x 1 , . . . , x n , . . .}
½
f (u) =
0 if u ∉ {x 1 , . . . , x n , . . .}

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 Random variables.
Distributions of discrete random variables.
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P ROBABILITY MASS FUNCTION

D EFINITION 2.1
For a discrete random variable X with possible values
x 1 , x 2 , . . . , x n , . . . a probability mass function (p.m.f ) is a function
such that

P (X = u) if u ∈ {x 1 , . . . , x n , . . .}
½
f (u) =
0 if u ∉ {x 1 , . . . , x n , . . .}

P ROPOSITION 2.1 (C HARACTERISTIC PROPERTIES )

A discrete function f is a probability mass function iff
P
1 f (u) ≥ 0 for all u. 2
u f (u) = 1.

Dr. Phan Thi Huong Probability and Statistics

 Random variables.
Distributions of discrete random variables.
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P ROBABILITY MASS FUNCTION

D EFINITION 2.1
For a discrete random variable X with possible values
x 1 , x 2 , . . . , x n , . . . a probability mass function (p.m.f ) is a function
such that

P (X = u) if u ∈ {x 1 , . . . , x n , . . .}
½
f (u) =
0 if u ∉ {x 1 , . . . , x n , . . .}

P ROPOSITION 2.1 (C HARACTERISTIC PROPERTIES )

A discrete function f is a probability mass function iff
P
1 f (u) ≥ 0 for all u. 2
u f (u) = 1.
Note: For any event A, P(X ∈ A) =
P
u∈A f (u).
Dr. Phan Thi Huong Probability and Statistics
 Random variables.
Distributions of discrete random variables.
Distributions of continuous random variables
Expectation and variance
Discrete random vectors

E XAMPLE 1
There is a chance that a bit transmitted through a digital
transmission channel is received in error. Let X denote the number
of bits received in error in 4 bits transmitted. Suppose that the
probabilities are

P(X =0) = 0.6561

P(X =1) = 0.2916
P(X =2) = 0.0486
P(X =3) = 0.0036
P(X =4) = 0.0001
Total 1.0000

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 Random variables.
Distributions of discrete random variables.
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E XAMPLE 1
There is a chance that a bit transmitted through a digital
transmission channel is received in error. Let X denote the number
of bits received in error in 4 bits transmitted. Suppose that the
probabilities are

0.6
P(X =0) = 0.6561
P(X =1) = 0.2916
0.4
P(X =2) = 0.0486
P(X =3) = 0.0036 0.2
P(X =4) = 0.0001
Total 1.0000 0
0 2 4

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 Random variables.
Distributions of discrete random variables.
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Expectation and variance
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E XAMPLE 2
Suppose that a random variable X has a discrete distribution with
the following p.m.f.
(
cu, u = 1, · · · , 5
f (u) =
0, otherwise

(A) Determine the value of the constant c.

(B) Find P(X ∈ [0, 3]).

Dr. Phan Thi Huong Probability and Statistics

 Random variables.
Distributions of discrete random variables.
Distributions of continuous random variables
Expectation and variance
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E XAMPLE 3
Computers in a shipment of 100 units contain a portable hard drive,
solid-state memory, or both, according to the following table:
Portable Hard Drive
Solid-state memory Yes No
Yes 15 80
No 4 1
Two computers are selected randomly, with replacement, from the
the shipment. What is the probability mass function of the number
of computers in the sample having both Portable Hard Drive and
Solid-state memory?

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 Random variables.
Distributions of discrete random variables.
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Expectation and variance
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E XAMPLE 4
A discrete r.v X has the p.m.f as below

X −1 0 1 2
P 0.1 0.3 0.4 0.2

(A) Find the p.m.f of the r.v Y = 2X + 3.

(B) Find the p.m.f of the r.v Z = X 2 .

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 Random variables.
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C UMULATIVE DISTRIBUTION FUNCTION

D EFINITION 2.2
The cumulative distribution function (c.d.f) of a discrete random
variable X, denoted as F (x), is

F (x) = P(X ≤ x) =
X
f (x i )
x i ≤x

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 Random variables.
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P ROPOSITION 2.2
For a discrete random variable X , F (x) satisfies the following
properties.

