Probability and Statistics for Engineers

Chapter 3: Random Variables and Probability Distributions

Lecturer

Dr. Monjed H. Samuh

(Associate Professor)

Applied Mathematics & Physics Department

Palestine Polytechnic University
[email protected]

Fall 2022-2023

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Table of Contents

1 Learning Objectives

2 Concept of a Random Variable

3 Discrete Probability Distributions

4 Continuous Probability Distributions

5 Joint Probability Distributions

6 Exercises

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Learning Objectives

After studying this chapter, the student will:

1 Be able to distinguish between the two types of random variables.

2 Study the properties of probability density/mass function.

3 Construct a probability density/mass function of continuous/discrete random

variable.

4 Use probability distributions to solve engineering problems.

5 Calculate the joint distribution of two discrete random variables.

6 Determine the marginal probability distributions (discrete case).

7 Determine conditional probability distribution (discrete case).

8 Investigate the statistical independence between random variables.

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Concept of a Random Variable

A random variable is a function that assigns a real number to each outcome in

the sample space of a random experiment.

X : Ω → R.
For example, toss a coin three times and let X be the number of tails observed.

The sample space is: Ω = {HHH, HHT , HTH, THH, HTT , THT , HTT , TTT }.

The space of X is: {0, 1, 2, 3}.

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Concept of a Random Variable

A random variable is denoted by an uppercase letter such as X . After an

experiment is conducted, the measured value of the random variable is denoted
by a lowercase letter such as x = 70 cm.

Random variables are either discrete random variables or continuous random

variable.

A discrete random variable is a random variable with a finite (or countably

infinite) range.
Examples: the number of children in a family, the number of patients in a doctor’s
surgery, the number of defective light bulbs in a box, etc.

A continuous random variable is a random variable with an interval (either finite

if infinite) or real numbers for its range.
Examples: The computer time (in seconds) required to process a certain program,
electrical current, length, temperature, etc.

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Discrete Probability Distributions

The probability distribution of the random variable X is a description of the

probabilities with the possible numerical values of X .

A probability distribution of a discrete random variable can be:

A list of the possible values along with their probabilities.

A formula that is used to calculate the probability in response to an input of the random
variable’s value.

In the case of tossing a coin three times, the variable X , representing the number
of tails:
x 0 1 2 3
1 3 3 1
p(x) 8 8 8 8

We may write: f (x) or P(X = x) or p(x) to denote probability distribution.

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Discrete Probability Distributions

The set of ordered pairs (x, f (x)) is a probability function, probability mass
function, or probability distribution of the discrete random variable X if, for each
possible outcome x,
1 f (x) ≥ 0.

P
2
x f (x) = 1.

3 f (x) = P(X = x) = p(x).

Example: A shipment of 20 similar laptop computers to a retail outlet contains 3 that

are defective. If a school makes a random purchase of 2 of these computers, find the
probability distribution for the number of defectives.

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Discrete Probability Distributions

Example: An optical inspection system is to distinguish among different part types.

The probability of a correct classification of any part is 0.98. Suppose that three parts
are inspected and that the classifications are independent. Let the random variable X
denote the number of parts that are correctly classified. Determine the probability
mass function of X .

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Discrete Probability Distributions
Example: Consider the experiment of rolling a die twice. Let the random variable X
represents the sum of the numbers obtained on two rolls.
1 What are the values of X .

2 Obtain the probability distribution of X .

3 Find P(1 < X ≤ 6).

4 Find P(3 > X ).

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Discrete Probability Distributions
2x+c
Example: Let f (x) = 25
, x = 0, 1, 2, 3, 4.

1 Find the constant c.

2 P(X = 4).

3 P(X ≤ 1).

4 P(2 ≤ X < 4).

5 P(X > −10).

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Discrete Probability Distributions

The cumulative distribution function (cdf), F (x), of a discrete random variable

X with probability distribution f (x) is given by
X
F (x) = P(X ≤ x) = f (t), −∞ < x < ∞.
t≤x

F (x) satisfies the following properties:

1 0 ≤ F (x) ≤ 1.

2 If x ≤ y , then F (x) ≤ F (y ).

For example:
x 0 1 2 3
1 3 3 1
p(x) = f (x) 8 8 8 8
1 4 7 8
F (x) = P(X ≤ x) 8 8 8 8

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Discrete Probability Distributions
The probability mass function can be written as
 1
 8 if x = 0, 3
f (x) = ,
 3
8
if x = 1, 2

The cumulative distribution function can be written as



 0 if x < 0



 1



 8
if 0 ≤ x < 1



4
F (x) = 8
if 1 ≤ x < 2 ,




 78 if 2 ≤ x < 3







1 if x ≥ 3


Using F (x), verify that f (2) = 83 .

