OF ENGINEERING MATHEMATICs

A TEXTBOOK
vOL M
172 - (n + / 2

- lim
Au'+u'ln) du+'Sdt (where u=
A-

(n +h2 d
'4
vnan)J, Im)
r'u+

JnB2 A "
+1V"di
lim +1 /n)

Un2)
2nn Tt/2 sec29 cos" +'0 de
tan
n Jo
nB
Vn tan 6, so 0> as
(where
Tt/2
2n
sin 0 cos"- e de
B n) J

which exists only when n > 2]

())(.
to zero only when
exists and equals
conclude that for t
- distribution (i) mean

Therefore, we
when n > 2.
variance exists equals to n/(n -2) only
and
n>1, i)
the mean, median
and mode are all zero.
account of symmetry,
4. For n > 1, on t-distribution tends to a standard
freedom n 0 o , the
5. It can be proved that as
the degrees of
normal distribution.

CHI-SQUARE (x) DISTRIBUTION

3.14
distribution with n

random variable X is said to have a chi-square (x)

Definition: A continuous
density function is given by
degrees of freedom if its probability
n/2-1 e A/2

,x>0

So)=2r
where the only parameter n is a positive integer called the number ofdegrees offireedom of the distribulo

is a Gamma function. We write X - x (n).

and
sOME IMPORTANT PROBABILITY DISTRIBUTIONS 173

Characteristics of the 2-distribution

1.-distribution is positive and positively skewcd
2. For n S2. the density curve steadily decreases as x increases.
3. For n> 2. the density curve has unique maximum (i.e., a single peak) atx =n -2. The peak
shifts to the right and the curve gets flatter as n, the degrees of frecdom, increases.
The probability density curves are shown in the following figures
f(x)

n 2

n = 6

n 10

O 8

[See Art. 7.4, Chapter 7]

4. Elx) n, Var (X) = 2n, when
=
X-Xn)
5. If Z is a standard nornmal variate, X tn) and Z, X are independent, then

Y Z
XIn
has a -distribution with n-degrees of freedom (proof is omitted).

3.15 F-DISTRIBUTION
Definition. A continuous random variable X is said to have an F-distribution with degrees of freedom m
and n if its probability density function is given by
m2n/2 m/2-1

s)-B5mx+n)
,X<0

of the distribution. The random variable X

where m, n, both positive integers, are the two parameters
write X F(m, n). The probability density function of the
F(m, n) variate and we
~

will be called an
with respect to the parameters m and n. This distribution is named
F-distribution is not symmetrical
after Sir Ronald Fisher.
Yare independent variates with respective degrees offreedom m and n,
Theorem 1:1fX and
then
nX
U
XIm
YIn m

is an F(m, n) variate.
(Proof is omitted).
 ATEXTBOOK OF ENGINEERING MATHEMATICS un
174

variate, thenis an F(n, m) variate.

n)
Theorem 2: fX is an F(m,

Proof: See Ex. 11. Chapter 4.

is F (m, n) variate, then
Theorem 3: 1fX
an

>2 and
()ECX)=-2 Jorn
2n*(m +n-2)
for n > 4.
(ii) Var (X) =

m(n-2) (n - 4) (m + n)/2

dx
Proof: (E()= fa)dr=_(m nnJo
22
Let + = u, i.e., 1 -
u =

...2)
dr=(1-
m
u)* du.
X =u (1 -u)
n
m/2

( 1 - u) m2 ..3)
m=
- (m +n)/2
(m+n)/2 ...(4)
= (1-u)
-(m +n)/2
m dx
EX)
- ( m +n)/2
m/2
CA
lim dx
m n\\n A o O0

2
1
u2(1-u)-m/2 (1 -u)m +n)/2 (1- u) du
m n)n m

using (1) - (4), here u = 0 when x = 0 and u > 1 - as x o ]

2
mn m Jo
1u) du =-
22
M
B
provided-I>0.i.e., n>2
sOME IMPORTANT PROBABILITY DISTRIBUTIONS 175

m
n
2
m+n n -2

E(X) =
for n>2.
n-2
(ii) Proceeding as in (i), we have
(m+n)/2

ELX) =
S) dr=- dx

1
um/2+1 (1- u)m/2- 1 (1- u) (m +ny2 (1-u) du

B22
m

2-2
u/2+ (1-u/2-3 du =

4
provided-2>0, i.e., n >

r-)rGG)
(m+2)m
m) (n-2)(n -4)
- 2 2

m+2)m n
{E(X)1? =

Var (X)= E(X)