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P ROPOSITION 2.2
For a discrete random variable X , F (x) satisfies the following
properties.
1 0 ≤ F (x) ≤ 1.

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 Random variables.
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P ROPOSITION 2.2
For a discrete random variable X , F (x) satisfies the following
properties.
1 0 ≤ F (x) ≤ 1.
2 If x ≤ y, then F (x) ≤ F (y).

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 Random variables.
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P ROPOSITION 2.2
For a discrete random variable X , F (x) satisfies the following
properties.
1 0 ≤ F (x) ≤ 1.
2 If x ≤ y, then F (x) ≤ F (y).
3 F is right continuous: limu→a + F (u) = F (a).

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 Random variables.
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P ROPOSITION 2.2
For a discrete random variable X , F (x) satisfies the following
properties.
1 0 ≤ F (x) ≤ 1.
2 If x ≤ y, then F (x) ≤ F (y).
3 F is right continuous: limu→a + F (u) = F (a).
4 F (−∞) = lim F (x) = 0, F (+∞) = lim F (x) = 1.
x→−∞ x→+∞

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 Random variables.
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P ROPOSITION 2.2
For a discrete random variable X , F (x) satisfies the following
properties.
1 0 ≤ F (x) ≤ 1.
2 If x ≤ y, then F (x) ≤ F (y).
3 F is right continuous: limu→a + F (u) = F (a).
4 F (−∞) = lim F (x) = 0, F (+∞) = lim F (x) = 1.
x→−∞ x→+∞
5 P (a < X ≤ b) = F (b) − F (a) for all a, b ∈ R and a ≤ b.

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 Random variables.
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E XAMPLE 5
Let X be a discrete random variable which is identified by the
following c.d.f.


0, x < −2


0.2, −2 ≤ x < 0
F (x) =


0.7, 0 ≤ x < 2

1, 2 ≤ x


(A) Compute F (2).

(B) Compute P(−2 < X ≤ 2).
(C) Compute P(1.5 ≤ X ≤ 3).

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 Random variables.
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P ROBABILITY DENSITY FUNCTION

D EFINITION 3.1
For a continuous random variable X , a probability density function
is a function such that
1 f (x) ≥ 0
R∞
−∞ f (x) = 1
2

Rb
3 P(a ≤ X ≤ b) = a f (x)d x = area under f(x) from a to b.

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C ONTINUOUS D ISTRIBUTION

Note: P (a ≤ X ≤ b) = P (a < X ≤ b) = P (a ≤ X < b) = P (a < X < b)

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C ONTINUOUS D ISTRIBUTION

Note: P (a ≤ X ≤ b) = P (a < X ≤ b) = P (a ≤ X < b) = P (a < X < b)

E XAMPLE 6
Suppose that the p.d.f. of X is as
(
cu, 0 < u < 4
f (u) =
0, otherwise

Find c. Then determine P (1 ≤ X ≤ 2) and P (X > 2).

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C ONTINUOUS D ISTRIBUTION

E XAMPLE 7
The amount of time in hours that a computer functions before
breaking down is a continuous random variable with probability
density function
(
λe −u/100 , u ≥ 0
f (u) =
0, otherwise

Compute the probability that a computer will function

A between 50 and 150 hours before breaking down?
B for fewer than 100 hours?

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C ONTINUOUS DISTRIBUTION

D EFINITION 3.2
The cumulative distribution function of a continuous random
variable X is Z x
F (x) = P (X ≤ x) = f (u)d u
−∞
for all −∞ ≤ x ≤ ∞.
Note:

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C ONTINUOUS DISTRIBUTION

D EFINITION 3.2
The cumulative distribution function of a continuous random
variable X is Z x
F (x) = P (X ≤ x) = f (u)d u
−∞
for all −∞ ≤ x ≤ ∞.
Note:

