Probability, Statistics and Reliability

MAT3003

Dr. Sonjoy Pan

January - June, 2024

ii
Contents

1 Probability Theory 1
1.1 Combinatorics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 Sample Space and Events . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.3 Classical Probability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
1.4 Axioms of Probability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
1.5 Conditional Probability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
1.6 Total Probabilty and Bayes’ Rule . . . . . . . . . . . . . . . . . . . . . . . . . 3
1.7 SOLVED PROBLEMS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
1.8 EXERCISES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
1.9 ANSWERS with HINTS . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10

2 Random Variables and Probability Distributions 13

2.1 Random Variables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
2.2 Probability Distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
2.3 Joint Probability Distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
2.4 Marginal Distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
2.5 Cumulative Distribution Function . . . . . . . . . . . . . . . . . . . . . . . . 15
2.6 Joint Cumulative Distribution Function . . . . . . . . . . . . . . . . . . . . . . 16
2.7 Conditional Distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
2.8 Expectation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
2.9 Variance and Covariance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
2.10 Some Special Discrete Probability Distributions . . . . . . . . . . . . . . . . . 20
2.11 Some Special Continuous Probability Distributions . . . . . . . . . . . . . . . 21
2.12 SOLVED PROBLEMS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
2.13 Moments and Moment Generating Functions . . . . . . . . . . . . . . . . . . 32
2.14 Regression Line . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34

iii
iv CONTENTS
Chapter 1

Probability Theory

1.1 Combinatorics
Basic principle of counting: Suppose that r experiments are to be performed such that the
first one may result in any of n1 possible outcomes, and for each of these n1 possible outcomes,
there are n2 possible outcomes of the second experiment, and for each of the possible outcomes
of the first two experiments, there are n3 possible outcomes of the third experiment, and so on,
then the total number of possible outcomes of the r experiments is n1 · n2 · n3 · · · nr .

Permutation: The number of permutations (arrangements where order matters) of n distinct

n!
objects taken r at a time is represented as n Pr or n Pr which equals (n−r)! .

The number ways (permutations) that n distinct objects to be placed in n positions (in line)
is denoted by n! which equals n(n − 1)(n − 2) · · · 2 · 1.

The number of different permutations of n objects, of which n1 are alike, n2 are alike, · · ·,
n!
nr are alike is .
n1 ! n2 ! · · · nr !
Combination: The number of combinations (groups
n where order does not matter) of n dis-
n n!
tinct objects taken r at a time is represented as r or Cr or n Cr which equals r!(n−r)! .

The number of possible divisions of n distinct objects to be divided into r  distinct groups of 
n
respective sizes n1 , n2 , · · ·, nr , where n1 +n2 +· · ·+nr = n is represented as
n1 , n2 , · · · , nr
n!
which equals .
n1 ! n2 ! · · · nr !

1.2 Sample Space and Events

Probability deals with uncertain situations or random experiment that refers to an activity whose
outcome is not predictable with certainty. It measures the likelihood of something occurring.

Sample space: The set of all possible outcomes of a random experiment is known as the
sample space of the experiment and is denoted by S.

1
2 CHAPTER 1. PROBABILITY THEORY

Event: Any subset of the sample space is known as an event.

Sure event or certain event: An event which always occurs is called sure event and is de-
noted by S.

Impossible event or null event: An event which never occurs is called impossible event and
is denoted by φ.

Complementary events: Two events are said to be complementary events if they are mutually
exclusive and one of them must occur. The complementary event of an event A in sample space
S is defined as Ac = S − A.

Mutually exclusive events or disjoint events: Two or more events are called mutually ex-
clusive if any two of them cannot occur simultaneously. The events A and B are mutually
exclusive if and only if A ∩ B = φ.

Mutually independent events: Two or more events are called mutually independent if the
occurrence of any event does not depend on the occurrence of other events.

Exhaustive events: The events A1 , A2 , A3 , · · · , An are said to be exhaustive events of sam-

ple space S if ∪ni=1 Ai = S and Ai ∩ Aj = φ for i, j = 1, 2, · · · , n with i 6= j.

1.3 Classical Probability

Definition: If all outcomes of a random experiment are equally likely to occur, then the proba-
bility of event A is expressed as
Number of outcomes in A
P (A) = .
Number of outcomes in S

1.4 Axioms of Probability

Definition: The probability of event A in a sample space S is a number defined as P (A)
satisfying the following three axioms:

(i) 0 ≤ P (A) ≤ 1.

(ii) P (φ) = 0 and P (S) = 1.

∞
! ∞
[ X
(iii) P Ai = P (Ai ), if {A1 , A2 , A3 , · · ·} is a sequence of mutually exclusive events.
i=1 i=1

 Addition rules: If A and B are two events in a sample space, then

P (A ∪ B) = P (A) + P (B) − P (A ∩ B).

If A, B and C are three events in a sample space, then

P (A ∪ B ∪ C) = P (A) + P (B) + P (C) − P (A ∩ B) − P (B ∩ C) − P (C ∩ A) + P (A ∩ B ∩ C).

1.5. CONDITIONAL PROBABILITY 3

In general, suppose that A1 , A2 , · · · , An are n events in some sample space, then

n n n X
n n X
n X
n
!
[ X X X
P Ai = P (Ai )− P (Ai ∩Aj )+ P (Ai ∩Aj ∩Ak )+· · ·+(−1)n+1 P (A1 ∩· · ·∩An ).
i=1 i=1 i=1 j=1 i=1 j=1 k=1
i<j i<j<k

1.5 Conditional Probability

The probability of an event B occurring when it is known that some event A has already oc-
curred is called the conditional probability of B given A, denoted by P (B|A) and defined as
P (A ∩ B)
P (B|A) = , provided P (A) 6= 0.
P (A)
Two events A and B are independent if and only if P (B|A) = P (B) or P (A|B) = P (A).

 Multiplication rules: If A and B are two events in a sample space such that P (A) 6= 0 and
P (B) 6= 0, then
P (A ∩ B) = P (A)P (B|A) = P (B)P (A|B).
If A, B and C are three events in a sample space, then

P (A ∩ B ∩ C) = P (A)P (B|A)P (C|A ∩ B).

In general, if, in an experiment, the events A1 , A2 , · · · , An can occur, then

P (A1 ∩ A2 ∩ · · · ∩ An ) = P (A1 )P (A2 |A1 )P (A3 |A1 ∩ A2 ) · · · P (An |A1 ∩ A2 ∩ · · · ∩ An−1 ).

1.6 Total Probabilty and Bayes’ Rule

Law of total probability: If A1 , A2 , A3 , · · · , An are exhaustive events of sample space S with
P (Ai ) 6= 0, i = 1, 2, · · · , n and B is any other event in S, then

P (B) = P (A1 )P (B|A1 ) + P (A2 )P (B|A2 ) + · · · + P (An )P (B|An ).

Bayes’ rule: If A1 , A2 , A3 , · · · , An are exhaustive events of sample space S with P (Ai ) 6=

0, i = 1, 2, · · · , n and B is any other event in S such that P (B) 6= 0, then
P (Ai )P (B|Ai )
P (Ai |B) = , i = 1, 2, · · · , n.
P (A1 )P (B|A1 ) + P (A2 )P (B|A2 ) + · · · + P (An )P (B|An )

 Some useful properties:

1. (A ∪ B)c = Ac ∩ B c and (A ∩ B)c = Ac ∪ B c .
2. (Ac )c = A and A ∩ B c = A − A ∩ B.
3. P (A) + P (Ac ) = 1.
4. P (A ∩ B) = 0, if and only if A and B are mutually exclusive events.
5. P (A ∩ B) = P (A)P (B), if and only if A and B are mutually independent events.
4 CHAPTER 1. PROBABILITY THEORY

1.7 SOLVED PROBLEMS

# Problem 1: If P (A) = 0.6, P (B) = 0.3, P (A ∩ B) = 0.4, find P (Ac ∩ B c ).
Solution: P (Ac ∩ B c ) = P (A ∪ B)c = 1 − P (A ∪ B)
= 1 − [P (A) + P (B) − P (A ∩ B)]
= 1 − [0.6 + 0.3 − 0.4] = 0.5.

# Problem 2: If P (A) = 0.7, P (B c ) = 0.8, P (Ac ∩ B) = 0.3, find P (A ∩ B c ).

Solution: P (A ∩ B c ) = P (Ac ∪ B)c = 1 − P (Ac ∪ B)
= 1 − [P (Ac ) + P (B) − P (Ac ∩ B)]
= 1 − [{1 − P (A)} + {1 − P (B c )} − P (Ac ∩ B)]
= 1 − [{1 − 0.7} + {1 − 0.8} − 0.3] = 0.8.

# Problem 3: Suppose X and Y are two mutually exclusive events, and P (X c ) = 0.45,
P (Y c ) = 0.85, find P (X c ∩ Y c ).
Solution: Since X and Y are two mutually exclusive events, then P (X ∩ Y ) = 0.
Now, P (X c ∩ Y c ) = P (X ∪ Y )c = 1 − P (X ∪ Y )
= 1 − [P (X) + P (Y ) − P (X ∩ Y )]
= 1 − [{1 − P (X c )} + {1 − P (Y c )} − P (X ∩ Y )]
= 1 − [{1 − 0.45} + {1 − 0.85} − 0] = 0.3.

# Problem 4: Given P (X c ) = 0.6, P (Y ) = 0.7 and P (X ∪ Y ) = 0.82. Examine whether X

and Y are independent events.
Solution: P (X) = 1 − P (X c ) = 1 − 0.6 = 0.4.
Now, P (X)P (Y ) = 0.4 × 0.7 = 0.28.
We have P (X ∪ Y ) = P (X) + P (Y ) − P (X ∩ Y ), which gives
P (X ∩ Y ) = P (X) + P (Y ) − P (X ∪ Y )
= 0.4 + 0.7 − 0.82 = 0.28.
Therefore, P (X ∩ Y ) = P (X)P (Y ). Hence, X and Y are independent events.