-

(n 2 ) ( n - 4 ) (n - 2 )
m/

n (m +2) n
n(n-2) (m+2)-m(n-4)}
m (n-2) (n -4) (n-2) mn-2) (n -4)
2 n (m +n - 2)
provided n>4.
m(n-2) (n-4)
exists) is independent of the parameter m and is greater than 1.
Note: The value of the mean (if it
F-distribution
Characteristics of the
F-distribution) is highly positively skewed. But
1. The F-distribution (i.e.,
the density curve of
increases.
number of degrees of freedom
the skewness decreases as the
with a random variable X*, where Xhas -distribution withn
2.F1, n) variate can be identified
degrees of freedom.
curves are shown in the following figures:
The probability density
TCHEBYCHEFF'S INEQUALITY, LAW OF LARGE NUMBERS AND CENTRAL LIMIT THEOREM 193

Observation: (i) To determine the probability of an event described by a random variable, its
distribution or density is required. Tchebycheff's inequality gives a bound for the probability of an
event which depends on mean and variance but does not depend on the distribution of the random
variable.

(i) P(X - ml>e) <ole?.

Notes: (i) This inequality was given by the Russian probabilist P.L. Tchebycheff (1821 - 1894) in 1867.

(i) Existence of the variance existance of the mean.

l nis inequality brings out the significance of the variance as a measure of dispersion about the mean
somewhat quantitatively. It states that. for a given e > 0, the amount of probability mass outside the interval
(m-&. m +e) is less than or equal to oe2 which is obviously small ifthe variance is small.
(iv) Tchebycheff's inequality can also be written as

(a) P(IX-ml<e) 2l-*, for a given e >0,

Or

(b) P(I X -ml2 to) sZ, for a given t> 0.

(v) Let X - N (m, o). Using Tchebycheff's inequality, we have

P(X-m 2 30) =0.111.

But Z= - N (0, 1). So, we have

P(1X-ml2 30) =P(ZI23) =0.0026.

It indicates that the Tchebycheff's inequality gives a rather poor bound for the probability in question.

ILLUSTRATIVE EXAMPLES I
Example 1: A random variable X has mean m = 12 and variance o = 9. Prove that

P(6 < X < 18) 2

Solution: Using Tchebycheff's inequality, we have

P(1X-m l2E) S , for given e>0.

e

P(IX- ml<e)21 - b/
P (m - e <X<m+ e) 2 1 - -

Taking m = 12 and g = 9, we get

9
P(12-e<X< 12+e)21-
 194 A TEXTBooK OF ENGINEERING MATHEMATICS [VOL. I

Putting e = 6. we get

P(6 <X < 18) 2 1 -

i.e., P(6<X< 18) 2(Proved

36 4
Example 2: Can ne fnd a random variable Xfor which P (m 20 < X<m+ 2a) = 07
Solution: We have

P(m-20<X<m+20) =P(I X-ml<20)21- 40

(By Tchebycheff's inequality)
Pm-20 <X<m+20) 2=0.75
Hence we conclude that there doesrandom variable X satisfying the given condition.
not exist a

xample 3: Using Tchebychef's inequality. find a lower bound for the probability of getting 64
to 184 driving licences issued by Road Transport Authority in a specific month. It is given that the
mumber of driving licences issued per month be a random variable having mean m = 124 and standard
deviation o =7.5.

Solution: By Tchebycheff's inequality, we have P(X-ml<e)21 - , i.e., P(IX-124I<e)

56.25
21- for a given e> 0 [since it is given that m =124 and =7.5].

<X< 124 +8)> 1- 6.25

P(124 -e
Putting E = 60, we get
56.25 = 0.984375,
P(64<X < 184) 2 1 -

3600
this is the required lower bound.

Example 4: The distribution of a random variable X is given by P(X = 1)=PX= 0)=

P(X =
1) =Verify Techebychef's inequality for the distribution.
Solution: Here, m=E(X) = (-1)x+0x+1x=
4
0

and
o-El-m-EX)=- I}xx+x
For a givene>0, the Tchebycheff's inequality is
P(X-ml2e) , i.e., P(IXI2 e)S
e2 4e
Consider the following two cases.
Case 1. 0 <esl
P(XI2 E) =
P{(X = 1)U(X = 1)}
-

=
PX = -

1) + P(X =
1)
 THEOREM
195
NUMBERS AND
CENTRAL LIMIT
TCHEBYCHEFF'S INEQUALITY, LAW OF LARGE

Is-

s 0<rsI 0<e si »

Case 2. e>1
event for E > |.
- 1.0, I and I XI2e is an impossible
Here X assumes the values so

PUX2E)=0< 4
Hence Tchebycheff's inequality is verified.
Remember: For a diserete random variable X:
ECX) = E , P(X = x,): E(X) = E x; P(X = x,)

Example S: Xassumes the values - 1,0, 1 with respective probabilities

A discrete random variable
Tchebycheff's
Evaluate P( IX-ml2 26) and compare it with the upper hound obtained by
88 and G respectively.
where the and standard deviation of the random variable X are m
inequality mean