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C ONTINUOUS DISTRIBUTION

D EFINITION 3.2
The cumulative distribution function of a continuous random
variable X is Z x
F (x) = P (X ≤ x) = f (u)d u
−∞
for all −∞ ≤ x ≤ ∞.
Note:
1 P(a < X < b) = P(a < X ≤ b) = P(a ≤ X < b) = P(a ≤ X ≤ b) =
F (b) − F (a)

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C ONTINUOUS DISTRIBUTION

D EFINITION 3.2
The cumulative distribution function of a continuous random
variable X is Z x
F (x) = P (X ≤ x) = f (u)d u
−∞
for all −∞ ≤ x ≤ ∞.
Note:
1 P(a < X < b) = P(a < X ≤ b) = P(a ≤ X < b) = P(a ≤ X ≤ b) =
F (b) − F (a)
2
d
F 0 (x) = F (x) = f (x)
dx

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C ONTINUOUS DISTRIBUTION

E XAMPLE 8

Let the continuous random variable X denote the current

measured in a thin copper wire in milliamperes. Assume that the
range of X is [4.9, 5.1] mA, and assume that the probability density
function of X is f (x) = 5 for 4.9 ≤ x ≤ 5.1.
(A) Find the the c.d.f of X .
(B) What is the probability that a current measurement is less than
5 milliamperes?

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C ONTINUOUS DISTRIBUTION

E XAMPLE 9
Assume that the lifespan of a new released product (hours) follows
the given c.d.f
(
a
− a if x ≥ 100
F (x) = 100 x
0 if x < 100
where a ∈ R.
(A) Find the p.d.f. of X .
(B) Determine the value of a such that f (x) is defined.
(C) The product will be classified as type A if its lifespan is at least
400 hours. Find the portion of type A.

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E XPECTATION

D EFINITION 4.1
The expected value (mean) of a random variable X is

E(X ) = x i P(X = x i )
X X
x i f (x i ) = (discrete)
i i
Z ∞
E(X ) = x f (x)d x (continuous).
−∞

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E XPECTATION

D EFINITION 4.1
The expected value (mean) of a random variable X is

E(X ) = x i P(X = x i )
X X
x i f (x i ) = (discrete)
i i
Z ∞
E(X ) = x f (x)d x (continuous).
−∞

Other names: Expected value, Mean, Mean value, Average value.

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E XPECTATION

D EFINITION 4.1
The expected value (mean) of a random variable X is

E(X ) = x i P(X = x i )
X X
x i f (x i ) = (discrete)
i i
Z ∞
E(X ) = x f (x)d x (continuous).
−∞

Other names: Expected value, Mean, Mean value, Average value.

Other notation: µ = E(X )

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E XPECTATION

I NTERPRETATION OF M EAN

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E XPECTATION

I NTERPRETATION OF M EAN
A weighted average of the possible values of X , with each value
weighted by the probability that X assumes it. ==> E(X )
describes the "center" or the "balance" point of the
distribution.

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E XPECTATION

I NTERPRETATION OF M EAN
A weighted average of the possible values of X , with each value
weighted by the probability that X assumes it. ==> E(X )
describes the "center" or the "balance" point of the
distribution.
The average value of X over a large number of replications of
the experiment is approximately E[X ].

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E XPECTATION

P ROPOSITION 4.1
Properties of Expectation
1 E(C ) = C .
2 Expectation is linear: E(aX + b) = a E(X ) + b and
E(X + Y ) = E(X ) + E(Y )
3 If X and Y are two independent variables, then
E(X Y ) = E(X )E(Y ).

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E XPECTATION
E XAMPLE 10
A roulette wheel has the numbers 1 through 36, as well as 0 and 00.
If you bet $1 that an odd number comes up, you win or lose $1
according to whether that event occurs. If X denotes your net gain,
find E(X ).