# Problem 5: A die is rolled. Find the probability of getting an even number or a number
less than 3 on its top face.
Solution: Let us consider the events as
A ≡ The faces of even numbers.
B ≡ The faces of numbers less than 3.
Clearly, A = {2, 4, 6} and B = {1, 2}. Therefore, A ∪ B = {1, 2, 4, 6}.
Here, the sample space is S = {1, 2, 3, 4, 5, 6}.
Number of outcomes in A ∪ B 4 2
Hence, P (A ∪ B) = = = .
Number of outcomes in S 6 3
# Problem 6: Two dice are rolled simultaneously. Find the probability of getting the sum
of their faces to be 7 or 9.
Solution: Let the consider the event as
A ≡ The sum of faces of two dice is 7.
B ≡ The sum of faces of two dice is 9.
Clearly A = {(1, 6), (2, 5), (3, 4), (4, 3), (5, 2), (6, 1)}.
and B = {(3, 6), (4, 5), (5, 4), (6, 3)}.
Since each die has 6 outcomes and two dice are rolled simultaneously, then the number of out-
comes in the sample space is 6 × 6 = 36. The number of outcomes in A is 6 and that in B is 4.
1.7. SOLVED PROBLEMS 5

6 4 5
Also, A∩B = φ. Hence, the required probability is P (A∪B) = P (A)+P (B) = 36
+ 36 = 18
.

# Problem 7: Four fair coins are tossed simultaneously. Find the probability that at least
one head turns up.
Solution: Let the consider the event as
A ≡ At least one head turns up.
Then Ac ≡ No head turns up ≡ {TTTTT}.
Since each coin has two outcomes (head and tail) and four coins are tossed simultaneously,
then the number of outcomes in the sample space is 24 = 16. The number of outcomes in Ac is
1.
1 1 15
Hence, P (Ac ) = . Thus the required probability is P (A) = 1 − P (Ac ) = 1 − = .
16 16 16
# Problem 8: A box contains 120 cards numbered from 1 to 120. One card is drawn at random.
Find the probability of getting number in the card divisible by either 4 or 6.
Solution: Let us consider the events as
A ≡ The numbers in the card divisible by 4.
B ≡ The numbers in the card divisible by 6.
Clearly, A ∩ B ≡ The numbers in the card divisible by both 4 and 6.
A ∪ B ≡ The numbers in the card divisible by either 4 or 6.
120
The number of elements in A is = 30.
4
120
The number of elements in B is = 20.
6
120 120
The number of elements in A ∩ B is = = 10.
l.c.m.{4, 6} 12
30 20 10
Therefore, P (A) = , P (B) = and P (A ∩ B) = .
120 120 120
30 20 10 1
Hence, P (A ∪ B) = P (A) + P (B) − P (A ∩ B) = + − = .
120 120 120 3
# Problem 9: If 5 cards are randomly drawn from a deck of 52 playing cards, find the proba-
bility of getting 2 queens and 3 aces.
Solution: The number of ways that 2 queens can be chosen from 4 queens is 4 C2 .
The number of ways that 3 aces can be chosen from 4 aces is 4 C3 .
The number of ways that 5 cards can be chosen from 52 cards is 52 C5 .
4
C2 · 4 C3 4! 4! 5! ×47! 1
Therefore, the required probability is 52 = · · = .
C5 2! ×2! 3! ×1! 52! 108290
# Problem 10: A box contains 12 bulbs, 5 of which are defective. 2 bulbs are drawn at random
(a) with replacement, (b) without replacement. Find the probability that none of those 2 bulbs
is defective in both cases (a) and (b).
Solution: Let us consider the events as
A1 ≡ Non-defective bulb is selected in the first drawn.
A2 ≡ Non-defective bulb is selected in the second drawn.
(a) With replacement: In case of with replacement, the bulb is replaced after the first drawn,
that is, the situation before the second drawing is the same as at the beginning. Here, the events
A1 and A2 are independent.
7
Clearly, P (A1 ) = , since out of 12 bulbs, 12 − 5 = 7 are non-defective.
12
7
Similarly, P (A2 ) = .
12
6 CHAPTER 1. PROBABILITY THEORY

7 7 49
Hence, the required probability is P (A1 ∩ A2 ) = P (A1 )P (A2 ) = · = .
12 12 144
(b) Without replacement: In case of without replacement, the bulb is not replaced after the
first drawn, that is, after the first drawn, there are 11 bulbs left, out of which 6 are non-defective.
7 6
Therefore, P (A1 ) = and P (A2 |A1 ) = .
12 11
7 6 7
Hence, the required probability is P (A1 ∩ A2 ) = P (A1 )P (A2 |A1 ) = · = .
12 11 22
# Problem 11: In a high school graduating class of 100 students, 54 studied mathematics,
69 studied history, and 35 studied both mathematics and history. If one of these students is
selected at random, find the probability that
(a) the student took mathematics or history;
(b) the student did not take either of these subjects;
(c) the student took history but not mathematics.
Solution: Let us consider the events as
M ≡ Students took mathematics.
H ≡ Students took history.
54 69 35
Given that P (M ) = , P (H) = and P (M ∩ H) = .
100 100 100
(a) The required probability is P (M ∪ H) = P (M ) + P (H) − P (M ∩ H)
54 69 35 22
= + − = .
100 100 100 25
c 22 3
(b) The required probability is P (M ∪ H) = 1 − P (M ∪ H) = 1 − = .
25 25
c 69 35 17
(c) The required probability is P (H ∪ M ) = P (H) − P (M ∩ H) = − = .
100 100 50
# Problem 12: The probability that a married man watches a certain television show is 0.4
and the probability that a married woman watches the show is 0.5. The probability that a man
watches the show, given that his wife does, is 0.7. Find the probability that
(a) a married couple watches the show;
(b) a wife watches the show, given that her husband does;
(c) at least one member of a married couple will watch the show.
Solution: Let us consider the events as
H ≡ Husband watches a certain TV show.
W ≡ Wife watches the same TV show.
Given that P (H) = 0.4, P (W ) = 0.5 and P (H|W ) = 0.7.
(a) The required probability is P (H ∩ W ) = P (W )P (H|W ) = 05 × 0.7 = 0.35.
∩H)
(b) The required probability is P (W |H) = P (W
P (H)
= 0.35
0.4
= 0.875.
(c) The required probability is P (H ∪ W ) = P (H) + P (W ) − P (H ∩ W )
= 0.4 + 0.5 − 0.35 = 0.55.

# Problem 13: A town has two fire engines operating independently. The probability that
a specific engine is available when needed is 0.96.
(a) what is the probability that neither is available when needed?
(b) what is the probability that a fire engine is available when needed?
Solution: Let us consider the events as
F1 ≡ First fire engine is available when needed.
F2 ≡ Second fire engine is available when needed.
Given that P (F1 ) = 0.96 and P (F2 ) = 0.96.
1.7. SOLVED PROBLEMS 7

(a) The required probability is P (F1 ∪ F2 )c = P (F1c ∩ F2c )

= P (F1c )P (F2c ), since F1 and F2 are independent
= [1 − P (F1 )][1 − P (F2 )]
= [1 − 0.96][1 − 0.96] = 0.0016.
(b) The required probability is P (F1 ∪ F2 ) = 1 − P (F1 ∪ F2 )c = 1 − 0.0016 = 0.9984.

# Problem 14: One bag contains 4 white balls and 3 black balls, and a second bag contains
3 white balls and 5 black balls. One ball is drawn from the first bag and placed unseen in the
second bag. What is the probability that a ball now drawn from the second bag is black?
Solution: Let us consider the events as
B1 ≡ Black ball is drawn from the first bag.
W1 ≡ White ball is drawn from the first bag.
B2 ≡ Black ball is drawn from the second bag.
The drawn ball from the first bag can be black or white. Therefore, the entire scenario can be
considered as a union of two events (B1 ∩ B2 ) and (W1 ∩ B2 ) which are mutually exclusive.
Thus the required probability is P [(B1 ∩ B2 ) ∪ (W1 ∩ B2 )] = P (B1 ∩ B2 ) + P (W1 ∩ B2 )
= P (B1 )P (B2 |B1 ) + P (W1 )P (B2 |W1 )
3 6 4 5 38
= · + · = .
7 9 7 9 63
# Problem 15: In a certain assembly plant, three machines, B1 , B2 , and B3 , make 30%, 45%,
and 25%, respectively, of the products. It is known from past experience that 2%, 3%, and 2%
of the products made by each machine, respectively, are defective. Now, suppose that a finished
product is randomly selected. Find the probability that
(a) the selected product is defective.
(b) the selected product was made by machine B3 , if it is found to be defective.
Solution: Let us consider the events as
B1 ≡ The product is made by machine B1 .
B2 ≡ The product is made by machine B2 .
B3 ≡ The product is made by machine B3 .
D ≡ The product is defective.
30 45 25
Given that P (B1 ) = , P (B2 ) = , P (B3 ) = ,
100 100 100
2 3 2
P (D|B1 ) = , P (D|B2 ) = , P (D|B3 ) = .
100 100 100
(a) The required probability is
P (D) = P (B1 )P (D|B1 ) + P (B2 )P (D|B2 ) + P (B3 )P (D|B3 ) = 0.0245.
(b) Using Bayes’ formula, the required probability is
P (B3 )P (D|B3 ) 0.25 × 0.02 10
P (B3 |D) = = = .
P (B1 )P (D|B1 ) + P (B2 )P (D|B2 ) + P (B3 )P (D|B3 ) 0.0245 49
# Problem 16: From a box containing 6 black balls and 4 green balls, 3 balls are drawn in
succession, each ball being replaced in the box before the next draw is made. What is the prob-
ability that
(a) all 3 are the same color?
(b) each color is represented?
Solution: Let us consider the events as
Bi ≡ Black ball is selected in the i-th drawn, i = 1, 2, 3.
Gi ≡ Green ball is selected in the i-th drawn, i = 1, 2, 3.
8 CHAPTER 1. PROBABILITY THEORY

