Probability and Stochastic Processes

A Friendly Introduction for Electrical and Computer Engineers

Chapter 2 Viewgraphs

1
 Random Variables

Experiment: Procedure + Observations

Observation is an outcome

Assign a number to each outcome: Random variable

2
 Random Variables
Three ways to get a rv:

The rv is the observation

The rv is a function of the observation

The rv is a function of a rv

3
 Discrete Random Variables

range of (set of possible values)

is discrete is is countable

Discrete rv has PMF

4
 PMF Properties

For an event ,

5
 Bernoulli RV
Get the phone number of a random student. Let if the last digit is
even. Otherwise, let .

otherwise

6
 Binomial RV

Test circuits, each circuit is rejected with probability independent of

no. of rejects

is the number of successes in trials:





otherwise

7
 Geometric RV
Circuit rejected with prob . is the number of tests up to and including the
first reject.




















From the tree, , ,


otherwise

8
 Geometric:


otherwise

0.2

P (y)
0.1

Y
0
0 10 20
y

9
 Pascal RV

No. of tests, , needed to find rejects.

rejects in tests

success on attempt

Events and are independent

10
 Pascal continued

and is binomial:

succ. in trials










otherwise

11
 Pascal: ,




otherwise

0.1
P (l)
0.05
L

0
0 10 20 30 40
l

12
 Summary

Bernoulli No. of succ. on one trial

Binomial No. of succ on trials

Geometric No. of trials until first succ.

Pascal No. of trials until succ

13
 Poisson rv

Counts arrivals of something.

Arrival rate , interval time .

With ,


otherwise

14
 Poisson:




otherwise

P (j)
0.5

J 0
0 2 4
j

15
 Poisson:




otherwise

0.2

P (j)
0.1

J
0
0 5 10 15
j

16
 Cumulative Distribution Functions

The cumulative distribution function (CDF) of random variable is

17
 CDF Example
1
1

P (r)

F (r)
0.5 0.5
R

R
0 0
−1 0 1 2 3 −1 0 1 2 3
r r

At the discontinuities and , is the upper values. (right


hand limit)

18
 CDF Properties
For any discrete rv , range satisfying ,


and

For all ,

For and small ,


for


19
 Expected Value

The expected value of is


Also called the average of .

20
 Average vs.

Average of samples:






Each . If each occurs times,






21
 Derived Random Variables

Each sample value of a derived rv is a function of a sample

Notation:

Experimental Procedure

1. Perform experiment, observe outcome .

22
PMF of



!




23
 Problem 2.6.5

Source transmits data packets to receiver.

If rec’d packet is error-free, rec’vr sends back ACK, otherwise NAK sent.

For each NAK, the packet is resent.

Each packet transmission is independently corrupted with prob .

Find the PMF of , no. of times a packet is sent

Each packet takes 1 msec to transmit. Source waits 1 msec to receive

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 Expected value of

Thm: Given rv with PMF , the expected value of , is


Example: :

25
 Variance and Std Deviation

Variance:




Variance measures spread of PMF

Standard Deviation:

Units of are the same as .

26
 Properties of the variance

If , .

If , .

27
 Conditional PMF of given

Given , with ,


Two kinds of conditioning.

28
 Conditional PMFs - version 1

Probability model tells us for possible .




#
Example: In the th month of the year, the number of cars crossing the
GW bridge is Poisson with param .

29
 Conditional PMFs - version 2

is an event defined in terms of .

is a subset of such that for each , either or .




$


%

&


otherwise

30
 Conditional PMF Example
Example: is geometric with . What is the conditional PMF of
given event that ?

31
 Conditional Expectations

Replace with






32