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E XPECTATION

E XAMPLE 11
Find E[X ] when the density function of X is
(
2u, 0 ≤ u ≤ 1
f (u) =
0, otherwise

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T HE SECOND MOMENT OF RANDOM VARIABLES

D EFINITION 4.2
The expected value of a random variable X 2 is called the second
moment of X that is computed by

E(X 2 ) = u 2 f (u)
X
(discrete)
u
Z ∞
E(X 2 ) = u 2 f (u)d u (continuous).
−∞

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T HE SECOND MOMENT OF RANDOM VARIABLES

E XAMPLE 12
Let X denote a random variable that takes on any of the values -1, 0,
and 1 with respective probabilities

P (X = −1) = 0.2, P (X = 0) = 0.5, P (X = 1) = 0.3

Compute E(X 2 ).

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T HE SECOND MOMENT OF RANDOM VARIABLES

E XAMPLE 12
Let X denote a random variable that takes on any of the values -1, 0,
and 1 with respective probabilities

P (X = −1) = 0.2, P (X = 0) = 0.5, P (X = 1) = 0.3

Compute E(X 2 ).

E XAMPLE 13
Let X be the current measured in mA. The PDF is f (x) = 0.05 for
0 ≤ x ≤ 20. What is the expected value of power when the resistance
is 100 ohms? Use the result that power in watts P = 10−6 R I 2 , where
I is the current in milliamperes and R is the resistance in ohms.

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E XPECTATION OF FUNCTION OF A RANDOM VARIABLE

P ROPOSITION 4.2
In general, for any function g (u) and random variable X :

E[g (X )] =
X
g (x) f (x) (discrete)
x
Z ∞
E[g (X )] = g (x) f (x)d x (continuous).
−∞

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E XPECTATION OF FUNCTION OF A RANDOM VARIABLE

E XAMPLE 14
There is a chance that a bit transmitted through a digital
transmission channel is received in error. X is the number of bits
received in error of the next 4 transmitted. The probabilities are

P (X = 0) = 0.6561, P (X = 2) = 0.0486, P (X = 4) = 0.0001,

P (X = 1) = 0.2916, P (X = 3) = 0.0036,

What is the expected value of the cube of the number of bits in

error?

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E XPECTATION OF FUNCTION OF A RANDOM VARIABLE

E XAMPLE 15
The time, in hours, it takes to locate and repair an electrical
breakdown in a certain factory is a random variable X whose
density function is given by
(
1, if 0 < u < 1
f (u) =
0, otherwise

If the cost involved in a breakdown of duration X is X 3 , what is the

expected cost of such a breakdown?

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VARIANCE AND STANDARD DEVIATION

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VARIANCE AND STANDARD DEVIATION

D EFINITION 4.3 ( VARIANCE )

The variance of a r.v X is V (X ), defined by

V (X ) = E (X − E (X ))2 = E(X 2 ) − E(X )2 (1)

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VARIANCE AND STANDARD DEVIATION

D EFINITION 4.3 ( VARIANCE )

The variance of a r.v X is V (X ), defined by

V (X ) = E (X − E (X ))2 = E(X 2 ) − E(X )2 (1)

D EFINITION 4.4 (S TANDARD DEVIATION )

The standard deviation of a r.v X is σ(X ), defined by V(X ).
p
σ(X ) = V(X )

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VARIANCE AND STANDARD DEVIATION

P ROPOSITION 4.3
If X is a discrete r.v, the variance of X is:
à !
∞ ∞
2
V (X ) = (x i − E(X )) f (x i ) = x i f (x i ) − E(X )2
2
X X
i =1 i =1

If X is a continuous r.v, the variance of X is:

Z+∞ Z+∞
2
V (X ) = (x − E(X )) f (x)d x = x 2 f (x)d x − E(X )2
−∞ −∞

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P ROPOSITION 4.4
Properties of Variance
1 V(c) = 0 where c is a constant.

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P ROPOSITION 4.4
Properties of Variance
1 V(c) = 0 where c is a constant.
2 Variance and standard deviation are not linear

V(a X + b) = a 2 V(X ) and σ(aX + b) = aσ(X )

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P ROPOSITION 4.4
Properties of Variance
1 V(c) = 0 where c is a constant.
2 Variance and standard deviation are not linear

V(a X + b) = a 2 V(X ) and σ(aX + b) = aσ(X )

3 If X and Y are independent then

V(X + Y ) = V(X ) + V(Y )

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M EDIAN

D EFINITION 4.5
For a continuous r.v, X , defined by the p.d.f f , the median
md (X ) = m can be found by solving
Z m
f (x)d x = 0.5
−∞

.
For a discrete r.v, X , the median md (X ) = m is a value such that

P(X ≤ m) ≥ 0.5 and P(X ≥ m) ≥ 0.5

Median measures center tendency of a distribution.