6 6 6 4 4 4 7
(a) P [(B1 ∩ B2 ∩ B3 ) ∪ (G1 ∩ G2 ∩ G3 )] = · · + · · = .
10 10 10 10 10 10 25
c 7 18
(b) P [(B1 ∩ B2 ∩ B3 ) ∪ (G1 ∩ G2 ∩ G3 )] = 1 − = .
25 25
# Problem 17: A producer of a certain type of electronic component ships to suppliers in
lots of twenty. Suppose that 60% of all such lots contain no defective components, 30% con-
tain one defective component, and 10% contain two defective components. A lot is selected
and two components from the lot are randomly selected and tested and neither is defective.
Find the probability that
(a) zero defective components exist in the lot.
(b) one defective exists in the lot.
(c) two defectives exist in the lot.
Solution: Let us consider the events as
T ≡ Two non-defective components are selected.
D0 ≡ A lot contains no defective components.
D1 ≡ A lot contains one defective component.
D2 ≡ A lot contains two defective components.
60 30 10
Given that P (D0 ) = , P (D1 ) = , P (D2 ) = ,
100 100 100
20 19 18
C2 C2 9 C2 153
P (T |D0 ) = 20 = 1, P (T |D1 ) = 20 = , P (T |D2 ) = 20 = .
C2 C2 10 C2 190
P (D0 )P (T |D0 )
(a) P (D0 |T ) = = 0.6312.
P (D0 )P (T |D0 ) + P (D1 )P (T |D1 ) + P (D2 )P (T |D2 )
P (D1 )P (T |D1 )
(b) P (D1 |T ) = = 0.2841.
P (D0 )P (T |D0 ) + P (D1 )P (T |D1 ) + P (D2 )P (T |D2 )
P (D2 )P (T |D2 )
(c) P (D2 |T ) = = 0.0847.
P (D0 )P (T |D0 ) + P (D1 )P (T |D1 ) + P (D2 )P (T |D2 )
# Problem 18: Three urns contains 6 red, 4 black; 4 red, 6 black; 5 red, 5 black balls re-
spectively. One of the urns is selected at random and a ball is drawn from it. If the ball drawn
is red, find the probability that it is drawn from the first urn.
Solution: Let us consider the events as
U1 ≡ The ball is drawn from U1 .
U2 ≡ The ball is drawn from U2 .
U3 ≡ The ball is drawn from U3 .
R ≡ The ball is red.
1 6 4 5
Given that P (U1 ) = P (U2 ) = P (U3 ) = , P (R|U1 ) = , P (R|U2 ) = , P (R|U3 ) = .
3 10 10 10
P (U1 )P (R|U1 ) 2
Therefore, P (U1 |R) = = .
P (U1 )P (R|U1 ) + P (U2 )P (R|U2 ) + P (U3 )P (R|U3 ) 5
# Problem 19: A can hit a target 3 times in 5 shots, B can 2 times in 5 shots and C can 3
times in 4 shots. All of them fire one shot each simultaneously at the target. What is the prob-
ability that
(a) 2 shots hit
(b) at least two shots hit?
Solution: Let us consider the events as
A ≡ A hits the target.
B ≡ B hits the target.
C ≡ C hits the target.
1.8. EXERCISES 9

Given that P (A) = 53 , P (B) = 25 , P (C) = 34 .

(a) P (exactly two shots hit)
= P [(A ∩ B ∩ C c ) ∪ (A ∩ B c ∩ C) ∪ (Ac ∩ B ∩ C)]
= P (A ∩ B ∩ C c ) + P (A ∩ B c ∩ C) + P (Ac ∩ B ∩ C)
= P (A)P (B)P (Cc ) + P (A)P c
 (B)P (C)  + P (Ac)P (B)P (C)
3 2 3 3 2 3 3 2 3 9
= · · 1− + · 1− · + 1− · · = .
5 5 4 5 5 4 5 5 4 20
(b) P (at least two shots hit)
= P (exactly two shots hit, or, exactly three shots hit)
= P (exactly two shots hit) + P (exactly three shots hit)
9
= + P (A ∩ B ∩ C)
20
9 9 3 2 3 63
= + P (A)P (B)P (C) = + · · = .
20 20 5 5 4 100

1.8 EXERCISES
Ex-1: In the game of bridge, the entire deck of 52 cards is dealt out to 4 players. What is the
probability that (a) one of the players receives all 13 spades; (b) each player receives 1 ace?

Ex-2: If there are 12 strangers in a room, what is the probability that no two of them cele-
brate their birthday in the same month?

Ex-3: 7 balls are randomly withdrawn from an urn that contains 12 red, 16 blue, and 18 green
balls. Find the probability that
(a) 3 red, 2 blue, and 2 green balls are withdrawn;
(b) at least 2 red balls are withdrawn;
(c) all withdrawn balls are the same color;
(d) either exactly 3 red balls or exactly 3 blue balls are withdrawn.

Ex-4: From a group of 3 freshmen, 4 sophomores, 4 juniors, and 3 seniors, a committee of

size 4 is randomly selected. Find the probability that the committee will consist of
(a) 1 from each class;
(b) 2 sophomores and 2 juniors;
(c) only sophomores or juniors.

Ex-5: At a certain stage of a criminal investigation, the inspector in-charge is 60% convinced of
the guilt of a certain suspect. Suppose that a new piece of evidence which shows that the crimi-
nal has a certain characteristic (such as left-handedness, baldness, or brown hair) is uncovered.
If the inspector in-charge is convinced that the suspect is not guilty then there is 20% chance
that he/she has brown hair. What is the probability that the inspector in-charge is convinced
that the suspect is guilty given he/she has brown hair?

Ex-6: A and B throw alternatively a pair of dice. A wins if he throws 6 before B throws 7
and B wins if he throws 7 before A throws 6. Find their respective chances of winning, if A
begins.

Ex-7: Urn I contains 2 white and 4 red balls, whereas urn II contains 1 white and 1 red ball.
10 CHAPTER 1. PROBABILITY THEORY

A ball is randomly chosen from urn I and put into urn II, and a ball is then randomly selected
from urn II. What is
(a) the probability that the ball selected from urn II is white?
(b) the conditional probability that the transferred ball was white given that a white ball is se-
lected from urn II?

Ex-8: Suppose that 5% of men and 0.25% of women are color blind. A color-blind person
is chosen at random. What is the probability of this person being male? Assume that there
are an equal number of males and females. What if the population consisted of twice as many
males as females?

Ex-9: Consider two boxes, one containing 1 black and 1 white marble, the other 2 black and 1
white marble. A box is selected at random, and a marble is drawn from it at random. What is
the probability that
(a) the marble is black?
(a) the first box was the one selected given that the marble is white?

1.9 ANSWERS with HINTS

4 × 13 C13 4 × 13! ×39!
Ex-1: (a) 52 C
= = 6.3 × 10−12 .
13 52!
(b) The number of ways that 48 non-aces cards to be divided into 4 players is
 
48 48!
= .
12, 12, 12, 12 12! 12! 12! 12!

The number of ways of dividing 4 aces so that each player receives exactly one ace is 4!.
Therefore, the number of possible ways in which each player receives exactly one ace is

4! ×48!
.
12! 12! 12! 12!
Further, the total number of possible ways of dividing 52 cards into 4 players is
 
52 52!
= .
13, 13, 13, 13 13! 13! 13! 13!

Hence, the required probability is

4!×48!
12!12!12!12!
52!
= 0.1055.
13!13!13!13!

12 11 10 9 8 7 6 5 4 3 2 1 12!
Ex-2: · · · · · · · · · · · = 12 .
12 12 12 12 12 12 12 12 12 12 12 12 12
12 16 18
C3 · C2 · C2
Ex-3: (a) 46 C
.
7
12
C0 · 34 C7 12 C1 · 34 C6
(b) 1 − 46 C
− 46 C
.
7 7
1.9. ANSWERS WITH HINTS 11

12
C7 + 16 C7 + 18 C7
(c) 46 C
.
7
12
C3 · 34 C4 + 16 C3 · 20 C4
(d) 46 C
.
7
3
C1 · 4 C1 · 4 C 1 · 3 C1 144
Ex-4: (a) 14 C
= = 0.1439.
4 1001
4
C2 · 4 C2 36
(b) 14 C
= = 0.0360.
4 1001
4
C4 + 4 C4 2
(c) 14 C
= = 0.0020.
4 1001
Ex-5: G ≡ The suspect is guilty.
C ≡ The suspect possesses the characteristic of the criminal.
Given that P (G) = 0.6, P (C|G) = 1, P (C|Gc ) = 0.2.
P (G)P (C|G) 0.6 × 1
Therefore, P (G|C) = = = 0.882.
P (G)P (C|G) + P (Gc )P (C|Gc ) 0.6 × 1 + (1 − 0.6) × 0.2
Ex-6: The list of ways such that 6 is thrown in a pair of dice is {(1, 5), (2, 4), (3, 3), (4, 2), (5, 1)}.
5
Therefore, the probability of throwing 6 is p1 = 36 , and the probability of not throwing 6 is
5 31
q1 = 1 − 36 = 36 .
The list of ways such that 6 is thrown in a pair of dice is {(1, 6), (2, 5), (3, 4), (4, 3), (5, 2), (6, 1)}.
6
Therefore, the probability of throwing 7 is p2 = 36 = 16 , and the probability of not throwing 7
is q2 = 1 − 61 = 65 .
Thus the probability of A’s winning is p1 + q1 q2 p1 + q12 q22 p1 + · · · = 1−qp11 q2 = 30
61
.
2 3 2 q1 p2 31
The probability of B’s winning is q1 p2 + q1 q2 p2 + q1 q2 p2 + · · · = 1−q1 q2 = 61 .