0
Solution: Here. m =ECX) =(- 1)x+0x+1x 8
and o-ElX-m =EX)=(-1x+0x+ 1Px
P(IX - ml2 20) = P(I XI2 1)
P[CX= - 1)u(X= 1)}

-POX- 1) + P(X =1) =

4
By Tchebycheff's inequality, we have

P(IX-ml2 20) (20 4

Here the two values coincide.
Example 6: If the random variable X represents the sum of the numbers obtained when 2 fair
dice are thrown, determine an upper bound for P(\X--7123) and compare it with the exact probabiliry.
Solution: Let the random variables X,, X, denote the outcomes of the first and second dice

respectively.
+2+3+4+5 +6) =
ECX,) =E(X,) =(1
;

and ECX )=E(x,3) = (12+22+32+42+5 + 6) =

Var (X) = Var (X,) =

12
Here the random variables X. X, are independent and therefore.

m =E\X) = EX, + X,) = EX,) + EX,) = t = 7

o=Var (X) = Var (X, + X,) = E{(X, +X,) - m}=

 MATHEMATICS VOL. IM
196 A TEXTBOOK OF ENGINEERING

-Var(OX,) Var (X,) +2e M

35
+0
35
6
By Tchebycheff's inequality, we have

P(IX-ml2E)s

P(IX-7123) =0.6481 ..1)

2) (X =3) U (X =4) (X= 10) (X =11) (X= 12)}

U
Now, P(1X-7123) =
P{(X =
= P(X = 2) + P(X = 3) + P(X = 4) + P(X = 10) + P(X = 11) + P(X = 12)
Here the total number of outcomes is 6 x 6 36.
1
(X=2): (1., 1). P(X =2) =
36
2
(X 3): (1, 2). (2, 1). PX 3) 36
3
(X=4): (1, 3), (3, 1), (2, 2). P(X = 4) =
36
(X = 10): 4, 6), (6, 4), (5, 5). P(X= 10) = ;36

(X = 11): 5, 6), (6, 5). P(X= 11) = 2

36

(X= 12): (6, 6). P X ==12)= 6:

PIX-7123)= 3636 36 36 3636 0.3333 ..(2)

From (1) and (2), we conclude that there is a much difference between the two values.

1+22+3+. +n= n(n +1)(2n

+1) +1)
Note: I+2+3+...+n = 2 6
Example 7: Show by Tehebycheff's inequality that in 2000 throws with a coin, the probability
that the number of heads lies benween 900 and 1100 is at least 19/20. (WB.U.T 2002, 2007)
Solution: Let the randonm variable X represents the number of heads obtained when a fair coin is
tossed 2000 times.

p P(getting 'head' in a single toss) =

q = P(not getting "head' in a single toss) = I -P=5

and n = no. of trials = 2000.

 TCHEBYCHEFFS INEQUALITY, LAW OF LARGE NUMBERS AND CENTRAL LIMIT THEOREM 197
Here X follows a binomial distribution with mean m =
np = 1000 and variance =
g =
npq =
S00.
By Tchebycheff's inequality.
P(IX-m to) 2 1 - .
< ie..
PX- 10001< 10/5 t)21-
Putting t= 10//5. we get
19
P(IX 10001< 100)21- P(1000 - 100<X< 1000+ 100) 2
100 20
19
P(900<X< 1100) 2 20
Hence the 19
probability that the number of heads lies between 900 and 1100 is at least
Example 8: Let X berandom variable with
a
20
mean m and variance . Use Tchebycheff's
inequality to prove that P(X = m) = 1, if o =0.
Solution: By Tchebycheff's inequality, we have

PIX-ml2e)s P(IX-ml<e) 2 1-
Putting o = 0, we get
P(IX- m ) 2e) S0; P(IX-ml<e) 21.
Here > 0, no matter however small.
Taking e>0+, we get
PIX ml= 0) = 1 P(X = m) = 1, provided o = 0.
Example 9: If X is the number scored in a throw of a fair die, show that the Tchebycheff's
inequalitygives P(I X-pl> 2.5) <0.47, where u is the mean of X, while the actual probabiliry is zero.
(W.B.U.T. 2010)
Solution: Let the random variable X represents the outcome of a fair die. So, X takes the values
1.2.3,4,5, 6, each with probability 1/6.