In case of continuous distribution, median is a value that
divide the pdf into two equal regions.
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E XAMPLE 16
Let consider X be a discrete random variable with the given
distribution.
X a 0.1 0.3 0.4 2
P 0.3 0.2 0.2 b 0.1

(A) Find a and b given that E(X ) = 0.3.

(B) Find V(X ) and σ(X ) at values of a and b found in question (a).
(C) Find P(0.1 ≤ X ≤ 1).
(D) Find md (X ).

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VARIANCE AND STANDARD DEVIATION

E XAMPLE 17
Suppose X has the following pdf, where c is a constant to be
determined (
c(1 − u 2 ), −1 ≤ u ≤ 1
f (u) =
0, otherwise
Compute E(X ), V(X ), and md (X ).

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J OINT DISTRIBUTION

In many random experiments, more than one quantity is measured,

meaning that there is more than one random variable.

E XAMPLE 5.1 (C ELL PHONE FLASH UNIT )

A flash unit is chosen randomly from a production line; its recharge
time X (seconds) and flash intensity Y (watt-seconds) are measured.

To make probability statements about several random variables, we

need their joint probability distribution.

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J OINT P ROBABILITY M ASS F UNCTION

D EFINITION 5.1
The joint probability mass function of the discrete random
variables X and Y denoted as f X Y (u, v) satisfies

f X Y (u, v) = P (X = u, Y = v).

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J OINT P ROBABILITY M ASS F UNCTION

D EFINITION 5.1
The joint probability mass function of the discrete random
variables X and Y denoted as f X Y (u, v) satisfies

f X Y (u, v) = P (X = u, Y = v).

P ROPOSITION 5.1 (C HARACTERISTIC PROPERTIES )

1 f X Y (x, y) ≥ 0 for all x, y.
P P
2
x y f X Y (x, y) = 1

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D ISCRETE RANDOM VECTORS

A joint probability mass function of two discrete random variables

X và Y can be illustrated by a table as below
Y/X x1 x2 ... xn sum of rows
y1 P(X = x 1 , Y = y 1 ) P(X = x 2 , Y = y 1 ) ... P(X = x n , Y = y 1 ) P(Y = y 1 )
y2 P(X = x 1 , Y = y 2 ) P(X = x 2 , Y = y 2 ) ... P(X = x n , Y = y n ) P(Y = y 2 )
...
yn P(X = x 1 , Y = y n ) P(X = x 2 , Y = y n ) ... P(X = x n , Y = y n ) P(Y = y n )
Sum of columns P(X = x 1 ) P(X = x 2 ) ... P(X = x n ) 1

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J OINT P ROBABILITY M ASS F UNCTION

E XAMPLE 18
A mobile web site is accessed from a smart phone; X is the signal
strength, in number of bars, and Y is response time, to the nearest
second.
y = Response time x = Number of Bars
(nearest second) of Signal Strength Determine
1 2 3 Total
1 0.01 0.02 0.25 0.28
A P (X < 3, Y ≤ 2).
2 0.02 0.03 0.20 0.25 B P (X < 3|Y ≤ 2).
3 0.02 0.10 0.05 0.17
4 0.15 0.10 0.05 0.30 C P (Y ≤ 2|X < 3).
Total 0.20 0.25 0.55 1.00

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M ARGINAL P ROBABILITY D ISTRIBUTIONS ( DISCRETE )

The marginal probability distribution for X

f X (u) = P (X = u)
X
= P (X = u, Y = v)
v
X
= f X Y (u, v)
v

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M ARGINAL P ROBABILITY D ISTRIBUTIONS ( DISCRETE )

The marginal probability distribution for X

f X (u) = P (X = u)
X
= P (X = u, Y = v)
v
X
= f X Y (u, v)
v

Themarginal probability distribution for Y

X
f Y (v) = f X Y (u, v).
u

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D EFINITION 5.2
Considering a random vector (X , Y ), if X has the marginal
probability distribution f X (x), then
∞
E(X ) =
X
x i f X (x i )
i =1

and
à !
∞ ∞
2
V(X ) = (x i − E(X )) f X (x i ) = x i2 f X (x i ) − E(X )2
X X
i =1 i =1

Similar formulas for Y .