Ex-7: (a) W1 ≡ The ball transferred from urn I to urn II is white.

R1 ≡ The ball transferred from urn I to urn II is red.
W2 ≡ The ball selected from urn II is white.
P (W2 ) = P (W1 )P (W2 |W1 ) + P (R1 )P (W2 |R1 ) = 26 × 23 + 46 × 1
3
= 49 .
(b) T ≡ The event that the transferred ball is white.
2
×2
P (W1 |W2 ) = P (W1P)P(W(W2 )2 |W1 ) = 6 4 3 = 12 .
9

Ex-8: C ≡ The selected person is color-blind.

M ≡ The selected person is male.
F ≡ The selected person is female.
P (M )P (C|M )
(a) P (M |C) = P (M )P (C|M ) + P (F )P (C|F )
= 0.5×0.050.5×0.05
+ 0.5×0.0025
= 0.9524.
2
P (M )P (C|M ) ×0.05
(b) P (M |C) = P (M )P (C|M ) + P (F )P (C|F )
= 2
3
×0.05 + 13 ×0.0025
= 0.9756.
3

Ex-9: B ≡ The marble drawn is black.

W ≡ The marble drawn is white.
A1 ≡ The first box is selected.
A2 ≡ The second box is selected.
1
P (B) = P (A1 )P (B|A1 ) + P (A2 )P (B|A2 ) = 2
× 21 + 1
2
× 23 = 7
12
.
1
P (A1 )P (W |A1 ) × 21 3
P (A1 |W ) = P (A1 )P (W |A1 )+P (A2 )P (W |A2 )
= 1
× 1
2
+ 12 × 13
= 5
.
2 2
12 CHAPTER 1. PROBABILITY THEORY
Chapter 2

Random Variables and Probability

Distributions

2.1 Random Variables

Consider an experiment of tossing two coins simultaneously. Let X denotes the number of
heads, which is as follows
Outcome : HH HT T H T T
Value of X : 2 1 1 0

Here X can be treated as a random variable that associates real numbers 0, 1 or 2 with the
outcomes in the sample space.

Random Variable: A random variable (r.v.) is a real-valued function defined on the sample
space of an experiment. It is defined as

X (random variable) : S (sample space) → R (set of real numbers).

 Properties:
1
(a) If X is random variables and c is a constant, then cX, X
, |X|, f (X) are also random
variables.

(b) If X and Y are random variables, and c and d are constants, then cX + dY , XY , f (X, Y )
are also random variables.
 Types of Random Variables
(i) Discrete Random Variable: It is a random variable whose range is a countable set. A
countable set can be either a finite set or a countably infinite set.
Example: Let X be a random variable denoting the number of heads in an experiment of
tossing two coins. X is a discrete variable as its range is a finite set {0, 1, 2}.

(ii) Continuous Random Variable: It has a range in the forms of some interval (bounded or
unbounded) of the real line.
Example: Let X be a random variable denoting the height of different people in a given
region. Since the people can have different measures of height (not limited to just natural
numbers or any countable set), X is a continuous random variable.

13
14 CHAPTER 2. RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

2.2 Probability Distribution

The probability distribution of a random variable can be determined by calculating the proba-
bility of occurrence of every value in the range of the random variable.

Probability Mass Function: For discrete random variables, the term “probability mass func-
tion (pmf)” is used to describe their distributions.
If X is a discrete random variable with distinct values x1 , x2 , . . . , xn , . . . , then the proba-
bility mass function of X is denoted by p(x) and is defined as
(
P (X = xi ), if x = xi ,
p(x) =
0, if x 6= xi , i = 1, 2, . . .

The set of ordered pairs {(xi , p(xi )) : i = 1, 2, . . . } specifies the probability distribution of X.
 Properties:
(a) p(xi ) ≥ 0, ∀ i.
P
(b) i p(xi ) = 1.

(c) P (X = xi ) = p(xi ).
Probability Density Function: For continuous random variables, the term “probability density
function (pdf)” is used to describe their distributions.
If X is a continuous random variable and there exists a non-negative function f (x) defined
for all x ∈ (−∞, ∞), such that for any set B of real numbers,
Z
P (X ∈ B) = f (x)dx,
B

then f (x) is called the probability density function of X.

 Properties:
(a) f (x) ≥ 0.
R∞
(b) −∞ f (x)dx = 1.
Rb
(c) P (a ≤ X ≤ b) = P (a < X ≤ b) = P (a ≤ X < b) = P (a < X < b) = a
f (x)dx.

2.3 Joint Probability Distribution

Joint Probability Mass Function: The joint probability mass function of the discrete random
variables X and Y is denoted by p(x, y) and is defined as

p(x, y) = P (X = x, Y = y).

 Properties:
(a) p(x, y) ≥ 0.
P P
(b) x y p(x, y) = 1.
2.4. MARGINAL DISTRIBUTION 15

(c) P (X = x, Y = y) = p(x, y).

PP
(d) P [(X, Y ) ∈ S] = S p(x, y), for any region S in the xy plane.

Joint Probability Density Function: If X and Y are continuous random variables, and there
exists a non-negative function f (x, y) defined for all real x and y, such that for any region S in
the xy plane, Z Z
P [(X, Y ) ∈ S] = f (x, y)dxdy,
(x,y)∈S

then f (x, y) is called the joint probability density function of X and Y .

 Properties:
(a) f (x, y) ≥ 0.
R∞ R∞
(b) −∞ −∞ f (x, y)dxdy = 1.
RdRb
(c) P (a ≤ X ≤ b, c ≤ Y ≤ d) = P (a < X < b, c < Y < d) = c a
f (x, y)dxdy.

2.4 Marginal Distribution

Marginal Probability Mass Function: If X and Y are discrete random variables, then the
marginal probability mass functions of X alone and of Y alone are respectively represented as
X X
g(x) = p(x, y) and h(y) = p(x, y).
y x

Marginal Probability Density Function: If X and Y are continuous random variables, then
the marginal probability density functions of X alone and of Y alone are respectively repre-
sented as Z ∞ Z ∞
g(x) = f (x, y)dy and h(y) = f (x, y)dx.
−∞ −∞

It is noted that P (X = x) = g(x) and P (Y = y) = h(y).

2.5 Cumulative Distribution Function

Cumulative Distribution Function: The distribution function or cumulative distribution func-
tion (cdf) of a random variable X (discrete or continuous) is denoted by F (x) and is defined
as
F (x) = P (X ≤ x), −∞ < x < ∞.
 Properties:
(a) P (a < X ≤ b) = F (b) − F (a).

(b) 0 ≤ F (x) ≤ 1 and F (x) ≤ F (y), if x ≤ y.

(c) F (−∞) = 0 and F (∞) = 1.

(d) F (x) is a non-decreasing function of x.

16 CHAPTER 2. RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

 If X is a discrete random variable with probability mass function p(x), then its cumulative
distribution function is expressed as
X
F (x) = P (X ≤ x) = p(t), for − ∞ < x < ∞.
t≤x

Example 2.1: Suppose N is a random variable that denotes the number appeared on the top
face when a die is rolled. The probability distribution of N is given by the following table; and
the probability mass function and cumulative distribution function of N are presented in Fig.
2.1.
Outcomes (N = n) 1 2 3 4 5 6
pmf (f (n)) 1/6 1/6 1/6 1/6 1/6 1/6
cdf (F (n)) 1/6 2/6 3/6 4/6 5/6 1

Fig. 2.1. a) Discrete cumulative distribution function, b) Probability mass function,

corresponding to Example 2.1.

 If X is a continuos random variable with probability density function f (x), then its cumu-
lative distribution function is expressed as
Z x
F (x) = P (X ≤ x) = f (t)dt, for − ∞ < x < ∞.
−∞

Therefore,
d
F (x) = f (x).
dx

Example 2.2: Consider a random variable Y that denotes the heights of men in centimeters in
a given country. The probability density function and cumulative distribution function of Y are
presented in Fig. 2.2.

2.6 Joint Cumulative Distribution Function

The joint cumulative distribution function of random variables X and Y (discrete or continu-
ous) is denoted by F (x, y) and is defined as

F (x, y) = P (X ≤ x, Y ≤ y), −∞ < x < ∞, −∞ < y < ∞.

The cumulative distribution function of X (discrete or continuous) is given by

F (x) = P (X ≤ x) = P (X ≤ x, Y ≤ ∞) = F (x, ∞), −∞ < x < ∞,

2.7. CONDITIONAL DISTRIBUTION 17

Fig. 2.2. a) Continuous cumulative distribution function, b) Probability density function,

corresponding to Example 2.2.

which is also known as the marginal cumulative distribution function of X.

Similarly, the marginal cumulative distribution function of Y (discrete or continuous) is given
by
F (y) = P (Y ≤ y) = P (X ≤ ∞, Y ≤ y) = F (∞, y), −∞ < y < ∞.

2.7 Conditional Distribution

Let X and Y be two random variables (discrete or continuous) with the joint probability dis-
tribution (probability mass or density function) being f (x, y). Also, consider that the marginal
distribution of X is g(x) and that of y is h(y). Then the conditional distribution (conditional
probability mass or density function) of Y given that X = x is defined by

f (x, y)
f (y|x) = , provided g(x) > 0.
g(x)

Similarly, the conditional distribution (conditional probability mass or density function) of X

given that Y = y is defined by

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

It is noted that P (Y = y | X = x) = f (y|x) and P (X = x | Y = y) = f (x|y).