=EUX)= Ex PX =x)=1+2+3+4+5+6= =35

and ECX)=Ex? P(X =x)=02+2 + 3+42+53 +6)
16(6+1)12 +1)1_91
6 6

o= Var (X) = E(X°) - u? =

By Tchebycheff's inequality, we have

PIX-I> e)«ie. PIX-ul>e)<

for a given e > 0.
Putting e = 2.5, we get

PIX I> 2.5) < SE ie, PIX-I>2.5) <047 (Proved)

Actual Probability:
P(X - H l> 2.5) = PIX - 3.5 I> 2.5)
: H3.5]
= l - P(1 X- 3.5 I S 2.5)
 ENGINEERING
MATHEMATICS [VOL. I
A TEXTBOOK OF
198
= 1 - P(3.5 - 2.5 XS 3.5 + 2.5)
1 0 (Proved)
P(1 SXS6) =l
- =
= I -

thrown 720 times. Use Tchebycheff's inequality to obtain a lower

Example 10: A fair die is

boundfor the probability of getting 91 to 149 sixes obtained when a fair die is
the number of sixes
Solution: Let the random variable X represents
thrown 720 times.

P(getting '6' in a single throw)

=

p=

single throw) =
I-P=
9= P(not getting '6' in a 6

and n = no. of trials = 720.

= 120 and variance =
o =
npq = 100.
binomial distribution with np
=
mean m
Here X follows a

By Tchebycheff's inequality.
10 t) 2 1
X- 120I --

P(I <
PIX-ml< to) 2 1 -

.
T
ie,

P(120 10T<X< 120+ 10T) 2 l - -

Putting T = 3, we get
8
P90< X< 150) 2 1- F
8
P(91 SXS 149) 2
Hence the required lower bound for the probability is 8/9
Note: Alternative statement
Ifa fair die is thrown 720 times. show that the probability that the number of sixes lies between 90 and 150
is at least 8/9.
Example 11: Use Tchebycheff's inequality to show that forn2 36, the probability that in n

f afair die the number ofsixes lies betweenn-n and n+ dn is at least 31/36.

(W.B.U.T. 2008)
Solution: Let the random variable X represents the number of sixes obtained when a fair die is
thrown n times.

p Plgetting '6' in a single throw) =

q= P(not getting "6 in a single throw) = 1 -p =

*
Here X follows a binomial distribution with mean m = np = and variance = 0 = npq = 5n
6 36
By Tchebycheff's inequality, we have

PUX-ml2e)s. i.e., P
TCHEBYCHEFF'S INEQUALITY, LAW OF LARGE NUMBERS AND CENTRAL LIMIT THEOAEM 199

Putting E =
vn, we get

PIX-I2Vn)s ;36 6
...(1)

Required probability

-x- 1--)
1
Using (1
Hence the result.

Example 12: If a random variable X is uniformly distributed over (-V3, V3), compute
P|X-p |2o| and compare it with the upper bound obtained by Tchebycheff's inequality. Here .
o are respectively the mean and standard deviation of X.
Solution: Let a= -

W3 and b =
3.Given, X is uniformly distributed over (a, b).
H = ECX) =a+b) = 0 and o = Var (X) = = 1 .(See Art. 3.9, Chapter 3)
12
The p.d.f. of X is given by

fx)= b-a 2 3 - -V3 <x<V5

0, elsewhere

PX-Alao-x»)1-a)
1-Px
3/2
3/2 1
= 1-
dk = 1 -

Jn 9.F* 17
= 0.134

By Tchebycheff's inequality: P( X- ul2e)s

3
Putting e50, we get

PIx-Hao:=0.444, it is a poor upper bound.

 A TEXTBOOK OF ENGINEERING MATHEMATICS VOL. IVI
200

13: random variable X is uniformly distributedoer

over then
Example If a

Tchebycheff's inequality
compute PIX-ul2o and comypare it with the upper bound obtained by
Here u. o are respectively the mean and standard deviation of X. (W.B.U.T 2005)
Solution: Let a = 1 - -and b = 1 + . Given, X is uniformly distributed over (a, b).

=I and o Var (X) =

(a-b)
H E(X)= (a + b) =
12
(See Art. 3.9, Chapter 3)
The p.d.f. of X is given by

f)
0, elsewhere

X-a)-r{x-11-rlix -15)
=1 -

3/2
=1-sx)dx =1 -Ydx
J1/2 2

=1-
=0.134 .1)

By Tchebycheff's inequality: P( X-ul2e)s

Putting , we get

PLx-I2s-04 ..(2)
From (1) and (2), we conclude that there is a much more difference between the two values.
Example 14: A random variable X has the density function et, x 2 0. Show that Tchebychefs
inequality gives

P(IX- 1|>2) < 4

and show that actual probability is ed (W.B.U.T: 2004, 2009)
Solution: The p.d.f. of the random variable X is given by
r20
0, x<0

Mean= m= ECX)= J_slxnds = d = d

=
N2) =I! =
1,
TCHEBYCHEFF'S INEQUALITY, LAW OF LARGE NUMBERS AND CENTRAL LIMIT THEOREM 201

E = J_Pmd =Peds =e " d e =r3)=2! =2.