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Discrete Probability Distributions

Probability mass function plot:

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Discrete Probability Distributions

Discrete cumulative distribution function plot:

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Discrete Probability Distributions

Example: The thickness of wood paneling (in inches) that a customer orders is a
random variable with the following cumulative distribution function:

if x < 81


 0



 0.2 if 18 ≤ x < 41



F (x) = ,
1 3
0.9 if ≤ x <




 4 8



3
1 if 8 ≤ x


1 What are the values of X .

2 Obtain the probability mass function of X .

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Continuous Probability Distributions

For a continuous random variable X , a probability density function (pdf) is a

function such that
1 f (x) ≥ 0.

R∞
2
−∞ f (x)dx = 1.

Rb
3 P(a < X < b) = a f (x)dx.

Figure: Probability determined from the area f(x)

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Continuous Probability Distributions

For a continuous random variable X and any value x,

P(X = x) = 0.

If X is a continuous random variable, for any x1 and x2 ,

P(x1 ≤ X ≤ x2 ) = P(x1 ≤ X < x2 ) = P(x1 < X ≤ x2 ) = P(x1 < X < x2 ).

The cumulative distribution function (cdf) of a continuous random variable X is

Z x
F (x) = P(X ≤ x) = f (u)du, −∞ < x < ∞.
−∞

The cdf gives the proportion of population with value less than x, or the
probability of having a value less than x.

For example: If F (x) is the cdf for the age in months of fish in a lake, then F (10)
is the probability a random fish is 10 months or younger.

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Continuous Probability Distributions

Properties of F (x):

1 F (x) goes to 0 as x gets smaller:

lim F (x) = 0.
x→−∞

2 Conversely:
lim F (x) = 1.
x→∞

3 F (x) is non-decreasing.

The derivative is a probability density function, which cannot be negative.

Also, F (4) can’t be less than F (3), for example.

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Continuous Probability Distributions
Example: Suppose that f (x) = c
256
(8x − x 2 ) for 0 < x < 8.
1 Determine the constant c.

2 Find P(X < 2).

3 Determine a such that P(2 < X < a) = 0.65.

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Continuous Probability Distributions

Example: For the previous example, find F (x).

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Continuous Probability Distributions

Example: Suppose the cumulative distribution function of the random variable X is



 0 if x < −2



F (x) = 0.25x + 0.5 if − 2 ≤ x < 2 ,




1 if x ≥ 2


Determine the following

1 P(X < 1.8).

2 P(X > −1.5).

3 P(−1 < X < 1).

4 the pdf of x.

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Joint Probability Distributions

The function f (x, y ) = P(X = x, Y = y ) is a joint probability distribution

function of the discrete random variables X and Y if

1 f (x, y ) ≥ 0 for all (x, y ).

P P
2
∀x ∀y f (x, y ) = 1.

PP
For any region A in the xy -plane, P((X , Y ) ∈ A) = A f (x, y ).

The marginal distribution of X alone is given by

X
g(x) = f (x, y ).
∀y

The marginal distribution of Y alone is given by

X
h(y ) = f (x, y ).
∀x

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Joint Probability Distributions
Example: Two ballpoint pens are selected at random from a box that contains 3 blue
pens, 2 red pens, and 3 green pens. If X is the number of blue pens selected and Y is
the number of red pens selected, find
1 the joint probability function f (x, y ).

2 P((X , Y ) ∈ A), where A is the region {(x, y )|x + y ≤ 1}.

3 the marginal distribution of X .

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Joint Probability Distributions

Let X and Y be two discrete random variables. The conditional distribution of

the random variable Y given that X = x is
f (x, y )
f (y |x) = , providedg(x) > 0.
g(x)

Similarly, conditional distribution of the random variable X given that Y = y is

f (x, y )
f (x|y ) = , providedh(y ) > 0.
h(y )

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Joint Probability Distributions

Example: For the previous example, find

1 the conditional distribution of X , given that Y = 1.

2 P(X = 0|Y = 1).

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Exercises

Chapter 3

1 Page 91: 3.1, 3.3, 3.5, 3.7, 3.8, 3.11, 3.15, 3.23, 3.30.

2 Page 104: 3.38, 3.39, 3.48, 3.49, 3.52.

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