Further, if X and Y are discrete random variables, then

X
P (a < X < b | Y = y) = f (x|y).
a<x<b

If X and Y are continuous random variables, then

Z b
P (a < X < b | Y = y) = f (x|y)dx.
a

Statistical Independence: Two random variables X and Y are said to be statistical indepen-
dent if and only if f (x|y) = g(x) or f (y|x) = h(y), that is, if and only if f (x, y) = g(x)h(y).
18 CHAPTER 2. RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

2.8 Expectation
Expectation of X: The expectation or mean of a discrete random variable X with probability
mass function p(x) is defined as
X
µX = E(X) = xp(x).
x

The expectation or mean of a continuous random variable X with probability density function
f (x) is defined as
Z ∞
µX = E(X) = xf (x)dx.
−∞

Expectation of g(X): The expectation of a function g(X) of a discrete random variable X

with probability mass function p(x) is defined as
X
µg(X) = E[g(X)] = g(x)p(x).
x

The expectation of a function g(X) of a continuous random variable X with probability density
function f (x) is defined as
Z ∞
µg(X) = E[g(X)] = g(x)f (x)dx.
−∞

Expectation of g(X,Y): Let X and Y be discrete random variables with joint probability dis-
tribution (joint probability mass function) p(x, y). The expectation of g(X, Y ) is given by
XX
µg(X,Y ) = g(x, y)p(x, y).
x y

If X and Y are continuous random variables with joint probability distribution (joint probability
density function) f (x, y). The expectation of g(X, Y ) is given by
Z ∞ Z ∞
µg(X,Y ) = g(x, y)f (x, y)dxdy.
−∞ −∞

 Properties:

(a) E[c] = c, E[cX + d] = cE[X] + d.

(b) E[c1 X1 + c2 X2 + · · · + cn Xn ] = c1 E[X1 ] + c2 E[X2 ] + · · · + cn E[Xn ].

(c) E[X] ≥ 0, if X ≥ 0.

(d) E[X] ≤ E[Y ], if X ≤ Y .

(e) E [cψ(X, Y ) ± dφ(X, Y )] = cE [ψ(X, Y )] ± dE [φ(X, Y )] .

2.9. VARIANCE AND COVARIANCE 19

2.9 Variance and Covariance

Variance of X: The variance of a random variable X is expressed as
2
σX = Var(X) = E[X − E(X)]2 = E[X 2 ] − (E[X])2 .

Thus, X
2
σX = x2 p(x) − µ2X , for discrete random variable X,
x

and Z ∞
2
σX = x2 f (x)dx − µ2X , for continuous random variable X.
−∞

Variance of g(X): The variance of g(X) is expressed as

2
σg(X) = E[g(X) − µg(X) ]2 = E[{g(X)}2 ] − [µg(X) ]2 .

Therefore,
X
2
σg(X) = {g(x)}2 p(x) − µ2g(X) , for discrete random variable X,
x

and Z ∞
2
σg(X) = {g(x)}2 f (x)dx − µ2g(X) , for continuous random variable X.
−∞

Standard Deviation: The standard deviation (SD) of a random variable X is defined as

p
σX = SD(X) = Var(X).

Covariance: The covariance of two random variables X and Y is given by

σXY = Cov(X, Y ) = E[{X − E(X)}{Y − E(Y )}] = E[XY ] − E[X]E[Y ].

Thus,
XX
σXY = xyp(x, y) − µX µy , for discrete random variables X and Y,
x y

and
Z ∞ Z ∞
σXY = xyf (x, y)dxdy − µX µY , for continuous random variable X and Y.
−∞ −∞

 Properties:

(a) Var(c) = 0.

(b) Var (cX + d) = c2 Var (X) .

(c) Cov(cX, dY ) = cdCov(X, Y ).

(d) Cov(X + c, Y + d) =Cov(X, Y ).

20 CHAPTER 2. RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

Theorem 2.1: Let X and Y be two independent random variables. Then

µXY = µX µY and σXY = 0.

Theorem 2.2: Let X and Y be two independent random variables and a, b and c be constants.
Then
2 2 2 2 2
σaX+bY +c = a σX + b σY + 2abσXY .

Correlation Coefficient: Let X and Y be random variables with covariance σXY and standard
deviations σX and σY , respectively. The correlation coefficient of X and Y is defined by
σXY
ρXY = .
σX σY
It is noted that, for any random variables X and Y , −1 ≤ ρXY ≤ 1.

2.10 Some Special Discrete Probability Distributions

Bernoulli Process and Binomial Distribution: A series of trials or an experiment is said to be
a Bernoulli process if the following properties are satisfied:

(i) The experiment consists of n repeated trials and each trial results in two outcomes,
namely, success and failure.

(ii) The probability of success p remains constant in each trial and the repeated trials are
independent.

The number X of successes in n Bernoulli trials is called a binomial random variable. The
probability distribution of this discrete random variable is called the binomial distribution, and
its values will be denoted by b(x; n, p).
A Bernoulli trial can result in a success with probability p and a failure with probability
1 − p. Then the probability distribution (probability mass function) of the binomial random
variable X, the number of successes in n independent trials, is
 
n x
b(x; n, p) = p (1 − p)n−x , x = 0, 1, 2, · · · , n.
x

Theorem: The mean and variance of the binomial distribution b(x; n, p) are

µ = np and σ 2 = np(1 − p).

Poisson Process and Poisson Distribution: An experiment is called Poisson process if it

follows the following properties:

(i) The number of outcomes occurring in one time interval or specified region is independent
of the number that occurs in any other disjoint time interval or region of space.

(ii) The probability that a single outcome will occur during a very short time interval or in
a small region is proportional to the length of the time interval or the size of the region
and does not depend on the number of outcomes occurring outside this time interval or
region.
2.11. SOME SPECIAL CONTINUOUS PROBABILITY DISTRIBUTIONS 21

(iii) The probability that more than one outcome will occur in such a short time interval or fall
in such a small region is negligible.

The number X of outcomes occurring during a Poisson experiment is called a Poisson

random variable, and its probability distribution is called the Poisson distribution.
The probability distribution of the Poisson random variable X, representing the number of
outcomes occurring in a given time interval or specified region denoted by t, is

e−µ µx
p(x; µ) = , x = 0, 1, 2, · · · ,
x!
µ = λt, where λ is the average number of outcomes per unit time, distance, area, or volume.

Theorem: The mean and variance of the Poisson distribution p(x; µ) are equal and which
is µ or λt.
Poisson Distribution as a Limiting Form of Binomial Distribution
Theorem: Let X be a binomial random variable with probability distribution b(x; n, p). When
n → ∞, p → 0, and np → µ remains constant,

b(x; n, p) → p(x; µ).

2.11 Some Special Continuous Probability Distributions

Exponential Distribution: A continuous random variable whose probability density function
is given, for some λ > 0, by
(
λe−λx , if x ≥ 0,
f (x; λ) =
0, if x < 0

is said to be an exponential random variable or exponentially distributed with parameter λ.

The cumulative distribution function F (x) of an exponential random variable X is given by

Z x
F (x) = P (X ≤ x) = λe−λx dx = 1 − e−λx .
0

1 1
Theorem: The mean and variance of the exponential random variable are λ
and λ2
, respec-
tively.

Normal Distribution: A continuous random variable X having the bell-shaped distribution

is called a normal random variable or normally distributed with parameters µ and σ if its prob-
ability density function is given by
1 (x−µ)2
n(x; µ, σ) = √ e− 2σ2 , −∞ < x < ∞.
2πσ
A normal distribution is also known as a Gaussian distribution.

Theorem: The mean and variance of the normal random variable are µ and σ 2 , respectively.
22 CHAPTER 2. RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

Standard Normal Distribution: If µ = 0 and σ = 1, then the normal distribution is said

to be standard normal distribution.
If X is a normal random variable with mean µ and variance σ 2 , then Z = X−µ
σ
is the stan-
dard normal distribution.

The cumulative distribution of a standard normal random variable Z is given by

F (z) = P (Z ≤ z) = Φ(z).

It is noted that
P (Z ≤ −z) = Φ(−z) = 1 − Φ(z).

P (z1 ≤ Z ≤ z2 ) = Φ(z2 ) − Φ(z1 ).

Normal Approximation to Binomial Distribution
Theorem: Let X be a binomial random variable with probability distribution b(x; n, p). When
n → ∞, np → µ, and np(1 − p) → σ 2 remains constant,

b(x; n, p) → n(x; µ, σ).

Weibull Distribution: The continuous random variable X has a Weibull distribution, with
parameters α > 0 and β > 0, if its density function is given by
( β
αβxβ−1 e−αx , if x > 0,
f (x; α, β) =
0, elsewhere.

2.12 SOLVED PROBLEMS

Problem 2.1: A random variable X has the following probability function:

X=x 0 1 2 3 4 5 6 7
p(x) 0 k 2k 2k 3k k2 2k 2 2
7k + k

(i) Find the value of k.

(ii) Evaluate P (X < 6), P (X ≥ 6), P (0 < X < 5).
(iii) Determine the distribution function of X.
Solution:
7
X 1 1
(i) p(x) = 1 =⇒ k = , −1 =⇒ k = , [since p(x) ≮ 0].
x=0
10 10
5
X 81 19
(ii) P (X < 6) = p(x) = 8k + k 2 = . P (X ≥ 6) = 1 − P (X < 6) = .
x=0
100 100
4
X 4
P (0 < X < 5) = p(x) = 8k = .
x=1
5
(iii) The distribution function of X is FX (x) as follows:

X=x 0 1 2 3 4 5 6 7
1 3 5 8 81 83
FX (x) = P (X ≤ x) 0 10 10 10 10 10 10 1
2.12. SOLVED PROBLEMS 23

Problem 2.2: Let X be a continuous random variable with pdf:



 ax, 0≤x<1

a, 1≤x<2
f (x) =


 −ax + 3a, 2≤x≤3

0, elsewhere

(i) Determine the constant a.