.

o=Var(X) =
E(X?) -

m? =2-12 = 1.
By Tchebycheff's inequality, we have
o2
PIX-ml>e) < . ie., P(IX-1 1> e)<
for a given e > 0.

Putting e =2, we get P(IX - 1 1>2) < (Proved)

Now P(X-1 1> 2) =1 - P( X-11s2)
=1-P(1 -2<X< 1+2)
=l- =1 - d

Therefore, the actual probability is e.

=1--=1-((-d=
proved)
Remark: In general, we observe that the bound obtained by the Tchebycheff's inequality is very crude as
compared to the actual value. But this is not surprising because the simple bound, given by Tchebycheff"'s inequality.
embraces all types of random variables and all possible parameters having same mean and variancs.

5.2 CONVERGENCE IN PROBABILITY

Let us now introduce a new concept of convergence known as convergence in probability or stochastic
convergence which is defined as follows:
Definition: A sequence of random variables {X,}, i.e., X, Xz ., X . defined on the same
sample space is said to converge in probability to a constant I if
0 given two positive numbers e and , no matter however smal, there exists a positive integer
N, depending on e and n in general, such that
P[IX,-1I<e} >1-7, for all n 2N
or, equivalently
(i) lim P{lx, - I|2e} =0, for arbitrary e > 0,
n
or, equivalently
(iii) lim P{IX, - l| <e} =
1, for arbitrary e>0.
n P
We denote this by the symbol X, - l as n o or simply X,
that as n increases the
It means probability mass of the distribution of X, accumulates more and
more about the point l.

Note: Ifthere exists a random variable X such that (X,-X). 0 as n , then we say that the given
to the random variable X.
sequence of random variables {X,) converges probability
in
is different from that of ordinary convergence
Although the concept of convergence in probability basically as well which we state without
in
of a sequence of numbers, the following results hold for convergence probability
proofs.
202
A TEXTBOOK OF ENGINEERING MATHEMATICS (VOL. I

Theorem: Let X, a n d Y, 1, as noo, Then as n o ,

(i)X, Y, ,t,
P

(ir) X,Y
(iii) provided I, #0.

5.3 LAW OF LARGE NUMBERS

(LLN)
The developments of the theory of convergence of a sequence of random variables combined with
Tchebycheff's inequality leads to the following theorem.
Theorem 1 (Law of Large Numbers):
Let
1x, be a
sequence of random variables having finite means ,= EX,).
P
Then X , . i.e., lim P{IX, -F, 12 e) = 0 if »0 as n -
n
n
where , 2X.T, 2i
=
and B, =Var x
\i=l|
(W.B.U.T. 2003, 2005)
Proof: We have

and
i=l

Var (X,) Var

=

Using Tchebycheff's inequality, we have

0sP[IX, -E, I2 1Var ( -,n ' e for an

arbitrary e>0

no
lim P{IX, -H, 12e) =
0, ie., X, , if 0 as n - o,
since e > 0 is arbitrary, no matter however small.
Note: This Law of Large Numbers is also known as Weak Law
of Large Numbers (WLLN).
Theorem 2 (Law of Large Numbers for Equal
Components):
Let (X) be a sequence of independent and
identically distributed random variables
mean =
ECX,) and finite variance o Var (X,) for all n, then
= having finite
P
as n o, where X

Proof: We have

EX,)= h ECX +X+... +X,)

i=1
TCHEBYCHEFF'S INEQUALITY, LAW OF LARGE NUMBERS AND CENTRAL LIMIT THEOREM 203

-
=
|EX,) +E(X,)+.+ E(X,))
n= .
Since X Xa X, are
mutually independent, we have
Var
(X)=Var (X,) + Var (X,) + ...+Var (X,)}) =.nG°
Using Tchebycheff's inequality, we have
oSP[IX,-ul2e) s Var (&,) , for an arbitrary e >0.
P
lim P{IX, -ul2e}
n
=
0, i.e., X as n oo, since E> 0
is arbitrary, no matter however small.
Note: It can be proved that if {X,} be a sequence of independent and identically distributed random
P
variables with finite mean ju = E(X,) for all n, then X, - as no
This is known as Weak Law of Large Numbers due to Khinchin. It does not require the existence of
variance.

ILLUSTRATIVE EXAMPLES -

I
Example 1: Let X, Kz .X, be a sequence of independent random variables, each having
mean m and variance o'. Show that

- , X m min mean square as n> co,

i=l
Solution: Definition: A sequence variables of random {7,) defined on the same sample spac
said to be convergentin mean square to a constant
if
lim E{(T,-1}
n-oo
= 0

Let
ET,) =2 EX) -m =
i=l i=l
nm = n

Now, E (T-m) =Var (T,) =Var (X,+X +.. + X,)

Since X, X, .., X, are mutually independent, we have

E(T,-m)={Var (X)+ Var (X,) +...+ Var (X,)}

n a = : EX) =o, Vi =1,2,. n].