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D EFINITION 5.3
If a random vector (X , Y ) has the joint probability mass function
f X Y (x, y), then
E(X Y ) =
XX
x i y j f X Y (x i , y j )
i j

và
E(h(X , Y )) =
XX
h(x i , y j ) f X Y (x i , y j )
i j

Covariance of (X, Y):

Cov(X , Y ) = σ X Y = E [(X − E(X ))(Y − E(Y ))] = E(X Y ) − E (X )E (Y )

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I NTERPRETION OF COVARIANCE :
Covariance is a measure of linear relationship between the random
variables.

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P ROPERTIES OF COVARIANCE :
1 Cov(X , X ) = V(X )
2 Cov(X , aY + b) = a Cov(X , Y )
3 Cov(X , Y + Z ) = Cov(X , Y ) + Cov(X , Z )
4 If X and Y independent, Cov(X , Y ) = 0.

D EFINITION 5.4
Correlation between X and Y is
Cov(X , Y ) σX Y
Cor (X , Y ) = ρ X Y = p =
V(X )V(Y ) σ X σY

Note: −1 ≤ ρ X Y ≤ 1. The correlation ρ X Y is a measure of linear

relationship between X and Y .

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D EFINITION 5.5 ( C ONDITIONAL PROBABILITY DISTRIBUTION )

Given random variables X and Y with the joint probability
distribution f X Y (x, y), a conditional probability distribution of X at
Y = y i is defined as

P (X = x, Y = y i ) f X Y (x, y i )
f X |y i = P (X = x|Y = y i ) = =
P (Y = y i ) f Y (y i )

Similarly,

P (X = x i , Y = y) f X Y (x i , y)
f Y |xi = P (Y = y|X = x i ) = = .
P (X = x i ) f X (x i )

Hence, the conditional expectation is

∞
E X |y i (X ) =
X
x i f X |y i (x i ).
i =1

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D EFINITION 5.6
For random variables X and Y , if any one of the following
properties is true, the others are also true, and X and Y are
independent.
1 f X Y (x, y) = f X (x) f Y (y) for all x and y.
2 f Y |x (y) = f Y (y) for all x and y with f X (x) > 0.
3 f X |y (x) = f X (x) for all x and y with f Y (y) > 0.
4 P (X ∈ A, Y ∈ B ) = P (X ∈ A)P (Y ∈ B ) for any sets A and B in the
range of X and Y, respectively.

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E XAMPLE 19
Given random variables X and Y with the joint probability
distribution f X Y (x, y) as below

X =x
Y =y 1 2 3
0 0.1 0.15 a
1 0.2 b 0.4

(A) Find a and b, given that E(Y ) = 0.7.

(B) Find E(X Y ).
(C) Find Cov(X , Y ) and Cor (X , Y ). Give a comment about
relationship between X and Y .
(D) Find E X |Y =0 .
(E) Are X and Y independent?
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M ARGINAL P ROBABILITY D ISTRIBUTIONS ( DISCRETE )

E XAMPLE 20
A mobile web site is accessed from a smart phone; X is the signal
strength, in number of bars, and Y is response time, to the nearest
second.
y = Response time x = Number of Bars
(nearest second) of Signal Strength
1 2 3
1 0.01 0.02 0.25
2 0.02 0.03 0.20
3 0.02 0.10 0.05
4 0.15 0.10 0.05
(A) Compute the mean and the variance of X .
(B) Compute E(X Y ).
(C) Are X and Y independent?
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