(ii) Compute P (X ≤ 1.5).

Solution:
Z ∞ Z 1 Z 2 Z 3
1
(i) f (x)dx = 1 =⇒ axdx + adx + (3a − ax)dx = 1 =⇒ a = .
−∞ 0 1 2 2
Z 1.5 Z 1 Z 1.5
1
(ii) P (X ≤ 1.5) = f (x)dx = axdx + adx = a = .
−∞ 0 1 2
Problem 2.3: A shipment of 20 similar laptops to a retail outlet contains 3 that are defec-
tive. If a school makes a random purchase of 2 of these laptops, find the probability distribution
for the number of defectives.
Solution: Let X be a random variable whose values x are the possible numbers of defective
computers purchased by the school. Then x can be any of the numbers 0, 1, and 2. Now,
3 17 3 17





68 51
f (0) = P (X = 0) = 0 20
2 = , f (1) = P (X = 1) = 1 20
1 = ,
2
95 2
190

3 17



2 3
f (2) = P (X = 2) = 20

0 = .
2
190
Thus the probability distribution of X is

x 0 1 2
68 51 3
f (x) 95 190 190

Problem 2.4: Three cards are drawn in succession from a deck without replacement. Find
the probability distribution for the number of spades.
Solution:
Problem 2.4: Two refills for a ballpoint pen are selected at random from a box that contains
3 blue refills, 2 red refills, and 3 green refills. If X is the number of blue refills and Y is the
number of red refills selected, find
(a) the joint probability function f (x, y),
(b) P [(X, Y ) ∈ A], where A is the region {(x, y) | x + y ≤ 1}.
(c) the covariance of X and Y .
Solution: The possible values of (x, y) are (0, 0), (0, 1), (1, 0), (1, 1), (0, 2) and (2, 0).
(a) Let f (x, y) represents the probability that x blue and y red refills are
selected. The total
8
number of equally likely ways of selecting any 2 refills from the
8 is
2 3 =
28. The number
3 2
of ways of selecting x blue and y red refills from the box is x y 2−x−y . Thus the joint
24 CHAPTER 2. RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

probability distribution can be represented by the following formula

3 2


3

x y
f (x, y) = 8

2−x−y , x, y = 0, 1, 2; 0 ≤ x + y ≤ 2.
2

The joint probability distribution of X and Y is given in the below table:

x
f (x, y) 0 1 2 h(y)
3 9 3 15
0 28 28 28 28
3 3 3
y 1 14 14
0 7
1 1
2 28
0 0 28
5 15 3
g(x) 14 28 28
1

3 3 9 9
(b) P [(X, Y ) ∈ A] = P (X + Y ≤ 1) = f (0, 0) + f (0, 1) + f (1, 0) = + + = .
28 14 28 14
2 X
X 2
(c) µXY = E(XY ) = xyf (x, y)
x=0 y=0

= (0)(0)f (0, 0) + (0)(1)f (0, 1) + (1)(0)f (1, 0) + (1)(1)f (1, 1) + (2)(0)f (2, 0)
3
= f (1, 1) = .
14
2
X 5 15 3 3
µX = xg(x) = 0. + 1. + 2. = .
x=0
14 28 28 4
2
X 15 3 1 1
µY = yh(y) = 0. + 1. + 2. = .
y=0
28 7 28 2

Therefore,
3 3 1 9
σXY = µXY − µX µY = − . =− .
14 4 2 56

Problem 2.5: A candy company distributes boxes of chocolates with a mixture of creams,
toffees, and nuts coated in both light and dark chocolates. For a randomly selected box, let X
and Y , respectively, be the proportions of the light and dark chocolates, and suppose that the
joint density function of these random variables is
(
k(2x + 3y), 0 ≤ x ≤ 1, 0 ≤ y ≤ 1,
f (x, y) =
0, elsewhere.

(a) Find the value of k.

(b) Find P [(X, Y ) ∈ A], where A = (x, y) | 0 < x < 21 , 1 1

4
<y< 2
.
Solution: (a) We have Z Z ∞ ∞
f (x, y)dxdy = 1
−∞ −∞
Z 1 Z 1
or, k(2x + 3y)dxdy = 1
0 0
2.12. SOLVED PROBLEMS 25
Z 1  2 1
or, k x + 3xy x=0 dy = 1
0
Z 1
or, k [1 + 3y] dy = 1
0
1
3y 2

or, k y + =1
2 y=0

5k
or, =1
2
2
or, k = .
5
 
1 1 1
(b) P [(X, Y ) ∈ A] = P 0 < X < , < Y <
2 4 2
Z 1Z 1
2 2 2
= (2x + 3y)dxdy
1
4
0 5
Z 1
2 2  1
= x2 + 3xy 02 dy
1
4
5
Z 1 
2 1 3y
= + dy
1
4
10 5
1
3y 2 2

y
= +
10 10 1
4

13
= .
160

Problem 2.6: The total number of hours, measured in units of 100 hours, that a family runs
a vacuum cleaner over a period of one year is a continuous random variable X that has the
density function 
x,
 0<x<1
f (x) = 2 − x, 1 ≤ x < 2

0, otherwise


Find the probability that over a period of one year, a family runs their vacuum cleaner
(a) less than 120 hours,
(b) between 50 and 100 hours.
Solution:
Problem 2.7: An important factor in solid missile fuel is the particle size distribution.
Significant problems occur if the particle sizes are too large. From production data in the past,
it has been determined that the particle size (in micrometers) distribution is characterized by
(
3x−4 , x > 1
f (x) =
0, elsewhere.

(a) Verify that this is a valid density function

(b) Evaluate F (x).
26 CHAPTER 2. RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

(c) What is the probability that a random particle from the manufactured fuel exceeds 4 mi-
crometers?
Solution:
Problem 2.6: Let X be a continuous random variable with pdf
(
3
4, x≥1
f (x) = x
0, otherwise

Find the mean and variance of X.

Solution: Z ∞ Z ∞  n
3 3 3
E(X) = xf (x)dx = 3
dx = lim − 2 = .
−∞ 1 x n→∞ 2x 1 2

Now, n
Z ∞ Z ∞ 
2 2 3 3
E(X ) = x f (x)dx = dx = lim − = 3.
−∞ 1 x2 n→∞ x 1
9
Therefore, Var(X) = E(X 2 ) − [E(X)]2 = 3 − 4
= 34 .

Problem 2.6: Consider the following joint probability density function of the random vari-
ables X and Y : (
3x−y
9
, 1 < x < 3, 1 < y < 2,
f (x, y) =
0, otherwise
(a) Find the marginal density functions of X and Y .
(b) Are X and Y independent?
(c) Find P (X > 2).
Problem 2.7: The joint density for the random variables (X, Y ), where X is the unit tem-
perature change and Y is the proportion of spectrum shift that a certain atomic particle pro-
duces, is (
10xy 2 , 0 < x < y < 1,
f (x, y) =
0, elsewhere.
(a) Find the marginal densities g(x), h(y), and the conditional density f (y|x).
(b) Find the probability that the spectrum shifts more than half of the total observations, given
that the temperature is increased to 0.25 units.
Solution:
Z ∞ Z 1 1
10xy 3

2 10
(a) g(x) = f (x, y)dy = 10xy dy = = x(1 − x3 ), 0 < x < 1.
−∞ x 3 y=1 3
Z ∞ Z y
y
10xy 2 dx = 5x2 y 2 x=0 = 5y 4 , 0 < y < 1.

h(y) = f (x, y)dx =
−∞ 0

f (x, y) 10xy 2 3y 2
f (y|x) = = 10 = , 0 < x < y < 1.
g(x) 3
x(1 − x3 ) 1 − x3
 Z 1 Z 1
3y 2

1 8
(b) P Y > X = 0.25 = f (y | x = 0.25)dy = 3
dy = .
2 1 1 1 − 0.25 9
2 2
2.12. SOLVED PROBLEMS 27

Problem 2.8: Given the joint density function

(
x(1+3y 2 )
4
, 0 < x < 2, 0 < y < 1,
f (x, y) =
0, elsewhere.

Find g(x), h(y), f (x|y), and evaluate P 14 < X < 12 | Y = 13 .

Solution:
Z ∞ Z 1 1
x(1 + 3y 2 ) xy xy 3

x
(a) g(x) = f (x, y)dy = dy = + = , 0 < x < 2.
−∞ 0 4 4 4 y=0 2
∞ 2 2
x(1 + 3y 2 )
 2
3x2 y 2 1 + 3y 2
Z Z
x
h(y) = f (x, y)dx = dx = + = , 0 < y < 1.
−∞ 0 4 8 8 x=0 2
f (x, y) x(1 + 3y 2 )/4 x
f (x|y) = = 2
= , 0 < x < 2.
h(y) (1 + 3y )/2 2
  Z 1 Z 1
1 1 1 2 1 2 x 3
(b) P <X< Y = = f (x | y = )dy = dy = .
4 2 3 1
4
3 1
4
2 64

Problem 2.9: A lot containing 7 components is sampled by a quality inspector; the lot contains
4 good components and 3 defective components. A sample of 3 is taken by the inspector. Find
the expected value of the number of good components in this sample.
Solution: Let X represent the number of good components in the sample. The probability
distribution of X is
4

3

x 3−x
f (x) = 7

, x = 0, 1, 2, 3.
3
Now,
1 12 18 4
f (0) = , f (1) = , f (2) = , f (3) = .
35 35 35 35
Therefore,
1 12 18 4 12
E(X) = 0.f (0) + 1.f (1) + 2.f (2) + 3.f (3) = 0. + 1. + 2. + 3. = .
35 35 35 35 5

Problem 2.10: The fraction X of male runners and the fraction Y of female runners who
compete in marathon races arc described by the joint density function
(
8xy, 0 ≤ y ≤ x ≤ 1,
f (x, y) =
0, elsewhere.