0
n
lim ((7,-m)*) =

X m in mean square as n c o .
i=l
204 A TEXTBOOK OF ENGINEEAING MATHEMATICS VoL. M

Example 2: Examine whether the Weak Law of Lange Numbers holds for the sequence (Xgkl of
independent random variables defined as follows
2-2k*l'), 2) 242K*l'), P(X, 0) I -2-2X
PIX 2") = =
= =
PlX, = -
=

Solution: Observe that each probability is non-negative for all K and

PCX =2*) + P(X. =-2) + P(X, =0) =2-2K+1) + 2-2K*1)+1-2-2K

2.2-2K1)+1 -2-2K =2-2K +1-2-2K
1.
So. given distribution is a possible probability distribution.
Now, ECX) 25 PX, 2) + (-2) P(X, -2) + 0.
= = =
P(X 0)=

2K.2-2K+1)-2K. 2-2K+1) +0 =0, VK.

ECX)= (2** P(X, = 25) +(-2} P(Xx = - 25) +0. P(Xy = 0)

22K 2-2K-1 +22K . 2-2K-1 +0 = 2- +2-1=

Var (X) = ECX) - {E(X,)1?= 1 -02 =1, VK.

B =Var = Var (X,) + Var (X,) +..+Var (X,)

( A , X 2, A, are independent)
Var (X) =1, VK = 1, 2, .,n)
0 asn .
n

Hence the Weak Law of Large Numbers holds for the given sequence of random variables {Xgl.
Note: Weak law oflarge numbers for equal components also hold good for the sequence {Xx).
Example 3: Examine whether the Law of Large Numbers holds for the sequence Xp X ..,K .
of independent random variables defined as follows:
P(X, = 1) = P(X, = - 1) = P X , = 0) = 1 -5, i 2 2 and P(X, = 0) = 1.

Solution: Observe that each probability is non-negative for all i 2 1 and

POX=-1)+Pa,= 0) + P(X, = 1) = = 1, Vi2 2, P(X, = 0) = 1.

So, the given distribution is a possible probability distribution.
Now, ECX)=-1). +0 =0, Vi22.
and ECX) = 0.l = 0.

. ECX) = 0, Vi2 1.

Also, Var (X) =

ECX) {E(X12
-

ELX3)-0==(- 1P.°|1- Vi22

and Var (X) ECX) {E(X)} EX )-02 0?.1 0.
= -
= = =

B, Var (X, +X,t.. + X,) Var (X,) + Var (X,) + .

= =
+ Var (X,)
(X, X.X, areindependent)
TCHEBYCHEFF'S INEQUALITY, LAW OF LARGE NUMBERS AND CENTRAL LIMIT THEOREM 205

...(1)
n
Now. we know that if a sequence {r.} of positive numbers has a limit I as n , then the
sequence {v,} defined by

+t.. +X
hasthe same limitl as n > oo.

Take x, =. thenx,> 0 as n o. Hence y, = 0 as n o and so

0 0 as n 0 as n .(2)

From (1) and (2), we conclude that >0 as n > co

n
Hence the Law of Large Numbers holds for the given sequence of random variables {X,}.
Example 4: Suppose X, takes the values-2i- and 2i-1 with equal probabilities. Show
that the law of large numbers can be applied to the independent random variables X, x ..

Solution: Given: PCX 21)=PX ={i-1)=

ECX)=2i-1) +(2i-1)^ =0;i= 1,2..

and Var(X)=ECX)-EX)}*=Bx)= - 2i-1+(-1);
2 i - 1; i = 1, 2, ..
.(1)
B, = Var (X +X,t.. + X,) = Var (X,) + Var (X,) +... +Var (X)

(: X, X X, are independent)
2i-1) by (1
2(1 + 2+... +n) - n =2. - n = n*.

n
lim nB =nlim = 1 (#0).

So, the law of large numbers can not be applied.

Example 5: Suppose X, assumes the values i and (-i) with equal probabilities. Prove that the
la
law
oflargenumbers can not be applied to the independent random variables X, X, X.

Solution: Given, P(X = i) = P(X,= - i)=

206 A TEXTBoOK OF ENGINEERING MATHEMATICS [VoL. IVI

EX = 0; i = 1, 2, ..

and Var (X,) = E(X) - {[E(X))2 = E(Xx) -02

- =#;i=
1.2.. .(1)
B,=Var (X, + X, + .. +X,) = Var (X,) + Var (X,) +..+ Var (X)
(X, X . , X, are independent)
= 12 +22 + .. +n2 [by (1)]
n(n + 1)(2n +1)
5
n(n +1)(2n +1)
B
n 6n
2n+1)>o as n -> co,

So, the law of large numbers can not be applied.

