Philadelphia University

Lecture Notes for 650364

Probability & Random Variables

Chapter 2:
Lecture 5: Random Variables-Introduction, Distributions, Density
and Mass Functions
Department of Communication & Electronics Engineering

Instructor
Dr. Qadri Hamarsheh
Email: [email protected]
Website: http://www.philadelphia.edu.jo/academics/qhamarsheh

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 Outlines
1) The Random Variable Concept, Introduction
2) Cumulative Distribution Function (CDF)
3) Probability Density and Mass Functions

The Random Variable Concept, Introduction

 Variables whose values are due to chance are called random
variables.
 A random variable (r.v) is a real function that maps the set of all
experimental outcomes of a sample space S into a set of real
numbers.

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 We shall represent a random variable by a capital letter (such as X,
Y, or W) and any particular value of the random variable by a lower
case letter (such as x, y, or w)
 Given an experiment defined by a sample space S with elements s, we
assign to every s a real number X(s) according to some rule and call
X(s) a random variable
 There are three types of random variables:
1) Discrete Random Variable (random variables have
discrete values; the sample space can be discrete,
continuous or even mixture of discrete and continuous)
2) Continuous Random Variable (continuous range of
values, it cannot be produced from a discrete sample space
or a mixed sample space).
3) Mixed Random Variables (less important type of
random variables)
o Example: (Discrete Random Variable):
 An experiment consists of rolling a die and flipping a coin.
The sample space is shown in Fig. below and the random

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 variable X maps the sample space of 12 elements into 12
values of X.
 Function X chosen such that
 A coin Head (H) outcome corresponds to positive values
of X that are equal to the numbers that show up on the
die.
 A coin is Tail (T) outcome corresponds to the negative
values of X that are equal in magnitude to twice the
number that shows up on the die

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 o Example: (Continuous Random Variable)
 Figure below illustrates an experiment where the pointer on
a wheel of chance is spun. The sample consists of the
numbers in the set {𝟎 < 𝒔 ≤ 𝟏𝟐} and the random variable is
defined by the function 𝑿 = 𝑿 ( 𝒔 ) = 𝒔 𝟐

 Conditions for a Function to be a Random Variable:

o It not be multivalued
o The set {𝑿 ≤ 𝒙} shall be an event for any real number x
o 𝑷{𝑿 ≤ 𝒙} is equal to the sum of the probabilities of all the
elementary events corresponding to {𝑿 ≤ 𝒙}.
o The probabilities of events {𝑿 = ∞} and {𝑿 = −∞} be 0:
𝑷{𝑿 = ∞} = 𝟎 𝑷 {𝑿 = −∞} = 𝟎

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 Probability Distributions
 A probability distribution consists of the values of a random variable
and their corresponding probabilities.
 There are two kinds of probability distributions: discrete and
continuous.
 If X is discrete, then the values 𝑷(𝑿 = 𝒂𝟏), 𝑷(𝑿 = 𝒂𝟐), … tell us
everything we need to know about X.
 Let X be a discrete random variable, and suppose that the possible
values that it can assume are given by 𝒙𝟏, 𝒙𝟐, 𝒙𝟑, . .. , arranged in some
order. Suppose also that these values are assumed with probabilities
given by

Probability function, also referred to as probability mass function

(PMF), given by

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 In general, 𝒇 (𝒙) is a probability function if

1) The 𝒇(𝒙) is a function with nonnegative values

2) The sum of the probabilities of a probability distribution
must be 1.
o Example: When a die is rolled

o Example: Construct a discrete probability distribution for the

number of heads when three coins are tossed.
o Solution:
 Recall that the sample space for tossing three coins is
TTT, TTH, THT, HTT, HHT, HTH, THH, and HHH.
 The outcomes can be arranged according to the number of
heads, as shown.

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 0 heads TTT
1 head TTH, THT, HTT
2 heads THH, HTH, HHT
3 heads HHH
 Finally, the outcomes and corresponding probabilities can
be written in a table, as shown.

o Roll two dice, let Y be the maximum of their outcomes.

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 o Roll two dice, let X be the sum of their outcomes.

o A discrete probability distribution can also be shown

graphically by labeling the x axis with the values of the
outcomes and letting the values on the y axis represent the
probabilities for the outcomes.

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 Cumulative probability Distribution Function (CDF)
 The probability of the event {𝑿 ≤ 𝒙} must depend on x. Denote

Where x is any real number

We call this function, denoted 𝑭𝑿 (𝒙) the cumulative probability
distribution function (CDF) of the random variable X (or just the
distribution function of X)
 Properties Distribution Functions:

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  Distribution Function for Discrete Random Variable:
o The distribution function of a discrete random variable X can
be obtained from its probability function by noting that, for all
x in (−∞ , ∞)

o If X takes on only a finite number of values x1, x2, . . . , xn, then

the distribution function is given by

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 o The distribution function of a discrete random variable X is
given by:

o Example:

Where u(.) is the unit step defined by:

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 o Example: Suppose that a coin is tossed twice so that the sample
space is 𝐒 = {𝐇𝐇, 𝐇𝐓, 𝐓𝐇, 𝐓𝐓}. Let X represent the number of
heads that can come up.
 It follows that X is a random variable as in the table

 the probability function corresponding to the random

variable X

Then

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 The probability function is thus given by

 the distribution function for the random variable X

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 Probability Density Function (PDF)
 Continuous Random Variables: A non-discrete random variable X is
said to be absolutely continuous, or simply continuous, if its
distribution function may be represented as

where the function f (x) has the properties

 A function f (x) is more often called a probability density function

or simply density function
 Interval probability that X lies between two different values, say, a
and b, is given by

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  The probability density function (or density function) (PDF) is
defined as the derivative of the distribution function:

 Properties of Density Functions:

 Density Function for Discrete Random Variable (mass function):

 The density function of a discrete random variable X is given by:

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 o Example:

Where 𝜹(. ) is the unit impulse defined by:

o Example: Let X have the discrete values in the set

{−𝟏, −𝟎. 𝟓, 𝟎. 𝟕, 𝟏. 𝟓, 𝟑}.
The corresponding probabilities are
{𝟎. 𝟏, 𝟎. 𝟐, 𝟎. 𝟏, 𝟎. 𝟒, 𝟎. 𝟐}:
The distribution function:

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 The density function:

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 o Example: The corresponding distribution and the density
functions for the wheel of chance experiment are shown in Fig.

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 o Example :
a) Find the constant c such that the function

Is a density function,
b) Compute 𝑷(𝟏 < 𝑿 < 𝟐).
c) Find the distribution function for the random variable
d) Use the result of (c) to find 𝑃(𝟏 < 𝒙 ≤ 𝟐).
Solution:
a) using the 2 property

and since this must equal 1, we have c = 1/9

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 b)

c)

If 𝒙 < 𝟎, then 𝑭(𝒙) = 𝟎.

If 𝟎 ≤ 𝒙 < 𝟑, then

If 𝒙 ≥ 𝟑, then

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 Thus the required distribution function is

d)

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