Find the covariance of X and Y . Also find the correlation coefficient of X and Y .
Solution: The marginal density functions of X and Y are respectively given as:
Z x
g(x) = f (x, y)dy = 4x3 , 0 ≤ x ≤ 1.
0
Z 1
h(y) = f (x, y)dx = 4y(1 − y 2 ), 0 ≤ y ≤ 1.
y
28 CHAPTER 2. RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

The expectations of X, Y and XY are respectively given as:

Z 1 Z 1
4
µX = E(X) = xg(x)dx = 4x4 dx = .
0 0 5
Z 1 Z 1
8
µY = E(Y ) = yh(y)dy = 4y 2 (1 − y 2 )dy = .
0 0 15
Z 1Z 1 Z 1Z 1
4
µXY = E(XY ) = xyf (x, y)dxdy = 8x2 y 2 dxdy = .
0 y 0 y 9
Therefore, the covariance of X and Y is
4 4 8 4
σXY = µXY − µX µY = − . = .
9 5 15 225
Further, the expectations of X 2 and Y 2 are respectively given as:
Z 1 Z 1
2 2 2
µX 2 = E(X ) = x g(x)dx = 4x5 dx = .
0 0 3
Z 1 Z 1
2 2 1
µY 2 = E(Y ) = y h(y)dy = 4y 3 (1 − y 2 )dy = .
0 0 3
Therefore, the variances of X and Y are respectively given as:
 2
2 2 2 2 4 2
σX = E(X ) − [E(X)] = − = .
3 5 75
 2
2 2 2 1 8 11
σY = E(Y ) − [E(Y )] = − = .
3 15 225
Hence, the correlation coefficient of X and Y is
σXY 4/225 4
ρXY = =p =√ .
σX σY (2/75)(11/225) 66

Problem 2.11: The weekly demand for a certain drink, in thousands of liters, at a chain of
convenience stores is a continuous random variable g(X) = X 2 + X − 2, where X has the
density function (
2(x − 1), 1 < x < 2,
f (x, y) =
0, elsewhere.
Find the expected value for the weekly demand of the drink.
Solution: We have
E(X 2 + X − 2) = E(X 2 ) + E(X) − E(2).
Z 2
5
E(X) = 2x(x − 1)dx = .
1 3
Z 2
17
E(X 2 ) = 2x2 (x − 1)dx = .
1 6
Therefore,
17 5 5
E(X 2 + X − 2) = + − 2 = = 2.5.
6 3 2
2.12. SOLVED PROBLEMS 29

Thus, the average weekly demand for the drink from this chain of efficiency stores is (2.5 ×
1000) = 2500 liters.

Problem 2.12: In a gambling game a woman is paid $3 if she draws a jack or a queen and
$5 if she draws a king or an ace from an ordinary deck of 52 playing cards. If she draws any
other card, she loses. How much should she pay to play if the game is fair?
Solution:
Problem 2.12: Suppose that X and Y have the following joint probability function:
Find the expected value of XY Solution:
Problem 2.12: If a random variable Y is defined such that E[(Y −I)2 ] = 10, E[(Y −2)2 ] =
6, find µ and σ 2 . Solution:
Problem 2.12: The length of time X, in minutes, required to generate a human reflex to
tear gas has density function
(
1 −x/4
e , 0 ≤ x < ∞,
f (x) = 4
0, elsewhere.

(a) What is the mean time to reflex?

(b) Find E(X 2 ) and Var(X).
Solution:
Problem 2.12: Suppose that X and Y are independent random variables with probability
densities and
Find the expected value of Z = XY.
Solution:
Problem 2.12: In a gambling game, a man is paid $5 if he gets all heads or all tails when
three coins are tossed simultaneously, and he will pay out $3 if either one or two heads show.
What is his expected gain?
Solution: The sample space for the possible outcomes when three coins are tossed simultane-
ously is
S = {HHH, HHT, HT H, T HH, HT T, T HT, T T H, T T T }.
Let Y be the random variable that represents the amount the gambler can win.
Therefore, the possible values of Y are given by
(
+$5, if E1 = {HHH, T T T } occurs,
Y =
−$3, if E2 = {HHT, HT H, T HH, HT T, T HT, T T H} occurs.

It is noted that P (E1 ) = 1/4 and P (E2 ) = 3/4. Therefore,

E(Y ) = (5)(1/4) + (−3)(3/4) = −1.

Hence, in this game, the gambler will, on average, lose $1 per toss of the three coins simulta-
neously.

2
Problem 2.13: If X and Y are random variables with variances σX = 2 and σY2 = 4 and
covariance σXY = −2, find the variance of the random variable Z = 3X − 4Y + 8.
Solution:
σZ2 = σ3X−4Y
2 2
+8 = σ3X−4Y

= (3)2 σX
2
+ (−4)2 σY2 + 2(3)(−4)σXY
30 CHAPTER 2. RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

= (9)(2) + (16)(4) − (24)(−2) = 130.

Problem 2.14: The probability that a patient recovers from a rare blood disease is 0.4. If 15
people are known to have contracted this disease, find the probability that
(a) at least 10 survive,
(b) from 3 to 8 survive,
(c) exactly 5 survive.
Solution: Let X be the number of people who survive. Then X is a binomial random variable.
9
X
(a) P (X ≥ 10) = 1 − P (X < 10) = 1 − b(x; 15, 0.4) = 1 − 0.9662 = 0.0338.
x=0

8
X 8
X 2
X
(b) P (3 ≤ X ≤ 8) = b(x; 15, 0.4) = b(x; 15, 0.4)− b(x; 15, 0.4)
x=3 x=0 x=0

= 0.9050 − 0.0271 = 0.8779.

5
X 4
X
(c) P (X = 5) = b(5; 15, 0.4) = b(x; 15, 0.4)− b(x; 15, 0.4) = 0.4032−0.2173 = 0.1859.
x=0 x=0

Problem 2.15: The average number of oil tankers arriving each day at a certain port city is 10.
The facilities at the port can handle at most 15 tankers per day. What is the probability that on a
given day tankers have to be turned away, if the number of oil tankers arriving each day follows
a Poisson distribution?
Solution: Let X be the number of tankers arriving each day. Then µ = 10.
15
X
P (X > 15) = 1 − P (X ≤ 15) = 1 − p(x; 10) = 1 − 0.9513 = 0.0487.
x=0

Problem 2.7: Suppose that the average number of cars abandoned weekly on a certain highway
is 2.2. Approximate the probability that there will be (a) no abandoned cars in the next week,
(b) at least 2 abandoned cars in the next week.
Solution:
Problem 2.7: The monthly worldwide average number of airplane crashes of commercial
airlines is 3.5. What is the probability that there will be
(a) at least 2 such accidents in the next month,
(b) at most 1 accident in the next month?
Solution:
Problem 2.7: The number of times that a person contracts a cold in a given year is a Poisson
random variable with parameter λ = 5. Suppose that a new wonder drug (based on large
quantities of vitamin C) has just been marketed that reduces the Poisson parameter to λ = 3 for
75% of the population. For the other 25% of the population, the drug has no appreciable effect
on colds. If an individual tries the drug for a year and has 2 colds in that time, how likely is it
that the drug is beneficial for him or her?
Problem 2.16: In a certain industrial facility, accidents occur infrequently. It is known that
the probability of an accident on any given day is 0.005 and accidents are independent of each
other. Find the probability that
(a) in any given period of 400 days there will be an accident on one day.
2.12. SOLVED PROBLEMS 31

(b) there are at most three days with an accident.

Solution: Let X be a binomial random variable with n = 400 and p = 0.005.
Therefore, µ = np = 2. Using the Poisson approximation,
e−2 21
(a) P (X = 1) = p(1; 2) = = 0.271.
1!
3 3
X X e−2 2x
(b) P (X ≤ 3) = p(x; 2) = = 0.857.
x=0 x=0
x!

Problem 2.17: A certain type of storage battery lasts, on average, 3 years with a standard devi-
ation of 0.5 years. Assuming that the battery lives are normally distributed, find the probability
that a given battery will last less than 2.3 years.
Solution: Let X represents the lifetime of a battery (in years). Then X is a normal random
variable with mean µ = 3 and standard deviation σ = 0.5.
Therefore, Z = X−µ σ
= X−30.5
represents the standard normal random variable. Thus, the re-
quired probability is
 
X −3 2.3 − 3
P (X < 2.3) = P < = P (Z < −1.4)
0.5 0.5
= Φ(−1.4) = 1 − Φ(1.4) = 1 − 0.9192 = 0.0808.

Problem 2.18: An electrical firm manufactures light bulbs that have a life, before burn-out,
that is normally distributed with mean equal to 800 hours and a standard deviation of 40 hours.
Find the probability that a bulb burns
(a) between 778 and 834 hours.
(b) exactly 820 hours.
Solution: Let X represents the lifetime of a bulb. Then X is a normal random variable with
mean µ = 800 and standard deviation σ = 40.
Therefore, Z = X−µ σ
= X−800
40
represents the standard normal random variable.
(a) The probability that a bulb burns between 778 and 834 hours is
 
778 − 800 X − 800 834 − 800
P (778 < X < 834) = P < <
40 40 40
= P (−0.55 < Z < 0.85) = P (Z < 0.85) − P (Z < −0.55)
= Φ(0.85) − Φ(−0.55) = Φ(0.85) − [1 − Φ(0.55)]
= 0.8023 − [1 − 0.7088] = 0.5111.
(b) The probability that a bulb burns exactly 790 hours is
 
X − 800 820 − 800
P (X = 820) = P =
40 40
= P (Z = 0.5)
1 (0.5)2
= √ e− 2 = 0.3521.
2π

Problem 2.19: Suppose that the number of miles that a car can run before its battery wears out
32 CHAPTER 2. RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

is exponentially distributed with an average value of 10, 000 miles. If a person desires to take
a 5000-mile trip, what is the probability that he or she will be able to complete the trip without
having to replace the car battery?
Solution: Let X represents the remaining lifetime (in thousands of miles) of the battery of the
1
car. Then X is an exponential random variable with parameter λ = 10 . Hence, the required
probability is
1
P (X > 5) = 1 − P (X ≤ 5) = 1 − F (5) = 1 − 1 − e−5λ = e− 2 ≈ 0.607.