Example 6: Let (X} be a sequence of mutually independent and identically distributed random
variables with finite mean u and finite variance o. IfS, = X, + X, +... +X prove that WLLN does not
hold for the sequence
(S,). (W.B.U.T. 2005)
Solution:
Here B =Var (, +S + S +. +S,)
=Var (X+X, +X,) + X, +X, +X,) + +
(X, +X, + +X,)} ..

= Var {nX, +(n - 1)X, +... +2X- +X,}

n Var (X) + (n -

1)* Var
(X,) +... + 2 +12 Var (X,)
Var (X,-)
( X , X . , X, are mutually independent)
=
{n?+ (n - 1)? +... +22+ 12)o [: Var (X) =0; K=1,2,..,n]
= (12 +22.+n))o

n(n +12n+1)2
6

6n(n+1)2n
6n
+), = (2n+1) o
as n
o
So, the Weak Law of Large Numbers (WLLN) does not hold for the
variables {S,}.
given sequence of random
Example 7: Let X X .., X . be a sequence of independent and identically distributed

random variables with finite u, finite variance o and

P
mean
(x +
x3 +... +
x) Cas n
where C is some constant. Determine C.
Solution: Given: E(X) = H and Var (X) = o, Vi,

Now, Var (X) =

EX)-u =o
ECX) =o +u?
TCHEBYCHEFF'S INEQUALITY,ILAW OF LARGE NUMBERS AND CENTRAL LIMIT THEOREM 207
1ce E(X)= o?+ u is finite for all i, we have by Weak Law of Large Numbers due to Khinchin
Since
P
(x+X +..+X) EUX}) =a+
C= 0+
Example 8: Let {X,J be a sequence of independent and identically distributed randm vurlubles
having common p.d.f.

1+0 X21,0>0
x) ={2+0
0 elsewhere
Examine whether the Week Law of Large Numbers holds good.

Solution: Now, x)dx = | g dx = lim 1+0)x2"d0

A-

= lim (1+0)
A

= lim - 6 ( 8> 0)
A
Also. fx) 20, Vx.
So.fx) is a possible p.d.f.

de
Here E(X) =

J_f(x)dr } x.2 d = =(1 +0) lim

A->o.

=(1+8) lim (1 +6) im 1

A -6

( 0> 0).

ECX)= which is finite and for all n. Using Khinchin's Weak Law of Large Numbers
see the 'Note' of Theorem 2), we conclude that the Weak Law of Large Numbers holds.
Example 9: Suppose 2/-2 log 1, 22-2 log 2,. 2-2 lg n,. be all the possible values ofa sequence
y independent and identically distributed random variables with respective probabilities 1/2
/ 2 " , . . Examine whether the Weak Law of Large Numbers holds.

Solution: Here, Vi,

EXX)=21-21g+22-22, +22gn
-
2-21ogn n 4

n=
n= n
sa
convergent series because log 4 =
log, 4>1.
Therefore, the mathematical expectation of the independent and identically distributed random
: Az ...
exists (i.e., finite). So, by Khinchin's theorem WLLN holds
 ENGINEERING MATHEMATICS VOI
A TEXTBOOK OF
208

5.4 CENTRAL LIMIT THEOREM (CLT)

Let us state CLT without proof.
be independent and indentically distributed random variahi..
es
Statement: Suppose X,, X,.. X, the of random variables !7
Then sequence
cach having mean m and standard deviation G.
forevery n,
defined by

X where X, = 2A
normal variable. (W.B.U.T. 2004, 2005, 2009)
converges in distribution to the standard
Theorem for Equal Components or Central
Notes: (i) This theorem is also known as Central Limit
Limit Theorem (Lindberg-Levy's Form).
(i) We apply this theorem whenn2 30.

(in) Plan b =
b) -

¢(a), where D) is the distribution function of the standard normal

variate
(iv) If S, =X, + X, + .. +X then E(S,) = nm,

X S,-nm
Var (S,)= no andn"
_

G/Vn Ovn

Pa vn
<b|=ob)-D).
(v)Normal Approximation to Binomial Distribution' stated in Art. 3.12, chapter-3 is a special case ofthe
Central Limit Theorem.