Problem 2.20: Suppose that the length of a phone call in minutes is an exponential random
1
variable with parameter λ = 10 . If someone arrives immediately ahead of you at a public
telephone booth, find the probability that you will have to wait
(a) more than 10 minutes,
(b) between 10 and 20 minutes.
(c) exactly 15 minutes.
Solution: Let X denotes the length of the call made by the person in the booth. Then the
required probabilities are

(a) P (X > 10) = 1 − P (X ≤ 10) = 1 − F (10) = 1 − 1 − e−10λ = e−1 = 0.368.

(b) P (10 < X < 20) = F (20) − F (10) = 1 − e−20λ − 1 − e−10λ = e−1 − e−2 = 0.233.



 
1 1 1
(c) P (X = 15) = f 15; = e−( 10 ×15) = 0.022.
10 10
———————————————————

2.13 Moments and Moment Generating Functions

Moments: The r-th moment about the origin of a random variable X is denoted by µ0r and
defined as (P
xr p(x), if x is discrete,
µ0r = E(X r ) = R ∞x r
−∞
x f (x)dx, if x is continuous.
The first and second moments about the origin of a random variable X are given by

µ01 = E(X) = µ and µ02 = E(X 2 ) = µ2 + σ 2 .

Moment Generating Functions: The moment generating function of a random variable X is

denoted by MX (t) and defined as
(P
tx
tX x x p(x), if x is discrete,
MX (t) = E(e ) = R ∞
−∞
xtx f (x)dx, if x is continuous.

Theorem: Let X be a random variable with the r-th moment about the origin being µ0r and
moment generating function being MX (t). Then

dr
µ0r = [MX (t)] .
dtr
2.13. MOMENTS AND MOMENT GENERATING FUNCTIONS 33

Problem 2.21: Find the moment-generating function of the binomial random variable X Fur-
ther, find the first and second moments about the origin of X, and and verify that µ = np and
σ 2 = np(1 − p).
Solution: We have
n   n  
tx n n
X X
x n−x
MX (t) = e p (1 − p) = (pet )x (1 − p)n−x = (pet + 1 − p)n .
x=0
x x=0
x
Now,
dMX (t)
= n(pet + 1 − p)n−1 pet
dt
and
d2 MX (t)
= np[et (n − 1)(pet + 1 − p)n−2 pet + (pet + 1 − p)n−1 et ]
dt2
The first and second moments about the origin of X, respectively, are
0 dMX (t)
µ1 = = np,
dt t=0

0 d2 MX (t)
µ2 = = np[(n − 1)p + 1].
dt2 t=0
Therefore,
0
µ = µ1 = np,
0
σ 2 = µ2 − µ2 = np(1 − p).

Problem 2.22: Show that the moment-generating function of the random variable X having a
normal probability distribution with mean µ and variance σ 2 is given by
 
1 22
MX (t) = exp µt + σ t .
2

Solution: The moment-generating function of the normal random variable X is

Z ∞ "  2 #
1 1 x − µ
MX (t) = etx √ exp − dx
−∞ 2πσ 2 σ
Z ∞  2
x − 2(µ + tσ 2 )x + µ2

1
= √ exp − dx
−∞ 2πσ 2σ 2
Z ∞
{x − (µ + tσ 2 )}2 − 2µtσ 2 − t2 σ 4
 
1
= √ exp − dx
−∞ 2πσ 2σ 2
Z ∞
2µt + t2 σ 2 {x − (µ + tσ 2 )}2
  
1
= exp √ exp − dx.
2 −∞ 2πσ 2σ 2
x−(µ+tσ 2 )
Let z = σ
Then dx = σdz. Therefore,
.
Z ∞
2µt + t2 σ 2 2µt + t2 σ 2
  
1 − z2
MX (t) = exp √ e 2 dz = exp .
2 −∞ 2π 2
R∞ z2
As −∞ √12π e− 2 dz represents the area under a standard normal density curve, its value is equal
to 1. Hence
2µt + t2 σ 2
 
MX (t) = exp .
2
34 CHAPTER 2. RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

2.14 Regression Line

Suppose X and Y are two random variables such that the mean, standard deviation, variance
2
of X are µX , σX , σX , respectively, and those of Y are µY , σY , σY2 , respectively, and also the
covariance of X and Y is σXY .

Regression line of Y on X: The regression line of Y on X is given by

σXY
Y = a + bY X X, where bY X = 2 and a = µY − bY X µX .
σX
Here bY X is known as the regression coefficient of Y on X. If each of X and Y takes N number
of values with equal probability, then
P P P
XY X Y
−
P P P
σXY µXY − µX µY N N N N XY − X Y
bY X = 2 = = P  P 2 = .
σX µX 2 − (µX )2 N X 2 − ( X)2
P P
X2 X
N
− N

Thus the regression equation of Y on X is represented by

Y − µY = bY X (X − µX ).
Regression line of X on Y : The regression line of X on Y is given by
σXY
X = a + bXY Y, where bXY = 2 and a = µX − bXY µY .
σY
Here bXY is known as the regression coefficient of X on Y . If each of X and Y takes N number
of values with equal probability, then
P P P
XY X Y
−
P P P
σXY µXY − µX µY N N N N XY − X Y
bXY = 2 = = P  P 2 = P 2 .
σY µY 2 − (µY )2
P 2
Y2
− N Y N Y − ( Y)
N

Thus the regression equation of X on Y is represented by

X − µX = bXY (Y − µY ).
Correlation Coefficient/ Pearson’s correlation coefficient: Let X and Y be random vari-
ables with covariance σXY and standard deviations σX and σY , respectively. The correlation
coefficient of X and Y is denoted by rXY or ρXY and is defined as
σXY
ρXY = .
σX σY
It is noted that, for any random variables X and Y , −1 ≤ ρXY ≤ 1.

Observe that p
ρ2XY = bXY .bY X , or, ρXY = ± bXY .bY X .
Both of bXY and bY X have the same sign. Thus the correlation coefficient is negative if both
regression coefficients are negative and it is positive if both regression coefficients are positive.
Moreover, 0 ≤ bXY .bY X ≤ 1 as −1 ≤ ρXY ≤ 1.

Problem 2.23: Calculate the regression coefficients and obtain the lines of regression for the
following data:
2.14. REGRESSION LINE 35

X 1 2 3 4 5 6 7
Y 9 8 10 12 11 13 14
Solution:
X Y X2 Y2 XY
1 9 1 81 9
2 8 4 64 16
3 10 9 100 30
4 12 16 144 48
5 11 25 121 55
6 13 36 169 78
P 7 P 14 P 249 P 196
2
P 91
X = 28 Y = 77 X = 140 Y = 875 XY = 334
P P
Here N = 7, µX = NX = 28 11
= 4, µY = NY = 77
7
= 11.
The regression coefficient of X on Y is
P P P
N XY − X Y 7 × 334 − 28 × 77
bXY = P 2 = = 0.929.
7 × 875 − 772
P 2
N Y −( Y)
Therefore, the line of regression of X on Y is

X − µX = bXY (Y − µY ).

or, X − 4 = 0.929 (Y − 11)

or, X = 0.929Y − 6.219.
The regression coefficient of Y on X is
P P P
N XY − X Y 7 × 334 − 28 × 77
bY X = P 2 = = 0.929.
7 × 140 − 282
P 2
N X − ( X)
Therefore, the line of regression of X on Y is

Y − µY = bY X (X − µX ).

or, Y − 11 = 0.929 (Y − 4)
or, Y = 0.929X + 7.284.

Problem 2.24: In a laboratory experiment on correlation research study, the equation of the
two regression lines were found to be 2X–Y + 1 = 0 and 3X–2Y + 7 = 0. Find the means
of X and Y . Also work out the values of the regression coefficient and correlation between the
two variables X and Y .
Solution: Given that

2X–Y + 1 = 0 (2.1)
3X–2Y + 7 = 0 (2.2)

Solving the two regression equations, we get the mean values of X and Y . Now, solving
equation (2.1) and equation (2.2), we have X = 5 and Y = 11.
36 CHAPTER 2. RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

Therefore, the regression lines are passing through the means X̄ = 5 and Ȳ = 11.
Let us assume equation (2.1) be the regression equation of X on Y . Then

2X = Y − 1
1 1
or, X = Y − .
2 2
Therefore, bXY = 21 .
Let us assume equation (2.2) be the regression equation of Y on X. Then

2Y = 3X + 7
3 7
or, Y = X + .
2 2
Therefore, bY X = 23 .
Now, bXY .bY X = 21 × 32 = 43 < 1. Hence, the regression coefficients are bXY = 21 and bY X = 23 .
As both regression coefficients are positive, the correlation coefficient is positive. The value of
the correlation coefficient is
r
p 3
r = bXY .bY X = = 0.866.
4
NOTE: If we get bXY .bY X > 1, then we treat equation (2.1) as the regression equation of Y
on X and equation (2.2) as the regression equation of X on Y . Accordingly, we will get the
values of bY X and bXY , which will satisfy 0 ≤ bXY .bY X ≤ 1.