ILLUSTRATIVE EXAMPLES I I
Example 1: The lifetime ofa certain brand of an electric bulb may be considered as a randonm
variable with mean 1200 h and standard deviation 240 h. Deiermine the probability, using central limit
theorem, that the averuge lifetime of60 bulbs exceeds 1250 h. Given: area under the standard normal
curve between z = 0 andz = 1.61 is 0.4463.
(W.B.U.T. 2012)
Solution: Let the random variable X, represents the lifetime of the ith bulb. Given,
m
ECX.) =
1200 and o =Var (X) (240)2; =
i =
1, 2, .., 60.
Let the random variable X represents the mean lifetime of 60 bulbs,
i.e., X =X+X, +.. +Xg), where X, X2 Xg are independent and identically distributed.
By Central Limit Theorem, we have

Z=X-mX -1200 1)
Area = 0.4463
240/V60 ~NO,
P(Z> 1.61)
P ( X > 1250) =PX-1200 1250-1200)
240/ 60240/ 60
= P(Z> 1.61)
O Z 1.61
HEYOHESFS INEQUALTY LAW OF LARGE NUMBERS AND CENTRAL LIMIT THEOREM 209

= 0.5 P0s Zs 1.6)

0.5 0 4463 = 0.0537
This is the rquired probability.
Exectad number of bulbs with average lifetime exceeds 1250 h among o0 bulbs
6 0 x 0.0537 = 3.
Example 2: A distribution with unknown mean m has variance equal to 1.5. Use central limit
hoem o dete rmine how large a sample should betaken from the distribution in onder that the pobabiliny
will be ar leas: 0.98 that the sample mean will be within 0.5 of the population mean. Given
PZ<233) 0.98. where
=
Zisa
standand normal variate.
Solution: Let n be the size of the sample. a typical member of which is represented by the
random vanable X.

Given: ELX)= m and Var (X) = 1.5: i = 1. 2 . . . .

Let X represents the sample mean. i.e..

=X,+X, +.+X,
bere X. X-X, are independent and identically distributed.
By Central Limit Theorem, we have

Z X-m = 1.5/n
-N0. 1).
o/vn
We have to find n such that
Pm 0.5< X <m+ 0.5) 2 0.98
P-0.5 < X -m < 0.5) 20.98

P ml< 0.5)20.98
-m 0.5 20.98
P
1.5/n 1.5/n
P( ZI<0.4082 Vn) 20.98.
The least value of n is obtained from

P1ZI<0.4082 vn) = 0.98

Given: PZI<2.33) =0.98

Therefore. least value of n is given by
least value of n = 33.
0.4082 Vn = 2.33
must be at least 33.
Hence the size of the sample
variates with parameter A =
2, use central limit theorem
Example
to estimate
3:
P(160 1fX,
S, s 220),
X areS,Poisson
X,,..where = X, + X, +.+ X, and n = 100. Given: P(Z> )=0. I587and
PIZ> 2) =
0.0228, Z isa standard normal variate.
where
Solution: Given: X. X,. . X, are Poisson variates
with parameter A =
2, where n = 100.
m = EX) =^ = 2

o= Var (X,) =a = 2: i = 1, 2..n (See Art. 3.6, Chapter 3)

and
independent and indentically distributed.
Here X. X,. . X, are
210 A TEXTBOOK OF ENGINEERING MATHEMATICSs (vOL. IVI

By Central Limit Theorem. we have

S m S , -200
Z ~

N (0. 1)
OVn 20 Area 0.3413
Area 0.4772
where S = X, + X, + . +X, and n = 100.

P(160 S, 220)
160200S,- 200 220 200
20 0 20 20
= P(-2 Zs1) Z=-2 Z= 1
=
P(0S Zs2) P(0 SZs1) +
= 0.5 P(Z> 2) +0.5 P(Z> 1)
-
-

= 1 (0.0228 +0.1587) [by given data]

-

= 0.8185.

Example 4: A sign in an elevator reads 'capacity 2200 kg or 30 persons'. Assume a standard

deviation of 15 kg for the weight of a person drawn at random from all the people who might ride the
elevator, and calculate approximately his exspected weight. It is given that the probability that a full load
of 30 persons will weigh more than 2200 kg is 0.33.
Given: P(Z> 0.044) =0.33,
where Z is a
standard normal variate.
Solution: Suppose the random variables X, X .., X20 denote the individual weights. Let
EX) =m; i= 1,2,. 30.
Given: o = standard deviation of X, = 15 kg; i = 1,2, ..,30 and n = 30.

By Central Limit Theorem, we have

Z= n ,-30m N(O, 1)
OVn 15/30
where S,X, +X2t ..+X,and n = 30.
Given: P(S, > 2200) =0.33 Area = 0.33

(S 30 m
1530
220050m=
15/30 = 0.33
0.33
0.44

P 2200-30m
15/30 0.33
Using given data, we have
2200-30 m = 0.44
15/30
2200 30 m =0.44x 1530
2200-0.44x
30
1530 =
72.13 (nearly).
So, the expected weight is 72.13 kg